15:55 Feb 18, 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 (`)

 

Jan-19

0.03%

0.0304

0.8959

0.2-0.0025

 

Dec-18

0.08%

0.0803

1.1865

0.75-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jan-19

0.16%

0.1639

3.8281

1.99-0.0025

 

Dec-18

0.15%

0.1567

4.1738

1.1025-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jan-19

0.33%

0.3415

6.1578

1.29-0.05

 

Dec-18

0.38%

0.3978

6.9656

1.3-0.045

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Jan-19

2991

64

55

3110

 

Dec-18

3871

94

55

4021

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Jan-19

5162

87243

31157

3110

 

 

 

 

35.71%

62.99%

 

Dec-18

6326

125198

46613

4021

 

 

 

 

37.23%

63.57%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Jan-19

0.0407

0.0426

0.0417

 

 

Dec-18

0.0518

0.0559

0.0538

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Jan-19

1.20%

0.15%

1.45%

0.07%

 

Dec-18

1.73%

0.24%

2.29%

0.01%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Jan-19

0.87%

2.15%

 

 

 

Dec-18

1.28%

2.48%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Jan-19

124

405

100

629

 

Dec-18

98

599

87

784

 


TitleMonthYear 
Market Liquidity IndicatorsJan2019Archive
[Note : CCIL does not authorize commercial use of the data available in its website without written permission.]
Careers with us | FAQ | Sitemap| Contact Us | Disclaimer | Privacy Policy | Discussion Forum | Web Mail
Best viewed with Internet Explorer 9.0 and above | © 2017, Managed byCCIL-IT