Money market report for the week ended October 26

On Monday, October 22, the ECB announced its weekly Main Refinancing Operation. The auction was conducted on Tuesday, October 23, and attracted bids from euro area eligible counterparties of €77.29 billion, €14.52 billion lower than the bid amount in 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, October 23, the ECB also conducted an auction for a seven-day fixed-term deposit intended to absorb €209.5 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, October 19.

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 €425.73 billion with the ECB allotting €209.5 billion, or 49.21 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, October 24, 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 $3.59 billion, which was allotted in full at a fixed rate of 0.65 per cent.

Domestic Treasury bill market

In the domestic primary market for Treasury bills, the Treasury invited tenders for 28-day and 91-day bills maturing on November 23, and on January 25, 2013, respectively. Bids of €7.5 million were submitted for the 28-day bills, with the Treasury accepting €7.25 million. Bids of €55.01 million were submitted for the 91-day bills, with the Treasury accepting only €5 million. Since €36.55 million worth of bills matured during the week, the outstanding balance of Treasury bills decreased by €24.30 million, to stand at €257.53 million.

The yield from the 28-day bill auction was 1.036 per cent, i.e. 12.1 basis points lower than on bills with a similar tenor issued on October 19, 2012, representing a bid price of 99.9195 per 100 nominal. The yield from the 91-day bill auction was 1.100 per cent, i.e. 4.3 basis points lower than on bills with a similar tenor issued on October 19, representing a bid price of 99.7227 per 100 nominal.

During the week, the Central Bank of Malta, in its role as market-maker, purchased €9 million worth of Treasury bills on the off-exchange system. Today, the Treasury will invite tenders for 28-day bills and 273-day bills maturing on November 30, and on August 2, 2013, respectively.