Updated on Apr 03, 2000
The interbank market during the
past week went through another volatile phase with overnight trading being conducted at
both ends of the spectrum. Early in the week rates were within the double digit range but
soon came off on Monday due to the OMO maturity of Rs. 4 billion. Furthermore withdrawals
which had taken place on account of Eid also reportedly started to flow back in to the
system. The fall continued with rates crashing further down to 1.50% on Thursday after the
complete rejection of the latest OMO. One week levels also fell off sharply with lenders
willing as low as 3.50% but bidders stayed away. Lenders were forced to place funds from
Friday over the weekend at levels of 2.50% and hence providing an easy hedge for most
bidders over the quarter end.
The term repo market which had remained firm for the last 2 weeks fell
off drastically with the one month levels falling below 5.50%. The last time such a fall
in this tenor had been around the 15th of March. One month rates were initially around
7.00% but crashed to 5.50% in the second half of the day on Thursday. The rejection of
bids in the two way OMO was considered to be the prime factor instigating this fall. In
fact the slide was so sharp that trades continued to be witnessed as low as 5.00% in the 1
month tenor. There were no major trades witnessed in any of the other tenors but offers
for the two three and six month tenors were present at 6.15%, 6.50% and 6.90%,
respectively. There were also short lived rumors of an imminent discount rate cut which
led to a moderate fall in the 6 month quote. But with no validation coming forth from the
SBP, long term rates steadied from a serious potential fall.
Next week the T-Bill maturity of Rs. 2.3 billion is due and a large
participation in the auction is expected. It now remains to be seen as to how bearish the
bid pattern will be in the next auction. We feel that without any clear signal from the
SBP, bidding is advised to be restricted to within 20 to 25 b.p.s lower than the previous
cut-offs. Although there are very decent chances of bidding taking place at unnecessarily
aggressive levels, which could prove to be dangerously low in the medium to long term.
| YIELD PROFILE |
FEDERAL INVESTMENT BONDS |
1 Year |
08.00 |
08.75 |
11.80% |
2 Year |
08.75 |
09.25 |
12.25% |
3 Year |
09.25 |
09.75 |
13.50% |
4 Year |
09.75 |
10.00 |
13.75% |
5 Year |
10.00 |
10.50 |
14.50% |
10 Year |
10.50 |
11.25 |
15.50% |
| AUCTIONS |
| Bid Date |
Instrument |
Result |
Settlement |
| Mar
22 |
T-BILL |
Mar 22 |
Mar 24 |
| Target Amount |
Bid
Amount |
Accepted Amount |
| Rs.4.136 Bln |
Rs. 12.700 Bln |
Rs.900 Mln |
| MATURITIES |
T-Bill |
09 Mar |
12,600 Mln |
T-Bill |
24 Mar |
4,100 Mln |
T-Bill |
25 M^r |
125 Mln |
REPO RATES |
Overnight |
01.50 |
10.90 |
15.45 |
1 Week |
03.00 |
09.25 |
15.40 |
1 Month |
05.10 |
07.90 |
11.50 |
3 blonth |
06.40 |
07.45 |
11.00 |
6 Month |
06.75 |
07.50 |
11.25 |
1 Year |
07.75 |
08.25 |
N.A |
| TREASURY
BILL RATES |
1 Month |
06.50 |
08.80 |
12.75 |
2 Month |
06.80 |
07.80 |
12.00 |
3 Month |
06.90 |
07.70 |
11.60 |
4 Month |
07.00 |
07.65 |
11.50 |
| 5 Month |
07.10 |
07.55 |
10.45 |
