Government Securities - Market Liquidity Indicators

Liquid Securities

1A

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

Apr-24

0.02%

0.0163

0.2956

0.1875-0.0025

Mar-24

0.01%

0.0150

0.3470

0.075-0.0025

Semi-Liquid Securities

1B

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

Apr-24

0.11%

0.1077

3.5089

0.47-0.005

Mar-24

0.06%

0.0558

3.2664

0.2-0.0075

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

1C

Bid – Ask Spread

Spread (Ratio)

Spread (`)

Spread (bps)

Spread Range (`)

Apr-24

0.17%

0.1706

4.0659

0.8-0.0225

Mar-24

0.17%

0.1692

4.6679

0.55-0.02

Daily Average Deals

2

Average No. of Trades

G-Sec

SDLs

T-Bills

Total

Apr-24

3395

62

101

3558

Mar-24

2774

129

110

3013

3

Average Orderbook Size

No. of Orders

Order Value (` Cr.)

Traded Value (` Cr.)

Trades

Apr-24

5663

136485

43523

3558

31.89%

62.83%

Mar-24

5197

116664

37536

3013

32.17%

57.98%

4

Impact Cost (%)

Offer

Bid

Average

Apr-24

0.0161

0.0166

0.0164

Mar-24

0.0194

0.0200

0.0197

5A

Turnover Ratio  - Components

G-Sec

SDLs

T-Bills

Special

Apr-24

0.88%

0.08%

2.01%

0.06%

Mar-24

0.77%

0.24%

1.82%

0.37%

5B

Turnover Ratio - Market

Outright

Repo

Apr-24

0.67%

4.68%

Mar-24

0.65%

4.84%

6

No. of. Securities Traded

GSEC

SDL

T-BILL

Total

Apr-24

116 /116

512

96

840

Mar-24

116 /81

958

98

1253