04:57 Apr 24, 2018
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 (`)

 

Mar-18

0.04%

0.0361

0.6630

0.23-0.0025

 

Feb-18

0.05%

0.0464

0.8599

0.48-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-18

0.09%

0.0965

2.9556

1.0275-0.01

 

Feb-18

0.23%

0.2287

4.5128

2.4-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Mar-18

1.11%

1.0879

11.8492

6-0.15

 

Feb-18

0.97%

0.9391

11.1552

3-0.03

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Mar-18

3014

75

54

3143

 

Feb-18

2798

50

38

2886

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Mar-18

5585

79739

28229

3143

 

 

 

 

35.40%

56.28%

 

Feb-18

5114

76732

25955

2886

 

 

 

 

33.83%

56.43%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Mar-18

0.0337

0.0382

0.0359

 

 

Feb-18

0.0498

0.0473

0.0486

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Mar-18

1.18%

0.23%

1.39%

0.00%

 

Feb-18

1.16%

0.13%

1.05%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Mar-18

0.71%

2.79%

 

 

 

Feb-18

0.67%

3.29%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Mar-18

134

595

74

803

 

Feb-18

133

407

63

603


TitleMonthYear 
Market Liquidity IndicatorsMar2018Archive
[Note : CCIL does not authorize commercial use of the data available in its website without written permission.]
Careers with us | FAQ | Sitemap| Contact Us | Disclaimer | Discussion Forum | Web Mail
Best viewed with Internet Explorer 9.0 and above | © 2017, Managed byCCIL-IT