Bond yields continue to increase ahead of weekly bill auction

Wednesday, 12 October 2016 00:01 - - {{hitsCtrl.values.hits}}

The activity in secondary bond markets increased yesterday as yields were seen increasing across the board ahead of the weekly Treasury bill auction due today.

The morning hours of trading saw selling interest on the short end of the curve which led to yields on the 2018 maturities increasing to highs of 11.00% against its day’s opening lows of 10.85%.

This in turn filtered to the rest of the yield curve during the latter part of the day as selling interest on the belly end to the long end saw yields on the liquid maturities of 01.08.24, 15.03.25, 01.08.26 and 15.05.30 increase to daily highs of 11.70%, 11.80% each and 12.15% respectively against its day’s opening lows of 11.60%, 11.65%, 11.70% and 12.05%.

At today’s weekly bill auction, a total amount of Rs. 20.5 billion will be on offer consisting of Rs. 5 billion each on the 91 day and 182 day maturities and a further Rs. 10.5 billion on the 364 day maturity. At last week’s auction, the weighted averages remained unchanged at 8.55%, 9.39% and 10.11% respectively.

September 2017 bills were traded at levels of 10.15 in the secondary market. Given below are the closing, secondary market yields for the most frequently traded maturities.

In money markets, the overnight repo rate increased once again to average 8.89% as the net liquidity shortfall increased to Rs. 45.81 billion yesterday. The Open Market Operations (OMO) Department of the Central Bank injected an amount of Rs. 44.00 billion on an overnight basis at a weighted average of 8.49% by way of a overnight reverse repo auction. The overnight call money rate stood steady at 8.42%.

Rupee closes mostly unchanged

Meanwhile in Forex markets, the active spot next contracts were seen dipping to a daily low of Rs. 147.35 yesterday before bouncing back to close the day mostly unchanged at Rs. 147.05/15. The one-week forward contracts closed at Rs. 147.20/35. The total USD/LKR traded volume for 10 October 2016 was $ 22.53 million. Given below are some forward USD/LKR rates that prevailed in the market.

1 Month - 147.95/05

3 Months - 149.50/60

6 Months - 151.95/05