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Money market report for the week ended September 28

ECB monetary operations

On Monday, September 24, the ECB announced its weekly Main Refinancing Operation (MRO). The auction was conducted on Tuesday, September 25, and attracted bids from euro area eligible counterparties of €117.38 billion, €2.46 billion lower than the bid amount of the previous week. The amount was allotted in full at a fixed rate equivalent to the prevailing main refinancing rate of 0.75 per cent, in accordance with current ECB policy.

On Tuesday, September 25, the ECB also conducted an auction for a seven-day fixed-term deposit intended to absorb €209 billion. This operation was designed to sterilise the effect of purchases made under the Securities Markets Programme that were settled but had not yet matured by the previous Friday, September 21. The auction was carried out at a variable rate, with euro area eligible counterparties allowed to place up to four bids at a maximum rate of 0.75 per cent. It attracted bids amounting to €385.61 billion, with the ECB allotting €209 billion or 54.20 per cent of the total bid amount. The marginal rate on the auction was set at 0.01 per cent, with the weighted average rate also set at 0.01 per cent.

On Wednesday, September 26, the ECB conducted a three-month Longer-Term Refinancing Operation to be settled as a fixed rate tender procedure with full allotment, with the rate fixed at the average rate of the MROs over the life of the operation. The auction attracted bids of €18.71 billion from euro area eligible counterparties, which amount was allotted in full, in accordance with current ECB policy.

Furthermore, on Wednesday, September 26, the ECB conducted a seven-day US dollar funding operation through collateralised lending in conjunction with the US Federal Reserve. This operation attracted bids of $1.58 billion, which was allotted in full at a fixed rate of 0.63 per cent.

Domestic Treasury bill market

In the domestic primary market for Treasury bills, the Treasury invited tenders for 91-day, 181-day and 273-day bills maturing on December 28, March 28 and June 28, 2013, respectively. Bids of €24.53 million were submitted for the 91-day bills, with the Treasury accepting the full amount, while bids of €6 million each were submitted for the 181-day and 273-day bills with the Treasury accepting €4 million and €5 million, respectively. Since €8.5 million worth of bills matured during the week, the outstanding balance of Treasury bills increased by €25.03 million, to stand at €320.38 million.

The yield from the 91-day bill auction was 1.268 per cent, i.e. 3.2 basis points higher than on bills with a similar tenor issued on September 20, 2012, representing a bid price of 99.6805 per 100 nominal. The yield from the 181-day bill auction was 1.355 per cent, i.e. 8.6 basis points higher than on bills with a similar tenor issued on September 20, representing a bid price of 99.3233 per 100 nominal.

The yield from the 273-day bill auction was 1.424 per cent, i.e. 11.7 basis points higher than on bills with a similar tenor issued on April 13, representing a bid price of 98.9317 per 100 nominal.

During the week under review, there was no trading on the Malta Stock Exchange.

Today, the Treasury will invite tenders for 91-day, 182-day and 364-day bills maturing on January 4, April 5 and October 4, 2013, respectively.

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