03:51 Dec 17, 2018
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 (`)

Spread (bps)

Spread Range (`)

 

Nov-18

0.02%

0.0242

0.5834

0.095-0.0025

 

Oct-18

0.04%

0.0396

0.6979

0.45-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Nov-18

0.20%

0.1980

3.2500

1.08-0.01

 

Oct-18

0.18%

0.1722

3.8807

0.95-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Nov-18

0.47%

0.4737

5.4982

2.5-0.03

 

Oct-18

0.28%

0.2698

4.0745

1.2-0.01

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Nov-18

2912

84

50

3046

 

Oct-18

2891

51

54

2997

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Nov-18

3639

57760

33347

3046

 

 

 

 

57.73%

83.71%

 

Oct-18

4378

71265

29902

2997

 

 

 

 

41.96%

68.46%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Nov-18

0.0220

0.0233

0.0226

 

 

Oct-18

0.0326

0.0410

0.0368

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Nov-18

1.29%

0.19%

1.50%

0.00%

 

Oct-18

1.17%

0.12%

1.35%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Nov-18

0.95%

2.91%

 

 

 

Oct-18

0.85%

3.69%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Nov-18

80

327

83

490

 

Oct-18

156

270

73

499


TitleMonthYear 
Market Liquidity IndicatorsNov2018Archive
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