364-day bill weighted average increases once again

• Bond market activity picks up as yields increase

By Wealth Trust Securities

The 364-day bill weighted average was seen increasing once again at its weekly Treasury bill auction held yesterday, recording an increase of 11 basis points to 8.33%. Interestingly, the total offered amount of Rs. 15 billion was accepted only on the 364-day maturity, rejecting all bids for the 91-day and 182-day maturities. The bids to offer ratio decreased to 2.14:1. 

The secondary bond market became active yesterday with yields on the liquid two 2024 maturities (i.e. 15.03.24 and 15.06.24) and 01.08.26 hitting intraday highs of 10.05%, 10.06% and 10.20% respectively against its previous day’s closing levels of 9.93/02, 10.00/04 and 10.00/06. Furthermore, the 2021 maturities (i.e. 01.05.21, 01.08.21, 15.10.21 and 15.12.21) saw its yields increase to trade within the range of 8.95% to 9.25% while 2022’s (01.07.22 and 01.10.22) 01.10.23, 01.01.24 and 15.01.27 maturities traded at levels of 9.38% to 9.45%, 10.00% each and 10.10% to 10.12% respectively as well. In the secondary bill market, August 2020 maturities changed hands at levels of 8.25% to 8.30% pre-auction.  

The total secondary market Treasury bond/bill transacted volumes for 3 September was Rs. 2.85 billion. 

In money markets, overnight call money and repo rates averaged 7.60% and 7.61% respectively yesterday as the overnight net liquidity shortfall in the system decreased to Rs. 2.23 billion yesterday. The Open Market Operations (OMO) Department of Central bank injected amounts of Rs. 18 billion and Rs. 6 billion by way of overnight and 14-day reverse repo auctions at weighted averages of 7.54% and 7.49% respectively. 

Furthermore, it injected in total an amount of Rs. 2 billion by way of outright auctions to purchase Treasury bills for durations of 295 days at a weighted average rate 7.83%.

Rupee continues to dip 

In Forex markets, continued buying interest by banks saw the Interbank USD/LKR rate on spot contracts depreciating further yesterday to close the day at Rs. 180.50/70 against its previous day’s closing levels of Rs. 180.35/50.

The total USD/LKR traded volume for 3 September was $ 46.83 million. Given are some forward USD/LKR rates that prevailed in the market: one month – 181.05/45; three months – 182.15/45; six months – 183.80/20.