. .



Updated on Jun 12, 2000

Short term repo rates remained firm throughout the past week. Overnight repos, though with only comparatively nominal amounts being traded, were witnessed at 10.95% and 11.00%. However call overnight deals were witnessed as high as 13.00%. The repo discount window had to be tapped with the discounted figure reaching a year's high of approximately Rs. 18 billion. The OMO conducted on Thursday also failed to bring about any significant change as only Rs. 3.80 billion was injected against a simultaneous outflow of Rs. 3.0 bin (OMO injection maturity); hence the net injection only worked out to be Rs. 800 million, that to in only the two week tenor.

Banks desperately preparing to cover their year end positions were expecting some inflows through the OMO, which was not the case. One month repo rates in the market shot up sharply with trades being conducted during the process as well. Initially activity was witnessed at around 8.50% but soon levels touched 9.50% and around the OMO day rates touched 10.25% with later trades being conducted at 10.50% as well. The sharp rise in the one month quote, within only 50 b.p.s of the discount rate of 11.00%, was it's closest approach ever since the discount rate was slashed at the start of the year. On the other hand one month Cal levels crossed into the 11.00% and 12.00% band with trades being reported in the vicinity of 11.50%. The one, two and three month call market saw spreads between repos at record levels and lenders having excess of securities have been witnessed taking full advantage of the surge in these levels. Three month repo offers were initially available at 8.50% but later fell back to around 8.00% on the weekend. Six month repo lending rates also saw a sharp rise, touching 8.00% which in effect was approximately 75 b.p.s. higher than the six month T-Bill.

The weakness in some quarters of the financial system has clearly been reflected in the past week on account of the security positions of some banks, which has led to the call market rising sharply. The announcement of the, one month buy-sell Swap in the foreign exchange market by the State Bank for Monday 112/06/2000) will certainly bring some ease in the-liquidity starved money market, while at the same time improve the reserves of the central bank over the fiscal year end.

 

YIELD PROFILE

FEDERAL INVESTMENT BONDS

.

THIS WEEK

1 WEEK AGO

1 YEAR AGO

1 Year 08.25 08.00 09.00%
2 Year 09.00 08.75 09.00%
3 Year 09.75 09.25 12.75%
4 Year 09.50 09.50 13.00%
5 Year 10.00 10.00 13.75%
10 Year 10.50 10.75 14.00%

 


 

AUCTIONS
BID DATE INSTRUMENT RESULT SETTLEMENT
May 31 T-BILL May 31 Jun 01
TARGET AMOUNT BID AMOUNT ACCEPTED AMOUNT
Rs. 2.640 Bln

Rs. 4.895 Bln

  Rs. 1,235 Mln

 


 

MATURITIES

INSTRUMENT

DATE

AMOUNT

T-Bill

01 Jun

50 Mln.

T-Bill

15 Jun

1,750 Mln.

T-Bill

23 Jun

1,045 Mln.

T-Bill

29 Jun

100 Mln.

 


 

REPO RATES

 

THIS WEEK

1 WEEK AGO

1 YEAR AGO

Overnight 10.95 10.95 01.00
1 Week 10.80 10.50 01.75
1 Month 10.00 08.20 04.50
3 Month 07.90 07.50 06.65
6 Month 07.75 07.50 07.75
1 Year 07.85 07.65 N. A.

 


 

TREASURY BILL RATES
MATURING THIS WEEK 1 WEEK AGO 1 YEAR AGO
1 Month 10.75 09.10 04.50
2 Month 09.20 08.50 06.00
3 Month 08.25 07.75 06.65
4 Month 08.10 07.65 06.90
5 Month 08.05 07.60 07.25