364 day bill weighted average yield remains steady

By Wealth Trust Securities

The weighted average yield of the 364 day bill remained steady for the first time in six weeks at yesterday’s primary auction, while the average yield of the 182 day bill was seen decreasing further for the 10th consecutive week to 8.24%, registering a drop of six basis points.     

The total bids to offer ratio was seen dipping to an 11-week low of 2.30:1 as only a total amount of Rs. 11.46 billion was accepted on the 364 day maturity against its offered amount of Rs. 15.5 billion. However, the total offered amount of Rs. 23.5 billion was successfully subscribed for at the auction.

Activity in the secondary bond market continued to remain high yesterday, mainly during the pre-auction session where yields of the liquid maturities of 01.03.21, 01.08.24, the two 2026’s (i.e. 01.06.26 and 01.08.26) and 15.06.27 were seen decreasing to hit intraday lows of 9.32%, 9.70%, 9.85% each and 9.90%. 

Furthermore, the 2019, 2020 and 2023 maturities were traded at lows of 9.00%, 9.20% and 9.72% as well. In the secondary bill market, May, June, August and September 2018 maturities were seen changing hands at lows of 8.00%, 8.10%, 8.45% and 8.50% respectively.

Nevertheless, selling pressure subsequent to the auction results drove yields up again to 9.25%, 9.42%, 9.80%, 9.95% and 9.97% on the 01.05.20, 01.03.21, 15.05.23, 01.06.26 and 01.08.26 while two-way quotes on the rest of the maturities were seen increasing and widening. The total secondary market Treasury bond/bill transacted volumes for 2 January 2018 was Rs. 15.25 billion.

In money markets, the Central Bank’s Open Market Operations (OMO) Department continued to mop up excess liquidity by way of a term repo auction. The auction drained out an amount of Rs. 6.5 billion at weighted averages of 7.31% for seven days. The overnight call money and repo rates remained mostly unchanged to average 8.15% and 7.51% respectively as a further amount of Rs. 10 billion was drained out on an overnight basis at a weighted average yield of 7.25%. The net surplus liquidity in the system decreased to Rs. 19.53 billion.

Rupee remains mostly unchanged

The USD/LKR rate on spot contracts remained mostly unchanged yesterday to close the day at Rs. 153.70/75 as activity moderated.

The total USD/LKR traded volume for 2 January 2017 was $ 35.53 million. Some of the forward USD/LKR rates that prevailed in the market were one month - 154.70/85; three months - 156.20/35 and six months - 159.20/35.