19:25 Jan 20, 2022
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 (`)

 

Dec-21

0.02%

0.0162

0.3152

0.1225-0.0025

 

Nov-21

0.02%

0.0218

0.3035

0.21-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Dec-21

0.14%

0.1443

3.3991

1.2-0.01

 

Nov-21

0.14%

0.1464

3.0803

1.32-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Dec-21

0.36%

0.2237

11.9579

1-0.04

 

Nov-21

0.39%

0.2408

15.1372

1.45-0.03

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Dec-21

1659

90

55

1804

 

Nov-21

2126

110

57

2293

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Dec-21

3792

69018

19201

1804

 

 

 

 

27.82%

47.58%

 

Nov-21

4235

81553

24199

2293

 

 

 

 

29.67%

54.15%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Dec-21

0.0214

0.0229

0.0222

 

 

Nov-21

0.0259

0.0237

0.0248

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Dec-21

0.53%

0.11%

1.28%

0.02%

 

Nov-21

0.67%

0.11%

1.12%

0.03%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Dec-21

0.43%

4.34%

 

 

 

Nov-21

0.51%

4.31%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

 

 

 

 

 

Dec-21

107 / 323

818

77

1325

 

Nov-21

112 / 86

657

69

924





TitleMonthYear 
Market Liquidity IndicatorsDec2021Archive
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