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Updated on Jun 19, 2000

No change in the inter bank market was evident with overnight levels remaining glued at 10.95%. Few overnight trades were conducted, keeping in mind the discounting figure touching the Rs. 20 billion mark according to market estimates. The SBP auction the past week also managed to bring in an amount close to the pre-auction target. Intervention in the foreign exchange market by way of one month buy-sell swaps did see some rupee based liquidity flowing into the system but the money market failed to reflect any signs of easing. According to estimates an amount of US$ 110 to 120 million was attracted by the SBP which in rupee terms was less than significant in making any impact on the system.

The term market eased marginally towards the end of the week with the one month repo level finally falling back into single digit levels of 9.50% after touching 10.50% during the previous week. However the one month call level was unmoved with trades being conducted between 11.75% and 12.00%; on account of some desperate borrowing interest from certain banks. In the wake of the unexpectedly aggressive bid pattern of the auction on Wednesday, three and six month levels eased with bids-falling off by 25 b.p.s. Trades in the three month tenor had early in the week been witnessed as high as 7.90% against FIBs while offers against T-Bill were available at 7.75%. Six month trades were also reported at close to 7.80% but amounts remained nominal, as bids were hard to come by later. The T-Bill auction the past week managed to attract a total amount of Rs. 6.806 billion with an amount of Rs. 3.50 billion at the previous cut-off levels for the papers. The SBP in fact managed to safely pick up only Rs. 1.0 billion against the three month bill at a cut-off of 6.93% which was lower 5 basis points over the previous auction result in the same instrument. We feel that this bearish level of participation was uncalled for, especially since 3 month levels in the secondary were easily hovering 75 to 80 b.p.s. over the previous cut-off. Towards the tail end of the week, the 3-month quote had come off slightly but was still half a percentage point over the auction result.

OMO injection maturities next week would be resulting in a net outflow of approximately Rs. 800 million from the market. We feel that another injection by way of the scheduled OMO could certainly be the case. The tight money market has helped the State Bank in attracting a decent amount of F.E. 25 dollars in the latest swap; but now with these amounts fairly exhausted there is little reason for the central bank not to intervene with the intention to bring interest rates off.

 

YIELD PROFILE

FEDERAL INVESTMENT BONDS

.

THIS WEEK

1 WEEK AGO

1 YEAR AGO

1 Year 08.25 08.25 09.25%
2 Year 09.00 09.00 09.25%
3 Year 09.50 09.75 12.75%
4 Year 09.75 09.50 13.00%
5 Year 10.00 10.00 13.50%
10 Year 10.50 10.50 14.00%

 


 

AUCTIONS
BID DATE INSTRUMENT RESULT SETTLEMENT
Jun 14 T-BILL Jun 14 Jun 15
TARGET AMOUNT BID AMOUNT ACCEPTED AMOUNT
Rs. 1.362 Bln.

Rs. 6.806 Bln.

  Rs. 1.000 Bin.

 


 

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

1 Week 10.75 10.80 01.75
1 Month 09.40 10.00 04.50
3 Month 07.60 07.90 06.75
6 Month 07.55 07.75 07.75
1 Year 07.70 07.85 N. A.

 


 

TREASURY BILL RATES
MATURING THIS WEEK 1 WEEK AGO 1 YEAR AGO
1 Month 10.50 10.75 05.00
2 Month 09.10 09.20 06.00
3 Month 08.15 08.25 06.50
4 Month 08.00 08.10 07.25
5 Month 08.80 08.05 07.75