14:51 Dec 14, 2019
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 (`)

 

Nov-19

0.02%

0.0175

0.3421

0.08-0.0025

 

Oct-19

0.03%

0.0307

0.5082

0.19-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Nov-19

0.09%

0.0952

2.9253

0.57-0.005

 

Oct-19

0.12%

0.1203

4.0800

0.7-0.0025

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Nov-19

0.41%

0.4525

5.9377

1.87-0.03

 

Oct-19

0.19%

0.2063

4.8306

1.55-0.005

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Nov-19

2779

67

42

2888

 

Oct-19

2516

62

43

2621

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Nov-19

4985

100537

32118

2888

 

 

 

 

31.95%

57.93%

 

Oct-19

4473

95286

30662

2621

 

 

 

 

32.18%

58.58%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Nov-19

0.0183

0.0198

0.0190

 

 

Oct-19

0.0306

0.0362

0.0334

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Nov-19

1.20%

0.14%

1.81%

0.00%

 

Oct-19

1.14%

0.14%

2.13%

0.02%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Nov-19

1.20%

3.00%

 

 

 

Oct-19

0.87%

2.94%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

 

Nov-19

89 / 57

1032

96

1274

 

Oct-19

84 / 89

535

99

807


TitleMonthYear 
Market Liquidity IndicatorsNov2019Archive
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