Government Securities - Market Liquidity Indicators

Liquid Securities

1A

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

Aug-23

0.02%

0.0214

0.4556

0.25-0.0025

Jul-23

0.02%

0.0164

0.3513

0.09-0.0025

Semi-Liquid Securities

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

Aug-23

0.10%

0.1004

5.9411

0.33-0.0025

Jul-23

0.06%

0.0632

2.8030

0.34-0.005

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

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

Aug-23

0.13%

0.1291

6.9920

0.65-0.0025

Jul-23

0.09%

0.0905

4.0159

0.22-0.0075

Daily Average Deals

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

Aug-23

3551

57

77

3684

Jul-23

3717

52

89

3859

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

Aug-23

5893

120206

40645

3684

33.81%

62.51%

Jul-23

6125

129437

43079

3859

33.28%

63.01%

4

Impact Cost (%)

Offer

Bid

Average

Aug-23

0.0201

0.0198

0.0200

Jul-23

0.0168

0.0178

0.0173

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

Aug-23

0.90%

0.06%

1.35%

0.04%

Jul-23

0.98%

0.07%

1.44%

0.17%

5B

Turnover Ratio - Market

Outright

Repo

Aug-23

0.65%

4.56%

Jul-23

0.71%

5.12%

6

No. of. Securities Traded

GSEC

SDL

T-BILL

Total

Aug-23

122 /219

732

97

1170

Jul-23

108 /277

593

92

1070