Parallel shift upwards on yield curve for second consecutive week

Monday, 13 October 2014 00:14 - - {{hitsCtrl.values.hits}}

By Wealth Trust Securities Continued selling interest in secondary bond markets saw yields increase for a second consecutive week, reflecting a marginal parallel shift upwards on the overall yield curve for the week ending 10 October 2014.

Volumes changing hands dipped considerably during a shorted trading week. The belly end of the curve witnessed the highest amount of volatility as yields on the three year maturity of 15 May 2017 and the four year maturity of 1 April 2018 was seen increasing by 22 basis points (bp) and 18 bp respectively week on week to highs of 6.90% and 6.85%. This was closely followed by the eight year maturity of 1 July 2022 and the nine year maturity of 1 January 2024 increasing by 15 bp and 13 bp respectively to highs of 7.58% and 7.80%. In addition, a limited amount of activity was witnessed on the two year maturity of 1 April 2016 within 6.50% to 6.65% and the five year maturity of 1 July 2019 within 6.75% to 6.90% as well. However, buying interest at these levels curtailed any further upward movement. The increase in yields was mainly attributed to the increase in weighted averages on call money and repurchase transaction during the week ending 10 October, to 6.18% and 6.21% respectively against its previous weeks weighted averages of 5.88% and 5.82% and as liquidity dipped to a two week low of Rs 18.06 billion during the week as well. However, surplus liquidity was seen increasing once again by the end of the week to Rs. 62.85 billion. Rupee broadly steady during the week The rupee was seen closing the week broadly steady at levels of Rs. 130.40/50 against its previous weeks closing of Rs. 130.35/45 as importer demand and portfolio outflows (Rupee bonds and equity) was negated by export conversions and remittances. Some of the closing forward dollar rates that prevailed in the market were 1 month – 131.00; 3 months – 131.80 and 6 months – 132.75.