TBill weighted averages on the up

Thursday, 14 March 2013 01:27 - - {{hitsCtrl.values.hits}}

All three Weighted averages (WAvg) increased for a second consecutive week for the year at yesterday’s weekly Treasury bill auction.

Wealth Trust Securities said the increase was five basis points each to record 9.16%, 10.15% and 11.19% respectively on the 91-day, 182-day and 364-day maturities.

“Interestingly only an amount of Rs. 12.4 billion was accepted in total against its total offered amount of Rs. 16 billion, with the 364-day representing 68% of this volume,” Wealth Trust added.

In line with this, secondary market Treasury bond yields increased as well leading to the auction and subsequent to the auction to record a daily low of 11.25% and a high of 11.32% on the liquid two five-year maturities (i.e. 1 April 2018 and 15 August 2018).

According to Wealth Trust, market participants were seen selling the five-year maturity and buying the 364-day bill in an attempt to reduce duration.

In addition, the 364 day bill was seen changing hands at levels of 11.16% prior to the auction result announcement and was quoted at levels of 11.20/25 subsequent to the auction.

Meanwhile, in money markets yesterday, overnight call money and repo rates remained steady to average 9.43% and 8.58% respectively as an amount of Rs. 20.5 billion was drained from the system by way of an overnight Repo auction at a WAvg of 8.35%. Surplus liquidity in the market remained mostly unchanged at Rs.23 billion.

In Forex markets, the rupee dipped yesterday to an intraday low of Rs. 126.55 from its opening levels of Rs. 126.20 on demand for contracts value cash and tom. The total USD/LKR traded volume for the previous day (12 March 2013) stood at US$ 95.9 million.

Some forward dollar rates that prevailed in the market were one month – 127.57; three months – 129.40; and six months – 132.35.