14:52 Mar 3, 2024
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 (`)

 

Feb-24

0.02%

0.0201

0.3926

0.235-0.0025

 

Jan-24

0.01%

0.0149

0.2855

0.07-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Feb-24

0.16%

0.1670

2.8410

0.9-0.005

 

Jan-24

0.13%

0.1298

2.8505

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 (`)

 

Feb-24

0.26%

0.2452

2.3665

0.98-0.03

 

Jan-24

0.14%

0.1427

3.5201

0.67-0.01

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Feb-24

3792

93

83

3969

 

Jan-24

3337

94

91

3522

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Feb-24

6014

131936

44819

3780

 

 

 

 

33.97%

62.85%

 

Jan-24

5551

119800

40370

3522

 

 

 

 

33.70%

63.46%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Feb-24

0.6824

0.6850

0.6837

 

 

Jan-24

0.0181

0.0213

0.0197

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Feb-24

1.01%

0.14%

1.51%

0.08%

 

Jan-24

0.85%

0.11%

1.60%

0.08%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Feb-24

0.75%

4.97%

 

 

 

Jan-24

0.64%

4.23%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

GSEC

SDL

T-BILL

Total

 

Feb-24

120 /254

828

95

1297

 

Jan-24

121 /185

653

89

1048



TitleMonthYear 
Market Liquidity IndicatorsFeb2024Archive
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