18:57 May 9, 2021
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 Range (`)

Spread (bps)

Spread Range (`)

 

Apr-21

0.04%

0.0376

0.7461

0.6-0.0025

 

Mar-21

0.04%

0.0390

0.6077

0.41-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Apr-21

0.13%

0.1321

2.8873

1.05-0.01

 

Mar-21

0.09%

0.0907

4.5154

0.75-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Apr-21

0.35%

0.2266

10.9117

1.77-0.02

 

Mar-21

0.35%

0.1325

21.4451

1.03-0.03

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Apr-21

2078

120

85

2283

 

Mar-21

1519

115

86

1720

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Apr-21

4381

98675

29043

2283

 

 

 

 

29.43%

52.10%

 

Mar-21

3432

70996

20964

1720

 

 

 

 

29.53%

50.12%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Apr-21

0.0441

0.0429

0.0435

 

 

Mar-21

0.0351

0.0410

0.0381

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Apr-21

0.87%

0.20%

2.39%

0.02%

 

Mar-21

0.61%

0.16%

2.20%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Apr-21

0.73%

4.28%

 

 

 

Mar-21

0.55%

4.24%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

 

Apr-21

110 / 264

891

83

1348

 

Mar-21

101 / 261

821

89

1272


TitleMonthYear 
Market Liquidity IndicatorsApr2021Archive
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