Money Market Report for the week ended 27 March 2009
Decrease in 6 month domestic Treasury Bill rate
ECB Monetary Operations
On Monday, 23 March, the ECB announced its weekly Main Refinancing Operation (MRO). This attracted bids for €229.98 billion from euro area eligible counterparties, which amount was allotted in full at a fixed rate equivalent to the prevailing main refinancing rate of 1.50%.
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 €45.78 billion. As the volume of bids exceeded the intended volume of €25 billion, participating counterparties received 54.61% of the amounts bid for. This operation was conducted at a fixed price of -3.4 swap points.
On Tuesday, 24 March, the ECB announced a standard Longer-Term Refinancing Operation (LTRO) with a maturity of 91 days. In this LTRO, the ECB received bids for €28.77 billion, which amount was allotted in full at a fixed rate equivalent to the ECB’s main refinancing rate of 1.50%.
On the same day, the ECB, in conjunction with the US Federal Reserve, conducted an 84-day US dollar funding operation through collateralised lending. This attracted bids for $12.24 billion, which amount was allotted in full at a fixed rate of 1.25%.
On Wednesday, 25 March, the ECB, in conjunction with the US Federal Reserve, conducted another US dollar funding operation, this time for a tenor of 7-days. This attracted bids for $94.36 billion, which amount was again allotted in full at a fixed rate of 1.23%.
Domestic Treasury Bill Market
In the domestic primary market for Treasury bills, the Treasury invited tenders for 182-day bills maturing on 25 September 2009. Bids for €33.36 million were submitted, with the Treasury accepting €32.96 million. Since €23.70 million worth of bills matured during the week, the outstanding balance of Treasury bills increased by €9.25 million to €542.60 million.
The yield resulting from the auction was 2.313%, that is, 15.5 basis points lower than that on bills with a similar tenor issued on 6 March 2009. This substantial decrease in the 182-day Treasury bill yield reflected the impact of the 50 basis point cut in the ECB’s minimum bid rate effective from 11 March 2009. The latest yield represented a bid price of 98.8442 per 100 nominal.
On 30 March the Treasury invited tenders for 91-day bills maturing on 3 July 2009 and for 182-day bills maturing on 2 October 2009.
Treasury bill trading on the Malta Stock Exchange amounted to €6.48 million during the week, with all trades being conducted by the Central Bank of Malta in its role as market maker.
