03:53 Mar 2, 2021
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 Range (`)

Spread (bps)

Spread Range (`)

 

Feb-21

0.04%

0.0370

0.5845

0.39-0.0025

 

Jan-21

0.02%

0.0223

0.3556

0.1425-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Feb-21

0.40%

0.4165

11.8622

2.25-0.01

 

Jan-21

0.20%

0.2004

4.2444

1.99-0.01

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Feb-21

0.48%

0.1806

5.7732

2.2-0.03

 

Jan-21

0.28%

0.3128

8.8077

1-0.01

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Feb-21

2131

83

47

2261

 

Jan-21

2023

97

54

2175

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Feb-21

4183

80867

24445

2261

 

 

 

 

30.23%

54.06%

 

Jan-21

4216

77401

23645

2175

 

 

 

 

30.55%

51.59%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Feb-21

0.0614

0.0587

0.0600

 

 

Jan-21

0.0227

0.0243

0.0235

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Feb-21

0.79%

0.16%

1.43%

0.00%

 

Jan-21

0.72%

0.12%

1.23%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Feb-21

0.61%

4.08%

 

 

 

Jan-21

0.55%

4.04%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

 

Feb-21

95 / 147

585

83

910

 

Jan-21

92 / 149

675

84

1000


TitleMonthYear 
Market Liquidity IndicatorsFeb2021Archive
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