00:11 Oct 17, 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 (`)

 

Sep-18

0.04%

0.0390

0.7010

0.43-0.0025

 

Aug-18

0.02%

0.0213

0.3836

0.13-0.0025

 

 

Semi-Liquid Securities

 

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Sep-18

0.12%

0.1167

6.4605

0.68-0.005

 

Aug-18

0.06%

0.0622

2.7617

0.27-0.0075

 

 

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

 

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

 

Sep-18

0.54%

0.5141

7.9392

1.85-0.05

 

Aug-18

0.19%

0.1816

4.5060

0.55--0.01

 

 

 

 

Daily Average Deals

 

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

 

Sep-18

3741

52

46

3840

 

Aug-18

2747

50

48

2845

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

 

Sep-18

6152

97403

35985

3840

 

 

 

 

36.94%

62.42%

 

Aug-18

4757

86299

29766

2845

 

 

 

 

34.49%

59.81%

4

Impact Cost (%)

Offer

Bid

Average

 

 

Sep-18

0.0415

0.0428

0.0422

 

 

Aug-18

0.0259

0.0240

0.0249

 

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

 

Sep-18

1.39%

0.13%

1.26%

0.00%

 

Aug-18

1.16%

0.13%

1.49%

0.00%

5B

Turnover Ratio - Market

Outright

Repo

 

 

 

Sep-18

0.98%

3.22%

 

 

 

Aug-18

0.85%

2.59%

 

 

 

 

 

 

 

 

6

No. of. Securities Traded

G-Sec

SDLs

T-Bills

Total

 

Sep-18

166

312

65

543

 

Aug-18

101

388

61

550


TitleMonthYear 
Market Liquidity IndicatorsSep2018Archive
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