18:10 Jan 25, 2020
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 (`)

 

Dec-19

0.04%

0.0360

0.5698

0.33-0.0025

 

Nov-19

0.02%

0.0175

0.3421

0.08-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Dec-19

0.09%

0.0908

10.2445

1.05-0.0025

 

Nov-19

0.09%

0.0952

2.9253

0.57-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Dec-19

0.48%

0.5251

6.3638

1.7-0.04

 

Nov-19

0.41%

0.4525

5.9377

1.87-0.03

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Dec-19

2544

57

41

2642

 

Nov-19

2779

67

42

2888

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Dec-19

4585

91086

29679

2642

 

 

 

 

32.58%

57.61%

 

Nov-19

4985

100537

32118

2888

 

 

 

 

31.95%

57.93%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Dec-19

0.0289

0.0295

0.0292

 

 

Nov-19

0.0183

0.0198

0.0190

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Dec-19

1.08%

0.18%

2.20%

0.02%

 

Nov-19

1.20%

0.14%

1.81%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Dec-19

0.84%

3.69%

 

 

 

Nov-19

1.20%

3.00%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

 

Dec-19

92 / 81

701

91

965

 

Nov-19

89 / 57

1032

96

1274

 


TitleMonthYear 
Market Liquidity IndicatorsDec2019Archive
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