Government Securities - Market Liquidity Indicators

Liquid Securities

1A

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

Feb-23

0.02%

0.0213

0.3959

0.1025--0.0025

Jan-23

0.02%

0.0245

0.4184

0.12-0.0025

Semi-Liquid Securities

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

Feb-23

0.16%

0.1565

5.2777

1.0775-0.01

Jan-23

0.15%

0.1448

3.2319

1.1-0.0125

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

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

Feb-23

0.21%

0.2184

7.6107

0.85-0.015

Jan-23

0.16%

0.1650

3.4799

0.5-0.025

Daily Average Deals

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

Feb-23

2958

76

61

3096

Jan-23

2605

76

63

2744

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

Feb-23

5359

104255

33528

3096

32.16%

57.76%

Jan-23

4840

93435

28389

2744

30.38%

56.69%

4

Impact Cost (%)

Offer

Bid

Average

Feb-23

0.0202

0.0188

0.0195

Jan-23

0.0262

0.0238

0.0250

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

Feb-23

0.81%

0.13%

1.11%

0.03%

Jan-23

0.70%

0.08%

0.98%

0.01%

5B

Turnover Ratio - Market

Outright

Repo

Feb-23

0.60%

4.85%

Jan-23

0.51%

3.92%

6

No. of. Securities Traded

GSEC

SDL

T-BILL

Total

Feb-23

108 / 216

603

87

1014

Jan-23

105 / 235

555

96

991