Market Liquidity Indicators
Technical Document
Government Securities - Market Liquidity Indicators
Liquid Securities
1A
Bid – Ask Spread
Spread (Ratio)
Spread (`)
Spread (bps)
Spread Range (`)
Feb-23
0.02%
0.0213
0.3959
0.1025--0.0025
Jan-23
0.0245
0.4184
0.12-0.0025
Semi-Liquid Securities
1B
0.16%
0.1565
5.2777
1.0775-0.01
0.15%
0.1448
3.2319
1.1-0.0125
Illiquid Securities (Orderbook was available for only a few days)
1C
0.21%
0.2184
7.6107
0.85-0.015
0.1650
3.4799
0.5-0.025
Daily Average Deals
2
Average No. of Trades
G-Sec
SDLs
T-Bills
Total
2958
76
61
3096
2605
63
2744
3
Average Orderbook Size
No. of Orders
Order Value (` Cr.)
Traded Value (` Cr.)
Trades
5359
104255
33528
32.16%
57.76%
4840
93435
28389
30.38%
56.69%
4
Impact Cost (%)
Offer
Bid
Average
0.0202
0.0188
0.0195
0.0262
0.0238
0.0250
5A
Turnover Ratio - Components
Special
0.81%
0.13%
1.11%
0.03%
0.70%
0.08%
0.98%
0.01%
5B
Turnover Ratio - Market
Outright
Repo
0.60%
4.85%
0.51%
3.92%
6
No. of. Securities Traded
GSEC
SDL
T-BILL
108 / 216
603
87
1014
105 / 235
555
96
991