Yield curve flat as the month-end closes in

Tuesday, 28 August 2012 02:16 -     - {{hitsCtrl.values.hits}}

The secondary bond market reflected a limited amount of activity yesterday with the month drawing to a close as the yield curve remained rather flat from its previous weeks closing yields.

An average volume was seen been traded on the five-year bond at 14.30% while a  small volume of the 19 month bond was seen changing hands at 13.75% as market awaited inflation figures which are announced on the last working day of each month.

General expectation was for inflation to increase further from its 42 month point to point high of 9.8% recorded for the month of July. Given below are the closing, secondary market yields for the most frequently traded maturities:

Treasury Bills         

   91 Day Bills    -    11.35 / 11.45    

   182 Day Bills    -    13.02 / 13.08    

    364 Day Bills    -    13.20 / 13.27    


Treasury Bonds        

01/04/14    -    13.72 / 13.75    

15/07/15    -    13.83 / 13.89

01/04/16    -    14.20 / 14.25

15/07/17    -    14.28 / 14.32

01/11/19    -    14.45 / 14.60


Auction Announcement

The Public Debt Department (PDD) of Central Bank announced in total an amount of Rs. 17 b for its weekly Treasury bill auction to be held today due to a short working week. Rs. 5 b and Rs. 6 b each is been offered on the 91 day, 182 day and 364 day maturities respectively.

At last week’s auction weighted averages increased by seven bp and four bp respectively on the 182 and 364 day maturities to 13.02% & 13.27%, while the weighted average on the 91-day maturity was steady at 11.36%.  

Meanwhile in money markets overnight call money and repo rates remained steady at 10.55% and 9.55% respectively as market surplus liquidity dipped marginally to Rs. 3.5 b.

The Central Bank drained out an amount of Rs. 3.4 b from the system on an overnight basis at a weighted average of 9.43% through its Open Market Operations (OMO). In addition, all bids were rejected on a short term Treasury bill auction held yesterday for an amount of Rs. 3 b.

Rupee dips by 30 cents

The rupee dipped by 30 cents yesterday to an intraday low of Rs. 132.60 on the back of buying pressure subsequent to opening at levels of Rs. 132.30. This was the lowest level witnessed over the past 10 days. Given below are some forward dollar rates that prevailed in the market,

  •  3 Months- 136.30
  • 1 Month - 133.92
  • 6 Months- 139.85