20:09 Apr 18, 2019
CCILCCIL > Research > Statistics > Market Liquidity Indicators

Market Liquidity Indicators

  Technical Document       

 

Government Securities - Market Liquidity Indicators

 

 

Liquid Securities

 

1A

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-19

0.02%

0.0221

0.4952

0.1-0.0025

 

Feb-19

0.03%

0.0309

0.6658

0.3-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-19

0.10%

0.0984

3.2425

0.6-0.0025

 

Feb-19

0.15%

0.1452

4.4570

2.15-0.005

 

 

Illiquid Securities (Orderbook was available for only a few days)

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-19

0.25%

0.2349

4.3610

1.25-0.0175

 

Feb-19

0.35%

0.3573

6.8999

1.7-0.04

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Mar-19

2567

130

61

2758

 

Feb-19

2998

81

49

3110

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Mar-19

4720

84458

29124

2758

 

 

 

 

34.48%

58.43%

 

Feb-19

5034

97067

33308

3128

 

 

 

 

34.31%

62.15%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Mar-19

0.0177

0.0195

0.0186

 

 

Feb-19

0.0250

0.0274

0.0262

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Mar-19

1.12%

0.26%

1.58%

0.02%

 

Feb-19

1.24%

0.18%

1.74%

0.02%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Mar-19

0.85%

2.42%

 

 

 

Feb-19

0.92%

2.81%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Mar-19

225

645

97

967

 

Feb-19

157

329

92

578

 


TitleMonthYear 
Market Liquidity IndicatorsMar2019Archive
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