Yield curve reflects mixed fortunes during the week

Monday, 31 March 2014 00:00 - - {{hitsCtrl.values.hits}}

By Wealth Trust Securities The Treasury yield curve witnessed mixed fortunes during the week ending 28 March, as short tenor yields were seen increasing barring the 364 day bill while yields on the belly end of the curve were seen dipping in comparison to its previous weeks closing levels.

Yields on Treasury bond durations of one and a half years to two and a half years were seen increasing in average by around 27 basis points (bp) while duration of four years to five years were seen dipping by 18 bp in average week on week. Activity on the shorter end of the curve centred around durations of 1 November 2015 and 1 August 2016 as it was seen hitting weekly highs of 7.60% and 7.80% respectively against its previous weeks closing levels of 7.25% and 7.60% while the belly end of the curve saw durations of 1 April 2018 and 1 July 2019 hit weekly lows of 8.80% and 9.19% respectively against its previous weeks closing levels of 8.98% and 9.37%. In addition, a limited amount of activity was witnessed on the seven year maturity of 01st May 2021 within the range of 10.06% to 10.13% during the week. In secondary bill markets, selling interest saw July 2014 bills change hands within the range of 6.85% to 6.90%, August 2014 within 6.90% to 6.95%, November within 6.98% to 7.02% and the latest 364 day bill at 7.05%.

Meanwhile in money markets, overnight call money and repo rates edged up marginally during the week to average 6.94% and 6.47% respectively as market liquidity reversed to a deficit of Rs. 2.64 billion during the week for the first time in eight months. However, liquidity was seen improving once again to close the week on a positive of Rs. 16.92 billion. Rupee loses ground during the week The USD/LKR rate depreciated marginally during the week to close the week at levels of Rs. 130.70/73 against its previous weeks closing level of Rs. 130.60/65 on the back of importer demand and foreign outflow in equity markets. The daily average USD/LKR traded volume for the first four days of the week was at US$ 69.86 million. Some of the forward dollar rates that prevailed in the market were: one month – 131.36; three months – 132.42; and six months – 133.94.