02:37 Aug 24, 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 (`)

 

Jul-17

0.02%

0.0210

0.3343

0.0905-0.0025

 

Jun-17

0.02%

0.0258

0.3360

0.425-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jul-17

0.18%

0.1997

3.6725

1.7-0.01

 

Jun-17

0.20%

0.1968

1.7258

1.4-0.01

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jul-17

0.29%

0.3312

12.6707

1.5-0.02

 

Jun-17

0.33%

0.3309

4.3521

1.65-0.0175

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Jul-17

4142

69

57

4267

 

Jun-17

4571

81

69

4722

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Jul-17

6949

136684

46892

4267

 

 

 

 

34.31%

61.41%

 

Jun-17

8024

147360

50630

4722

 

 

 

 

34.36%

58.85%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Jul-17

0.0191

0.0204

0.0198

 

 

Jun-17

0.0231

0.0252

0.0241

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Jul-17

2.26%

0.29%

1.62%

0.03%

 

Jun-17

2.34%

0.32%

2.20%

0.05%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Jul-17

1.61%

2.86%

 

 

 

Jun-17

1.72%

2.62%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Jul-17

87

791

59

937

 

Jun-17

89

737

62

888

 

                                       


TitleMonthYear 
Market Liquidity IndicatorsJul2017Archive
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