364-day bill WAY up for the first time in 11 weeks
Wednesday, 7 August 2013 00:00
By Wealth Trust Securities
The weighted average (WAY) on the 364-day bill increased for the first time in 11 weeks at yesterday’s weekly Treasury bill auction. The increase was 5 basis points to record a weighted average of 10.57%. Once again, the amount accepted was higher than the initial offered amount of Rs. 12 billion by Rs. 5.6 billion, while the 91-day and 182-day bills were not on offer for a second consecutive week.
Subsequent to the release of the auction results, selling pressure was witnessed in secondary bond markets with the liquid two five year maturities (i.e. 1.4.2018 and 15.8.2018), hitting intraday highs of 11.31% and 11.36% respectively on the back of thin volumes while the two year, four year and eight year maturities were quoted at levels of 10.60/80, 10.88/95 and 11.55/65 respectively.
In addition, the 364-day bill was seen changing hands at levels of 10.55% in secondary markets while durations centring the 182-day bill were quoted at levels of 10.75% to 10.95%.
In money markets, overnight surplus liquidity remained high at Rs. 31.46 billion yesterday as call money and repo were seen averaging 8.73% and 7.98% respectively. The Open Market Operations (OMO) department of Central bank was seen mopping up an amount of Rs. 10.00 billion on an overnight basis at a weighted average of 7.697% by way of a repo auction while a further Rs. 21.46 billion was deposited at CBSL’s repo window of 7.00%.
However, an attempt to drain out liquidity on a more permanent basis was unsuccessful as no bids were received for a Rs. 6 billion outright sale of Treasury bills for 16 days.
Rupee spot contracts remain steady
The USD/LKR spot rate remained broadly steady yesterday to close the day at Rs. 131.60/65. However, spot next contracts were seen closing the day marginally lower at Rs. 131.72/75 against Monday’s closing of Rs. 131.64/68 on the back of importer demand. The total USD/LKR traded volume for the previous day (5.8.13) stood at US$ 42.92 million. Some of the forward dollar rates that prevailed in the market were: One month – 132.53, three months – 134.18 and six months – 136.53