05:04 Aug 18, 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 (`)

 

Jul-18

0.03%

0.0289

0.5097

0.27-0.0025

 

Jun-18

0.04%

0.0426

0.7735

0.63-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jul-18

0.12%

0.1194

3.1544

0.95-0.005

 

Jun-18

0.13%

0.1297

5.2412

1.1-0.005

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jul-18

0.79%

0.7233

7.9657

2.5-0.01

 

Jun-18

0.52%

0.5206

6.6614

1.07-0.01

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Jul-18

2496

45

44

2585

 

Jun-18

2576

46

43

2665

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Jul-18

4460

71403

23986

2585

 

 

 

 

33.59%

57.95%

 

Jun-18

4623

67486

24114

2665

 

 

 

 

35.73%

57.64%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Jul-18

0.0476

0.0478

0.0477

 

 

Jun-18

0.0520

0.0520

0.0520

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Jul-18

0.98%

0.12%

1.12%

0.02%

 

Jun-18

1.04%

0.11%

1.49%

0.01%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Jul-18

0.68%

2.64%

 

 

 

Jun-18

0.77%

3.17%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Jul-18

204

513

63

780

 

Jun-18

111

548

53

712


TitleMonthYear 
Market Liquidity IndicatorsJul2018Archive
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