Money Market Report for the week ended 29 May 2009
Increase in Treasury bill bids
On Monday 25 May, the ECB announced its weekly Main Refinancing Operation (MRO). This attracted bids for €276.81 billion from euro area eligible counterparties, which amount was allotted in full at a fixed rate equivalent to the main refinancing rate of 1.00 per cent in accordance with the current ECB policy.
On the same day, the Eurosystem and the Swiss National Bank (SNB) conducted a EUR/CHF foreign exchange swap, with a 7-day maturity, to provide Swiss franc liquidity against euro. This operation attracted bids for €30.19 billion. Given that the amount bid exceeded the intended volume of €25 billion, participating counterparties received 82.82 per cent of the amounts bid for. This operation was conducted at a fixed price of -2.4 swap points.
On Wednesday 27 May, the ECB announced a standard Longer-Term Refinancing Operation (LTRO) with a maturity of 91 days. In this LTRO, the ECB received bids for €27.54 billion, allotted in full at a fixed rate equivalent to the ECB’s main refinancing rate of 1.00 per cent.
On the same day, the Eurosystem in conjunction with the US Federal Reserve, conducted a seven-day US dollar funding operation through collateralised lending. This attracted bids for $52.65 billion, which amount was allotted in full at a fixed rate of 1.22 per cent.
Domestic Treasury Bill Market
In the domestic primary market for Treasury bills, the Treasury invited tenders for 28-day bills maturing on 26 June and 182-day bills maturing on 27 November. Bids for €25.93 million were submitted for the 28-day bills, with the Treasury accepting €5 million, while bids for €72.67 million were submitted for the 182-day bills, with the Treasury accepting €38.17 million. Since €26.1 million worth of bills matured during the week, the outstanding balance of Treasury bills increased by €17.07 million to €612.33 million.
The yield resulting from the 28-day bill auction was 1.40 per cent, 3.5 basis points lower than that which resulted for the previous auction for bills with a similar tenor issued on 22 May. The latest yield on such bills represented a bid price of 99.8912 per 100 nominal. The yield resulting from the 182-day bill auction was 1.82 per cent, that is, 20.5 basis points lower than that on bills with a similar tenor issued on 8 May 2009, before the latest interest rate cut of 25 basis points by the ECB. The yield on these bills represented a bid price of 99.0888 per 100 nominal.
On Tuesday the Treasury invited tenders for 91-day bills maturing on 4 September and for 182-day bills maturing on 4 December.
Treasury bill trading on the Malta Stock Exchange amounted to €2.89 million during the week, with trades for €2.64 million being conducted by the Central Bank of Malta in its role as market maker. The remaining €0.25 million was conducted by other brokers.