18:51 Jul 16, 2020
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 (`)

 

Jun-20

0.04%

0.0380

0.5953

0.5-0.0025

 

May-20

0.05%

0.0581

0.9501

0.5-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jun-20

0.29%

0.3055

4.5443

1.15-0.01

 

May-20

0.25%

0.2772

5.3410

1.15-0.01

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Jun-20

0.38%

0.4250

8.1984

1.15-0.02

 

May-20

0.34%

0.3722

10.6153

1.9-0.04

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Jun-20

2021

96

83

2200

 

May-20

2656

127

99

2882

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Jun-20

4343

100235

30272

2200

 

 

 

 

30.20%

50.66%

 

May-20

5134

127713

42150

2882

 

 

 

 

33.00%

56.13%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Jun-20

0.0306

0.0327

0.0317

 

 

May-20

0.0399

0.0481

0.0440

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Jun-20

1.02%

0.14%

1.98%

0.02%

 

May-20

1.46%

0.13%

2.66%

0.03%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Jun-20

0.81%

3.97%

 

 

 

May-20

1.09%

4.29%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

 

Jun-20

93 / 103

644

86

926

 

May-20

83 / 182

476

79

820

 


TitleMonthYear 
Market Liquidity IndicatorsJun2020Archive
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