08:01 Aug 23, 2019
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 (`)

 

Jul-19

0.03%

0.0311

0.6063

0.25-0.0025

 

Jun-19

0.02%

0.0226

0.5464

0.15-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jul-19

0.11%

0.1111

2.2942

1.09-0.005

 

Jun-19

0.14%

0.1439

2.7310

1.2-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jul-19

0.61%

0.6133

5.4996

2.71-0.01

 

Jun-19

0.47%

0.4657

4.8915

2.3-0.025

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Jul-19

5503

94

63

5660

 

Jun-19

5137

122

55

5314

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Jul-19

8939

177164

64993

5660

 

 

 

 

36.69%

63.32%

 

Jun-19

8362

176874

64074

5314

 

 

 

 

36.23%

63.56%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Jul-19

0.0247

0.0285

0.0266

 

 

Jun-19

0.0243

0.0275

0.0259

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Jul-19

2.40%

0.24%

2.10%

0.01%

 

Jun-19

2.40%

0.25%

1.96%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Jul-19

1.67%

2.52%

 

 

 

Jun-19

1.66%

2.72%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Jul-19

167

726

100

993

 

Jun-19

172

696

99

967

               

TitleMonthYear 
Market Liquidity IndicatorsJul2019Archive
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