Updated on Jan 24, 2000
The net shortage in the system
kept the market acutely tilted early during the week. The discounting figure which was
initially reported at Rs. 12.0 bln, had by some estimates risen to Rs. 18.0 bln in the
wake of the F.E. 25 swap maturities that were due this week. The massive injection of Rs.
23.0 bln (Rs. 4.785 bln at 7.00% in two weeks and Rs. 1 9.20 bln at 6.75% in one month)
via the latest two-way OMO on the 20th of this month, was largely anticipated although
it's magnitude was under query. The market reacted strongly to this injection less on
Thursday and more towards the weekend. Overnights closed in the region of 4.00% this week.
Activity prior to the OMO remained thin. In spite of apprehensions of
an injection by the State Bank, aggressive lending interest was curtailed by banks and
there was a preference for a wait and see approach. This proved to be a missed opportunity
for banks having failed to lock in their funds, as the three month quote which was
initially hovering within the range of 8.25% to 8.60% collapsed into the band of 7.75% to
7.90% and decent volumes were dealt. Longer period such as six months were also caught in
a bearish spell as offers fell from a high of 8.75% to a low of 8.30% towards the weekend.
Needless to add that with the one month quote proved to be the most susceptible and dived
by over 100 b.p.s from the midweek high of 8.25% to 7.00% towards the week's close.
Next week should start off on a relatively easy note with the overnight
trading band being within middle order single digits. Interest in the 1 month tenor is
also likely to rise as the date for next scheduled auction nears, with a gradual swelling
in bidding interest. Fund managers however forecast the term repo market mainly ranging
from three months to six months to maintain status quo with a slight bearish undertone;
which is likely to lead to decent participation in the next auction. Avid interest should
also prevail in the medium to long term call market; as banks on the look out for funding,
take the advantage of the current bearish trend and cover their unhedged positions.
| YIELD PROFILE |
FEDERAL INVESTMENT BONDS |
| |
THIS WEEK |
1 WK AGO |
1 YR AGO |
| 1 Year |
09.50 |
09.75 |
13.75% |
| 2 Year |
10.25 |
10.50 |
13.75% |
| 3 Year |
11.00 |
11.00 |
14.50% |
| 4 Year |
11.50 |
11.50 |
14.75% |
| 5 Year |
11.75 |
11.75 |
15.25% |
| 10 Year |
12.25 |
12.50 |
16.50% |
| AUCTIONS |
| Bid Date |
Instrument |
Result |
Settlement |
| Jan
12 |
T-BILL |
Jan 12 |
Jan 13 |
| Target Amount |
Bid
Amount |
Accepted Amount |
| Rs.03.0
Bln. |
Rs.18.525 Bln |
Rs.100.00 Mln |
| MATURITIES |
Instrument |
Date
|
Amount |
| T-Bill |
11 Jan |
3,550 Mln |
| T-Bill |
21 Jan |
3,050 Mln |
| T-Bill |
27 Jan |
450 Mln |
REPO RATES |
|
This Week |
1 Wk Ago |
1 Yr. Ago |
| Overnight |
05.00 |
10.95 |
16.50 |
| 1 Week |
06.50 |
10.65 |
16.45 |
| I Month |
06.90 |
09.45 |
14.10 |
| 3 Month |
07.75 |
08.70 |
12.90 |
| 6 Month |
08.20 |
08.85 |
13.10 |
| 1 Year |
09.50 |
09.75 |
N. A. |
| TREASURY
BILL RATES |
| Maturing |
This Week |
1 Wk Ago |
1 Yr Ago |
| 1 Month |
07.25 |
09.60 |
14.75 |
| 2 Month |
07.50 |
09.00 |
13.75 |
| 3 Month |
07.60 |
08.75 |
13.50 |
| 4 Month |
07.75 |
08.60 |
13.35 |
| 5 Month |
08.00 |
08.75 |
13.25 |
