16:28 Dec 4, 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 (`)

 

Nov-20

0.03%

0.0314

0.5033

0.24-0.0025

 

Oct-20

0.03%

0.0282

0.4428

0.22-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Nov-20

0.22%

0.2346

6.0236

1.2-0.01

 

Oct-20

0.21%

0.2190

2.5396

2.4-0.0075

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Nov-20

0.52%

0.5938

7.9669

1.53-0.03

 

Oct-20

0.29%

0.3201

12.2814

1.3-0.06

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Nov-20

2104

102

64

2270

 

Oct-20

2631

138

84

2852

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Nov-20

4471

100186

28788

2270

 

 

 

 

28.73%

50.78%

 

Oct-20

5198

121965

35974

2852

 

 

 

 

29.50%

54.87%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Nov-20

0.0263

0.0317

0.0290

 

 

Oct-20

0.0234

0.0272

0.0253

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Nov-20

0.87%

0.13%

1.44%

0.00%

 

Oct-20

1.05%

0.15%

1.35%

0.02%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Nov-20

0.67%

3.78%

 

 

 

Oct-20

0.77%

3.81%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec / STRIPS

SDLs

T-Bills

Total

 

Nov-20

103 / 215

698

88

1104

 

Oct-20

97 / 177

678

88

1040


TitleMonthYear 
Market Liquidity IndicatorsNov2020Archive
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