19:01 Oct 23, 2017
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Market Liquidity Indicators

  Technical Document          

      

Government Securities - Market Liquidity Indicators

 

 

Liquid Securities

 

1A

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Sep-17

0.03%

0.0301

0.4079

0.19-0.0025

 

Aug-17

0.02%

0.0252

0.4067

0.19-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Sep-17

0.13%

0.1400

1.9849

1.05-0.01

 

Aug-17

0.12%

0.1280

2.1694

1.44-0.01

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Sep-17

0.31%

0.3231

5.4852

1.4-0.02

 

Aug-17

0.52%

0.6167

7.9817

1.75-0.03

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Sep-17

3583

63

65

3711

 

Aug-17

2985

63

55

3103

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Sep-17

6207

122652

41099

3711

 

 

 

 

33.51%

59.80%

 

Aug-17

5465

112915

34800

3103

 

 

 

 

30.82%

56.78%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Sep-17

0.0224

0.0234

0.0229

 

 

Aug-17

0.0227

0.0222

0.0224

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Sep-17

1.84%

0.30%

1.81%

0.00%

 

Aug-17

1.64%

0.25%

1.88%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Sep-17

1.09%

3.03%

 

 

 

Aug-17

0.99%

3.16%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Sep-17

91

785

59

935

 

Aug-17

86

868

63

1017

                                


TitleMonthYear 
Market Liquidity IndicatorsSep2017Archive
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