18:29 Sep 25, 2020
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 ()

Aug-20

0.03%

0.0265

0.4433

0.1475-0.0025

Jul-20

0.02%

0.0232

0.4038

0.35-0.0025

Semi-Liquid Securities

1B

Bid – Ask Spread

Spread (Ratio)

Spread (₹)

Spread (bps)

Spread Range (₹)

Aug-20

0.15%

0.1638

4.1609

0.85-0.01

Jul-20

0.10%

0.1057

3.2233

0.45-0.0125

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

1C

Bid – Ask Spread

Spread (Ratio)

Spread (₹)

Spread (bps)

Spread Range (₹)

Aug-20

0.19%

0.2064

11.3175

0.9-0.005

Jul-20

0.13%

0.1469

5.4795

0.5-0.01

Daily Average Deals

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

Aug-20

2148

63

70

2281

Jul-20

2652

138

78

2868

3

Average Orderbook Size

No. of Orders

Order Value (₹ Cr.)

Traded Value (₹ Cr.)

Trades

Aug-20

4198

100434

29845

2281

29.72%

54.34%

Jul-20

5224

122455

38106

2868

31.12%

54.90%

4

Impact Cost (%)

Offer

Bid

Average

Aug-20

0.0237

0.0243

0.0240

Jul-20

0.0198

0.0209

0.0203

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

Aug-20

0.99%

0.10%

1.48%

0.00%

Jul-20

1.26%

0.16%

1.43%

0.01%

5B

Turnover Ratio - Market

Outright

Repo

Aug-20

0.74%

3.84%

Jul-20

0.90%

3.64%

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

Aug-20

96 / 233

546

83

958

Jul-20

100 / 237

176

86

599


TitleMonthYear 
Market Liquidity IndicatorsAug2020Archive
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