04:09 Apr 6, 2020
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-20

0.09%

0.0935

1.5762

1.74-0.0025

 

Feb-20

0.02%

0.0233

0.4336

0.13-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-20

0.33%

0.3495

9.9736

1.4-0.02

 

Feb-20

0.15%

0.1498

2.9429

1.12-0.01

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-20

0.29%

0.3186

8.4728

1.99-0.04

 

Feb-20

0.23%

0.2487

6.1455

0.9-0.005

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Mar-20

3698

93

93

3884

 

Feb-20

4141

111

73

4325

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Mar-20

6323

137543

49885

3884

 

 

 

 

36.27%

61.42%

 

Feb-20

7088

151192

53261

4325

 

 

 

 

35.23%

61.02%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Mar-20

0.0621

0.0624

0.0622

 

 

Feb-20

0.0200

0.0223

0.0212

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Mar-20

1.82%

0.18%

3.07%

0.01%

 

Feb-20

1.94%

0.20%

2.14%

0.01%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Mar-20

1.32%

3.77%

 

 

 

Feb-20

1.37%

3.44%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

 

Mar-20

91 / 12

666

91

860

 

Feb-20

93 / 120

784

87

1084

              


TitleMonthYear 
Market Liquidity IndicatorsMar2020Archive
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