Updated on May 22, 2000
Short term rates in the interbank
market were on a downward spree throughout the past week. OMO and T-Bill maturities were
the reason for overnight rates falling to lows of 1.00% while one week trading was also
conducted at 4.50% towards the weekend. Overnight levels rose temporarily on Saturday to
4.00% but fell back to close to 1.50% towards the close. SBP also failed to attract bids
for the target amount of Rs. 4.40 billion at the previous cut-off levels with
approximately Rs. 2 billion being left in the system due to the mismatch in the maturity
and the settlement amount of the auction.
Term levels also eased considerably with the one month quote falling
sharply from a high of 6.75% to a low of 5.75%. However towards the end of the week the
month levels also rose with bids around 6.10% but offers remained higher than 6.50%. The
two and three month tenors continued to be in high demand with banks aiming to cover their
positions over the fiscal year end. Two and three month bids were available at 7.20% and
7.00% early in the week but fell back after the announcement of the auction result with
trades in two months at 7.00% and three months reported at close to 6.90%. Significant
interest was evident in term call deals. Two, three and four month saw the most interest
with nominal to moderate trades being reported. Amounts in these tenors were dealt in
between 8.25% and 8.50%. As forecasted in our report of last week, the SBP maintained the
cut-offs in the T-Bill auction at 6.9757%, 7.2308% and 7.6404% respectively with a total
amount of Rs. 2.35 billion being accepted.
According to unconfirmed reports outflows from the system were via the
commodity financing scheme did take place, but the overall impact on the short term market
was non-existent. But whether this will be the case in the next couple of weeks is
doubtful, as financing under this avenue is expected to rise. Another two way OMO will in
all probability be announced next week keeping in mind the outflow of Rs. 3 billion on the
25th, but chances of light amounts being accepted through the five month repo or outright
sale of T-Bills cannot be ruled out. We are of the opinion that the impetus for banks
running short to cover their positions in repos as well as in call over the year end
should build up. It would be timely for the SBP to step in and make an injection to avoid
a potential interest rate spike.
| YIELD PROFILE |
FEDERAL INVESTMENT BONDS |
| |
THIS WEEK |
1 WK AGO |
1 YR AGO |
| 1 Year |
08.00 |
08.00 |
10.35% |
| 2 Year |
08.75 |
08.75 |
13.25% |
| 3 Year |
09.25 |
09.25 |
13.50% |
| 4 Year |
09.50 |
09.50 |
13.75% |
| 5 Year |
09.75 |
10.00 |
14.25% |
| 10 Year |
10.75 |
11.00 |
14.50% |
| AUCTIONS |
| Bid Date |
Instrument |
Result |
Settlement |
| May
17 |
T-BILL |
May 17 |
May 18 |
| Target Amount |
Bid
Amount |
Accepted Amount |
| Rs. 4.461 Bln |
Rs. 8.275 Bln |
Rs. 2.350 Bln |
| MATURITIES |
| Instrument |
Data |
Amount |
T-Bill |
04 May |
28,050 Mln |
T-Bill |
18 May |
4,425 Mln |
REPO RATES |
|
This Week |
1 Wk Ago |
1 Yr. Ago |
| Overnight |
01.50 |
08.00 |
03.50 |
| 1 Week |
04.25 |
06.00 |
05.50 |
| 1 Month |
06.25 |
06.90 |
08.00 |
| 3 Month |
06.85 |
07.10 |
08.75 |
| 6 Month |
07.10 |
07.15 |
09.15 |
| 1 Year |
07.50 |
07.55 |
N. A. |
| TREASURY
BILL RATES |
| Maturing |
This Week |
1 Wk Ago |
1 Yr Ago |
| 1 Month |
06.75 |
07.35 |
09.00 |
| 2 Month |
07.00 |
07.15 |
09.00 |
| 3 Month |
07.00 |
07.15 |
09.10 |
| 4 Month |
07.10 |
07.20 |
09.25 |
| 5 Month |
07.10 |
07.20 |
09.25 |
