By First Capital Research
Weekly Yield movement & Volume
The secondary market yield curve remained almost unchanged, while moderate volumes were seen during the week.
Despite the continuous depreciation witnessed in previous weeks, currency was seen stabilising around Rs 182.0 levels, closing at Rs 182.8 relative to Rs 182.9 at the beginning of the week.
Meanwhile, CBSL announced its plan for a US$ 400 million swap arrangement with the Reserve Bank of India, with a request for a further US$ 1.0 billion being under consideration, to maintain an adequate level of reserves and support the currency.
At the primary bill auction held on 9 January, yields of the six-month and one-year bills were accepted at 9.94% and 10.85% respectively, recording a continuous dip for the third consecutive week in both maturities.
Meanwhile, first bond auction of the year will be held on 11 January offering Rs 98.0 billion.
Liquidity & CBSL Holdings
CBSL market liquidity remained negative throughout the week, recording the lowest liquidity for the week on 04 January amounting to Rs 121.1 billion. CBSL holdings declined towards the latter part of the week and recorded at Rs 68.56 billion.
Foreign holding was recorded at Rs 157.8 billion, recording a drop of Rs 6.6 billion, continuing the foreign selling since August 2018. Foreign holding percentage for the week remained stable at 3.1%.
Maturities for next Week
The Government Securities Market has a Treasury Bill maturity amounting to Rs 18.7 billion to be settled and coupon payment amounting to Rs 12.9 billion for the week ending 18 January.
Thursday (03.01.19): Secondary market yield curve remained broadly unchanged, while the overall market witnessed thin volumes with limited activity levels. Amidst profit taking, limited activity was witnessed on short-tenure maturities [01.03.21] and [01.05.21] trading at 11.30%, [15.12.21] at 11.35-11.40% levels, while long-tenure maturities [01.08.26] at 11.62-11.67% levels and [15.06.27] at 11.70%.
Friday (04.01.19): On the back of buying interest, short and belly end of the yield curve shifted slightly downwards while the overall market witnessed thin volumes. The one-year bill traded at the day’s lowest of 10.74% amidst the buying interest stemmed predominantly from the foreign counterparties, while three 2021 maturities, [01.03.21], [01.08.21] and [15.12.21] traded at intraday low of 11.22%, 11.25% and 11.28% respectively. Mid-tenure maturities were seen reaching day’s lowest, with [15.05.23] trading at 11.30%, [15.05.25] at 11.63% and [01.08.26] at 11.59%.
Monday (07.01.19): The secondary market yield curve remained broadly unchanged while the overall market witnessed thin volumes. Limited activities were witnessed on short- to mid-tenure maturities with [01.05.20] trading at 11.00%, three 2021 maturities ([01.03.21], [01.05.21] and [15.12.21]) trading between 11.17-11.27% range and [01.10.22] at 11.35%.
Out of the mid-tenors, the three 2023 maturities ([15.05.23], [15.07.23] and [01.09.23]) traded at 11.45%, 11.47% and 11.58% respectively, while [15.03.25] changed hands at 11.67% and [01.08.26] at 11.60%. CBSL has offered Rs 8.0 billion of the six-month and Rs 12 billion of the one-year bills at Wednesday’s primary bill auction.
Tuesday (08.01.19): The secondary market yield curve remained broadly steady, with mixed activities on the short end and belly end of the curve. With the selling interest stemming from foreign counterparties, mid-tenure maturities [01.08.24], [15.03.25] and [01.08.26] traded at day’s high of 11.60%, 11.75-11.80% levels and 11.60-64% levels while ahead of the bill auction.
Buying interest from local counterparties were witnessed on short-tenure maturities [01.05.20] at 10.90-85%, [01.03.21] at 11.25-20% and [15.12.21] at 11.30%, while the overall market saw moderate volumes. CBSL announced bond auction on 11 January, offering Rs 48 billion of new series of [15.12.2023] maturity and Rs 50 billion of [01.09.2028] maturity.
Wednesday (09.01.19): The secondary market yield curve continued to remain broadly steady as market participants were seen remaining on the sideline, adopting a wait-and-see approach ahead of the primary bond auction on 11 January. Limited activity was witnessed on short- to mid-tenure maturities while the overall market witnessed thin volumes.
Short-tenure maturities [01.05.20] traded at 10.90% and three 2021 maturities ([01.03.21], [01.08.21] and [15.12.21]) traded at 11.25%, 11.28% and 11.33% respectively, while mid-tenure maturities 15.07.23 traded at 11.50% and foreign selling was witnessed on [15.03.25] at 11.75%. At the primary bill auction, yields of the six-month and one-year dipped by 1bps and 14bps to be accepted at weighted averages of 9.94% and 10.85% respectively.