Market Liquidity Indicators
Technical Document
Government Securities - Market Liquidity Indicators
Liquid Securities
1A
Bid – Ask Spread
Spread (Ratio)
Spread (`)
Spread (bps)
Spread Range (`)
Aug-23
0.02%
0.0214
0.4556
0.25-0.0025
Jul-23
0.0164
0.3513
0.09-0.0025
Semi-Liquid Securities
1B
0.10%
0.1004
5.9411
0.33-0.0025
0.06%
0.0632
2.8030
0.34-0.005
Illiquid Securities (Orderbook was available for only a few days)
1C
0.13%
0.1291
6.9920
0.65-0.0025
0.09%
0.0905
4.0159
0.22-0.0075
Daily Average Deals
2
Average No. of Trades
G-Sec
SDLs
T-Bills
Total
3551
57
77
3684
3717
52
89
3859
3
Average Orderbook Size
No. of Orders
Order Value (` Cr.)
Traded Value (` Cr.)
Trades
5893
120206
40645
33.81%
62.51%
6125
129437
43079
33.28%
63.01%
4
Impact Cost (%)
Offer
Bid
Average
0.0201
0.0198
0.0200
0.0168
0.0178
0.0173
5A
Turnover Ratio - Components
Special
0.90%
1.35%
0.04%
0.98%
0.07%
1.44%
0.17%
5B
Turnover Ratio - Market
Outright
Repo
0.65%
4.56%
0.71%
5.12%
6
No. of. Securities Traded
GSEC
SDL
T-BILL
122 /219
732
97
1170
108 /277
593
92
1070