An upward parallel shift on the yield curve witnessed

Tuesday, 11 December 2012 00:00 - - {{hitsCtrl.values.hits}}

By Wealth Trust Securities

The secondary bond market reflected some level of activity yesterday, mainly on the six-year duration as its yields edged up by around 12 basis points (bp) to an intraday high of 13.47% from its opening levels of 13.35%.

In line with this, yields on other duration along the yield curve moved up as well, reflecting an upward parallel shift.

Furthermore selling interest on illiquid shorter maturities was evident above the liquid longer tenures which in turn continued the distortion of the yield curve. However buying interest on secondary market bills continued, mainly for the 182 day and 364 day bills ahead of this week’s primary auction.

The Public Debt Department (PDD) of the Central Bank announced in total an amount of Rs. 12 b on offer, down from its previous week’s offered amount of Rs. 15 b with Rs. 1 b, Rs. 6 b and Rs. 5 b being on offer for the 91 day, 182 day and 364 day maturities respectively.

Overnight call money and repo rates remained mostly unchanged to average 10.54% and 9.64% respectively as money market liquidity remained at a marginal surplus of Rs. 0.64 b yesterday. Central bank refrained from conducting any overnight OMO auctions for a second consecutive day as well.

Rupee dips close to Rs. 129

The rupee lost ground by around 20 cents during early hours of trade yesterday to an intraday day low of Rs. 128.90 but gained some of its lost ground towards the latter part of the day to close the day at Rs. 128.80 on the back of forward dollar sales. The total dollar/rupee volume for the previous day (07-12-12) was US $ 30.75 million.

Given are some forward dollar rates that prevailed in the market: one month – 130.13; three months – 132.48; and six months – 135.65.