01:54 Jun 27, 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 (`)

 

May-19

0.02%

0.0197

0.4776

0.145-0.0025

 

Apr-19

0.03%

0.0271

0.6489

0.37-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

May-19

0.08%

0.0849

2.8807

0.55-0.005

 

Apr-19

0.16%

0.1566

4.1594

0.65-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

May-19

0.28%

0.2774

4.2419

1.15-0.01

 

Apr-19

0.19%

0.1951

7.6549

1.05-0.0025

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

May-19

3721

104

46

3871

 

Apr-19

2897

76

43

3015

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

May-19

6347

116935

40983

3871

 

 

 

 

35.05%

61.00%

 

Apr-19

5017

94758

32232

3015

 

 

 

 

34.01%

60.11%

4

Impact Cost (%)

Offer

Bid

Average

 

 

May-19

0.0193

0.0231

0.0212

 

 

Apr-19

0.0304

0.0352

0.0328

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

May-19

1.51%

0.23%

1.60%

0.01%

 

Apr-19

1.32%

0.20%

1.97%

0.01%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

May-19

1.09%

2.33%

 

 

 

Apr-19

0.98%

2.49%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

May-19

153

685

96

934

 

Apr-19

102

450

97

649

 


TitleMonthYear 
Market Liquidity IndicatorsMay2019Archive
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