15:40 Jun 23, 2017
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Market Liquidity Indicators

  Technical Document          

   

 

Government Securities - Market Liquidity Indicators

 

 

Liquid Securities

 

1A

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

May-17

0.03%

0.0312

0.4302

0.28-0.0025

 

Apr-17

0.04%

0.0389

0.5214

0.6-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

May-17

0.14%

0.1346

2.1878

0.7-0.01

 

Apr-17

0.24%

0.2581

3.4711

1.42-0.02

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

May-17

0.30%

0.3002

2.9672

1.5-0.03

 

Apr-17

0.57%

0.5861

8.2151

3.25-0.01

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

May-17

3335

47

44

3426

 

Apr-17

3217

57

41

3314

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

May-17

6120

100928

33295

3426

 

 

 

 

32.99%

55.97%

 

Apr-17

6037

95739

30877

3314

 

 

 

 

32.25%

54.90%

4

Impact Cost (%)

Offer

Bid

Average

 

 

May-17

0.0291

0.0311

0.0301

 

 

Apr-17

0.0356

0.0363

0.0360

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

May-17

1.67%

0.17%

1.76%

0.04%

 

Apr-17

1.51%

0.22%

1.76%

0.10%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

May-17

1.22%

2.90%

 

 

 

Apr-17

1.12%

2.98%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

May-17

89

600

59

748

 

Apr-17

93

502

54

649

                                     


TitleMonthYear 
Market Liquidity IndicatorsMay2017Archive
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