07:53 Jan 21, 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 (`)

 

Dec-17

0.07%

0.0648

0.9880

1.45-0.0025

 

Nov-17

0.03%

0.0275

0.4648

0.4-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Dec-17

0.21%

0.2182

3.5150

1.1-0.01

 

Nov-17

0.16%

0.1702

3.1384

1--0.04

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Dec-17

0.62%

0.6167

6.5494

3-0.02

 

Nov-17

0.55%

0.5501

7.6084

2.5-0.05

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Dec-17

3285

62

44

3391

 

Nov-17

3757

55

36

2921

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Dec-17

5680

103209

35076

3391

 

 

 

 

33.99%

59.70%

 

Nov-17

6414

119124

40910

3848

 

 

 

 

34.34%

60.00%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Dec-17

0.0479

0.0563

0.0521

 

 

Nov-17

0.0273

0.0300

0.0287

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Dec-17

1.52%

0.16%

1.47%

0.00%

 

Nov-17

1.77%

0.13%

1.19%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Dec-17

0.88%

3.20%

 

 

 

Nov-17

0.99%

3.32%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Dec-17

82

448

56

586

 

Nov-17

91

452

63

606


TitleMonthYear 
Market Liquidity IndicatorsDec2017Archive
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