09:27 Oct 18, 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 (`)

 

Sep-19

0.04%

0.0402

0.6605

0.305-0.0025

 

Aug-19

0.04%

0.0375

0.7109

0.29-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Sep-19

0.07%

0.0753

5.7794

0.48-0.005

 

Aug-19

0.28%

0.2923

5.6739

0.99-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Sep-19

0.53%

0.5429

5.3853

3.59-0.05

 

Aug-19

0.23%

0.2478

7.7462

1.4-0.0025

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Sep-19

3159

60

36

3255

 

Aug-19

4098

76

48

4222

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Sep-19

5151

104411

35202

3093

 

 

 

 

33.72%

60.04%

 

Aug-19

6732

136708

48506

4222

 

 

 

 

35.48%

62.71%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Sep-19

0.0334

0.0371

0.0352

 

 

Aug-19

0.0289

0.0325

0.0307

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Sep-19

1.41%

0.19%

2.21%

0.01%

 

Aug-19

1.82%

0.20%

2.60%

0.01%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Sep-19

1.05%

2.50%

 

 

 

Aug-19

1.33%

2.59%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Sep-19

281

522

95

898

 

Aug-19

252

669

98

1019

               


TitleMonthYear 
Market Liquidity IndicatorsSep2019Archive
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