02:32 Oct 22, 2021
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 Range (`)

Spread (bps)

Spread Range (`)

 

Sep-21

0.02%

0.0175

0.4196

0.32-0.0025

 

Aug-21

0.02%

0.0180

0.4043

0.1975-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Sep-21

0.14%

0.1399

4.1765

1-0.005

 

Aug-21

0.11%

0.1196

3.7990

1.15-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Sep-21

0.50%

0.3092

13.1143

1.12-0.03

 

Aug-21

0.32%

0.1018

3.2214

0.99--0.01

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Sep-21

3784

138

66

3988

 

Aug-21

2195

107

74

2376

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Sep-21

6674

132828

43721

3988

 

 

 

 

32.92%

59.75%

 

Aug-21

4612

99291

27290

2376

 

 

 

 

27.48%

51.53%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Sep-21

0.0191

0.0203

0.0197

 

 

Aug-21

0.0193

0.0198

0.0196

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Sep-21

1.20%

0.13%

1.27%

0.02%

 

Aug-21

0.74%

0.12%

1.51%

0.01%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Sep-21

0.84%

3.81%

 

 

 

Aug-21

0.58%

3.55%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

 

Sep-21

102 / 267

868

77

1314

 

Aug-21

101 / 224

799

86

1210



  








 


TitleMonthYear 
Market Liquidity IndicatorsSep2021Archive
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