07:53 Jul 29, 2021
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 Range (`)

Spread (bps)

Spread Range (`)

 

Jun-21

0.02%

0.0215

0.4511

0.18-0.0025

 

May-21

0.02%

0.0220

0.4353

0.24-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Jun-21

0.07%

0.0777

3.1902

0.59-0.005

 

May-21

0.09%

0.0919

2.0748

1-0.01

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread Range (`)

Spread (bps)

Spread Range (`)

 

Jun-21

0.60%

0.5482

10.4557

4.35-0.015

 

May-21

0.17%

0.0925

9.5932

0.65-0.015

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Jun-21

1943

121

73

2137

 

May-21

2021

133

64

2218

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Apr-21

4320

89799

25121

2137

 

 

 

 

27.97%

49.47%

 

May-21

4473

93650

26389

2218

 

 

 

 

28.18%

49.60%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Jun-21

0.0284

0.0274

0.0279

 

 

May-21

0.0225

0.0325

0.0275

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Jun-21

0.67%

0.16%

1.89%

0.01%

 

May-21

0.74%

0.16%

1.54%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Jun-21

0.59%

3.93%

 

 

 

May-21

0.60%

4.17%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

 

Jun-21

100 / 97

740

86

1023

 

May-21

103 / 97

745

74

1019


TitleMonthYear 
Market Liquidity IndicatorsJun2021Archive
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