20:31 Nov 28, 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 (`)

 

Oct-22

0.03%

0.0321

0.5366

0.1175-0.005

 

Sep-22

0.03%

0.0281

0.4584

0.23-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Oct-22

0.24%

0.2371

7.5225

0.8475-0.015

 

Sep-22

0.31%

0.2988

5.3349

1.1-0.01

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Oct-22

0.42%

0.2875

9.4672

1.7-0.01

 

Sep-22

0.54%

0.3628

7.9201

1.85-0.0475

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Oct-22

2527

55

82

2664

 

Sep-22

6449

69

75

6593

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Oct-22

4791

79290

25282

2664

 

 

 

 

31.89%

55.60%

 

Sep-22

6194

109057

35786

3593

 

 

 

 

32.81%

58.01%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Oct-22

0.0376

0.0393

0.0385

 

 

Sep-22

0.0289

0.0292

0.0291

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Oct-22

0.67%

0.09%

0.84%

0.00%

 

Sep-22

0.89%

0.08%

1.33%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Oct-22

0.49%

4.91%

 

 

 

Sep-22

0.65%

4.55%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

GSEC

SDL

T-BILL

Total

 

Oct-22

100 / 191

358

84

733

 

Sep-22

111 / 310

637

91

1149





TitleMonthYear 
Market Liquidity IndicatorsOct2022Archive
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