Inconsistent yield curve continues as WAY of T-bills moves up

Thursday, 15 November 2012 00:00 - - {{hitsCtrl.values.hits}}

By Wealth Trust Securities

The erratic yield curve which developed towards the latter part of last week was aggravated further yesterday, with the increase in weighted averages (WAY) on the 364-day and 182-day bills by eight basis points (bp) and three bp respectively to 12.73% and 12.05%.

Buying interest was witnessed on the three-year and five-year maturities at levels of 12.55% while the sixteen month bond and the four year bond was seen been offered at levels of 12.70% and 12.75% respectively, distorting the curve.

Furthermore the WAY on the 91-day bill dipped by one bp for the first time in five weeks as 51% of the total accepted amount was represented from the 182-day bill, confirming markets continued appetite for this maturity.

In secondary bond markets, a limited amount of activity was witnessed prior to the announcement of the auction results, mainly on the 16-month bond at levels of 12.70% to 12.73% and the five-year and six-year maturities at levels of 12.56% and 13.10% respectively.

Meanwhile, in money markets, overnight call money and repo rates continued to remain steady to average 10.50% and 9.66% respectively yesterday as market liquidity remained at a net surplus of Rs. 2.66 b. Furthermore the Central Bank refrained from conducting any auction under its Open Market Operations (OMO) department.

Rupee continued to gain ground subsequent to Budget

The rupee gained by a further 30 cents yesterday to a two-week high of Rs. 130.20 subsequent to opening the day at levels of Rs. 130.50. This reflected the third continuous day the rupee has appreciated following the Budget reading on 8 November at which the USD/LKR rate closed the day at Rs. 130.90. Some of the forward dollar rates that prevailed in the market were: one month – 131.30; three months – 133.68; and six months – 137.08.