00:05 Jun 23, 2018
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-18

0.07%

0.0607

1.0620

0.94-0.005

 

Apr-18

0.05%

0.0458

0.9504

0.3525-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

May-18

0.14%

0.1406

7.0736

0.73-0.01

 

Apr-18

0.21%

0.2149

7.0294

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 (`)

 

May-18

1.30%

1.2591

13.8778

5-0.0475

 

Apr-18

0.19%

0.1893

8.6740

0.67-0.01

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

May-18

2348

36

22

2406

 

Apr-18

3913

56

41

3143

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

May-18

4211

58700

20156

2406

 

 

 

 

34.34%

57.12%

 

Apr-18

6832

102547

36396

4009

 

 

 

 

35.49%

58.67%

4

Impact Cost (%)

Offer

Bid

Average

 

 

May-18

0.0645

0.0587

0.0616

 

 

Apr-18

0.0429

0.0501

0.0465

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

May-18

0.92%

0.12%

0.94%

0.02%

 

Apr-18

1.58%

0.20%

1.37%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

May-18

0.94%

3.14%

 

 

 

Apr-18

1.12%

3.08%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

May-18

121

471

62

654

 

Apr-18

89

519

68

676


TitleMonthYear 
Market Liquidity IndicatorsMay2018Archive
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