16:26 Jan 16, 2017
Go Search

Market Liquidity Indicators

  Technical Document          

  

Government Securities - Market Liquidity Indicators

 

 

Liquid Securities

 

1A

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Dec-16

0.03%

0.0309

0.4123

0.22-0.0025

 

Nov-16

0.02%

0.0257

0.3409

0.14-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Dec-16

0.59%

0.6495

8.0602

3.75-0.02

 

Nov-16

0.27%

0.2994

6.1082

1.2-0.015

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Dec-16

0.62%

0.6710

17.9459

1.2-0.35

 

Nov-16

0.13%

0.1305

7.0917

0.28-0.07

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Dec-16

4810

68

61

4938

 

Nov-16

6880

98

60

7038

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Dec-16

8320

149035

56052

4938

 

 

 

 

37.61%

59.35%

 

Nov-16

11269

218246

86909

7038

 

 

 

 

39.82%

62.45%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Dec-16

0.0260

0.0263

0.0261

 

 

Nov-16

0.0205

0.0209

0.0207

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Dec-16

2.55%

0.23%

1.18%

0.02%

 

Nov-16

4.02%

0.28%

2.30%

0.03%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Dec-16

1.77%

3.82%

 

 

 

Nov-16

2.82%

3.37%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Dec-16

87

510

68

665

 

Nov-16

93

549

59

701

                                     


TitleMonthYear 
Market Liquidity IndicatorsDec2016Archive
[Note : CCIL does not authorize commercial use of the data available in its website without written permission.]
Careers with us | FAQ | Sitemap| Site Search| Contact Us | Disclaimer | Discussion Forum | Web Mail
Best viewed with Internet Explorer 8.0 and above | © 2015, Managed byCCIL-IT