WEEKLY GOVERNMENT SECURITIES MARKET

First Capital Research

July 5, 2023
For the week 28.06.2023-05.07.2023

"Policy rates cut by 200bps while auction yields taper notably" TENURE BID OFFER
Weekly Yield Movement & Volume Liquidity & CBSL Holdings
In an action-packed short week, secondary market yield Market Liquidity continued to remain negative and
< 91 Days < 3M 20.00% 17.00%
curve budged down significantly following the DDO deteriorated further during the week. At the beginning, < 182 Days < 6M 18.00% 15.00%
announcement, attracting sizeable buying interest. excess liquidity was recorded at LKR -55.2Bn and declined
Moreover, weekly auction yields too displayed a heavy to LKR -232.5Bn by the end of the week. Meanwhile, CBSL < 364 Days < 1Y 14.50% 13.00%
downswing of 300-500bps. holdings slightly increased to LKR 2,595.0Bn compared to
LKR 2,456.6Bn held at the beginning of the week.
07-Jan-25 < 2Y 14.50% 14.00%
Furthermore, at the monetary policy review meeting held 15-May-26 < 3Y 14.25% 14.00%
on 05th July-23, CBSL decided to reduce the Standing Foreign Interest
Deposit Facility Rate (SDFR) and the Standing Lending Foreign holding in government securities decreased by 15-Sep-27 < 4Y 14.00% 13.50%
Facility Rate (SLFR) of the Central Bank by 200bps to LKR 2.9Bn to LKR 189.0Bn whilst foreign holding
11.00% and 12.00%, respectively. percentage remained at 1.3%.
15-Jan-28 < 5Y 13.75% 13.25%
01-Jan-29 < 6Y 13.50% 13.00%
As the week opened, sluggish momentum continued to Maturities for next week
prevail ahead of the DDO announcement. However, The Government Securities market has to settle Treasury 15-May-30 < 7Y 13.50% 13.00%
following the DDR clarification, fresh buying appetite bill amounting to LKR 319.7Bn and T-Bond interest
emerged in the secondary market broadly across all amounting to LKR 66.3Bn for the week ending 14th Jul-23.
15-May-31 < 8Y 13.25% 12.75%
maturities with significant interest on 2025, 2026, 2027 01-Jul-32 < 9Y 13.00% 12.50%
and 2032 tenors while volumes substantially improved.
Accordingly, two-way quotes on the secondary market was 15-Jan-33 < 10Y 12.50% 11.75%
seen declining by over 700bps.
15-Mar-35 < 12Y N/A N/A
Meanwhile at the weekly treasury bill auction, total 15-Aug-39 < 15Y N/A N/A
offered amount of LKR 140.0Bn was fully accepted by CBSL
whilst the weighted average yield rates edged down after a
01-Jan-41 < 20Y N/A N/A
week as 3M, 6M and 1Yr bills fell to 17.79% (-521bps), US TREASURIES 30-Jun-23 23-Jun-23
15.93% (-356bps) and 13.86% (-313bps) respectively.
1 Year 5.40% 5.25%
In the Forex market, LKR slightly appreciated against the 2 Year 4.87% 4.71%
greenback with rupee being recorded at LKR 306.3
compared to LKR 308.8 recorded during the beginning of 5 Year 4.13% 3.99%
the week.
10 Year 3.81% 3.74%
30 Year 3.85% 3.82%
30.0%
28.0%
26.0% MARKET INTEREST RATES 28-Jun-23 Last Month
24.0%
AWPLR 19.47% 20.26%
22.0%
20.0% This Week Last Week
18.0% FD Ceiling Rate (1Yr) 18.48% 19.79%
16.0%
MONEY MARKET RATES High Low
14.0%
12.0% Call Money 14.00% 13.50%
10.0%
Repo Rates 14.00% 14.00%
25,000
05-Jul-23 CBSL Holdings of
Excess Liquidity 27-Jun-23
GS
0.0 2900.0
Secondary Market Turnover (LKR

20,000
Excess Liquidity (LKR 'Bn)

2800.0
CBSL Holdings (LKR 'Bn)

-50.0
2700.0
-100.0 15,000
2600.0
'Mn)

-150.0
2500.0 10,000
-200.0
2400.0
-250.0 5,000
2300.0
-300.0 2200.0
0

Daily Summary
 Daily Summary

Wednesday (28.06.23): The secondary market commenced
continuing its sluggish movement but picked up during the latter
part of the session with prevailing selling interest which resulted
in the yield curve to edge up. Moreover, on the back of ultra-thin
volumes and limited activities 01.07.2025 maturity traded at
28.50% while 15.05.2026 tenor changed hands at 27.50%.
Meanwhile, 01.05.2027 and 15.09.2027 maturities hovered
between the range of 25.00% -26.00%. In the forex market the
LKR marginally depreciated against the greenback recording at
LKR 308.8.
Wednesday (05.07.23): The secondary market witnessed high volumes on
the back of considerable activity as the yield curve budged lower. Moreover,
buying interest persisted on 01.06.25 and 01.07.25 maturities as it changed
hands between 14.50%-14.00%. Furthermore, 15.05.26, 01.05.27 and
15.09.27 tenors hovered between 14.25%-13.75%. Meanwhile at the weekly
bill auction total offered amount of LKR 140.0Bn was fully accepted by CBSL
whilst the weighted average yield rates edged down after a week as 3M, 6M
and 1Yr bills fell to 17.79% (-521bps), 15.93% (-356bps) and 13.86% (-313bps)
respectively. In the forex market the LKR appreciated against the greenback
recording LKR 306.3.

Tuesday (04.07.23): The secondary market yield curve plunged

sizeably low across the board as rates dipped down following the
DDO announcement. Although profit taking was observed in the
market, yields of mid to long tenors declined substantially amidst
heavy buying interest. Accordingly, 01.07.2025 traded at 15.00% OUTSTANDING STOCK 27-Jun-23 Previous Week Change (%)
and 15.05.2026 traded at a range of 15.00%-14.00%. 2027 T-Bills [LKR 'Mn] 5,314,737 5,290,995 0.4%
maturities 01.05.2027 and 15.09.2027 enticed trades taking place
at a range of 15.00%-13.90%. Meanwhile, 15.01.2028 traded T-Bonds [LKR 'Mn] 9,032,153 9,032,153 0.0%
within the range of 14.00%-13.75% while 01.07.2032 witnessed TOTAL 14,346,891 14,323,148 0.2%
trades in the range of 13.00%-12.00%.
T-Bills & T-Bonds held by Foreigners
Foreign Holding [LKR 'Mn] 188,985 191,910 -1.5%
Foreign Holding (%) 1.3% 1.3%
MATURITY TABLE FOR NEXT WEEK WEEK ENDING 14-Jul-23
Type LKR ('Mn) USD ('Mn)
T-Bills 319,659
T-Bonds
T-Bond Interest 66,303
SLDBs/Sovereign Bonds
TOTAL 385,962

T-BILL AUCTION Auction Date 5-Jul-23

Tenure Current Previous Change Offered Bids Accepted
5-Jul-23 27-Jun-23 (bps) LKR ('Mn) LKR ('Mn) LKR ('Mn)
91 days 17.79% 23.00% -521 60,000 82,817 60,000
182 Days 15.93% 19.49% -356 40,000 66,331 40,000
364 Days 13.86% 16.99% -313 40,000 103,377 40,000
Date of Settlement 7-Jul-23 140,000 252,525 140,000

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