20:01 Feb 28, 2017
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Market Liquidity Indicators

  Technical Document          

    

Government Securities - Market Liquidity Indicators

 

 

Liquid Securities

 

1A

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jan-17

0.02%

0.0229

0.3634

0.1775-0.0025

 

Dec-16

0.03%

0.0309

0.4123

0.22-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jan-17

0.39%

0.4221

4.7839

2-0.02

 

Dec-16

0.59%

0.6495

8.0602

3.75-0.02

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jan-17

0.44%

0.4783

8.2902

1.65-0.05

 

Dec-16

0.62%

0.6710

17.9459

1.2-0.35

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Jan-17

4618

56

73

4747

 

Dec-16

4810

68

61

4938

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Jan-17

8007

140334

51107

4747

 

 

 

 

36.42%

59.29%

 

Dec-16

8320

149035

56052

4938

 

 

 

 

37.61%

59.35%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Jan-17

0.0232

0.0268

0.0250

 

 

Dec-16

0.0260

0.0263

0.0261

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Jan-17

2.32%

0.20%

1.47%

0.13%

 

Dec-16

2.55%

0.23%

1.18%

0.02%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Jan-17

1.63%

3.09%

 

 

 

Dec-16

1.77%

3.82%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Jan-17

83

494

64

641

 

Dec-16

87

510

68

665

                                     


TitleMonthYear 
Market Liquidity IndicatorsJan2017Archive
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