15:17 Jun 29, 2022
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 (`)

 

May-22

0.04%

0.0369

0.6135

0.48-0.0025

 

Apr-22

0.03%

0.0260

0.4509

0.27-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

May-22

0.20%

0.1956

5.3715

1.75-0.0025

 

Apr-22

0.22%

0.2257

4.0473

1.2-0.01

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

May-22

0.39%

0.1887

23.3964

1.1-0.06

 

Apr-22

0.29%

0.1368

12.0621

1.4-0.02

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

May-22

2938

70

68

3076

 

Apr-22

2938

70

76

3084

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

May-22

5377

92733

30654

3076

 

 

 

 

33.06%

57.20%

 

Apr-22

5462

100684

31808

3084

 

 

 

 

31.59%

56.46%

4

Impact Cost (%)

Offer

Bid

Average

 

 

May-22

0.0380

0.0384

0.0382

 

 

Apr-22

0.0287

0.0278

0.0283

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

May-22

0.81%

0.10%

1.29%

0.01%

 

Apr-22

0.88%

0.29%

1.60%

0.01%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

May-22

0.60%

4.37%

 

 

 

Apr-22

0.72%

4.07%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

GSEC

SDL

T-BILL

Total

 

May-22

109 / 170

740

76

1095

 

Apr-22

114 / 88

969

88

1343



TitleMonthYear 
Market Liquidity IndicatorsMay2022Archive
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