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Updated on Feb 14, 2000
The interbank market remained
well within the single digit band throughout the week. The only hike in overnight levels
was witnessed on the day of the latest auction settlement. Previously overnight levels had
been oscillating between 1.50% and 5.00% but touched 9.00% on Thursday, the 10th of
February. Volatility was witnessed on Saturday with overnight activity taking place
initially at 4.00%, rising to 7.00% but falling back to 3.00% at the end of the day. Term
levels were on the decline throughout the week with the auction results providing further
impetus to the declining term levels. It was only the one month market that remained
choppy due to the pre-auction target of Rs. 14.40 billion being announced by the State
Bank. Offers had fallen to around 6.75% early in the week but later rose back to 7.25%
with amounts trading at both ends. It was heavy lending pressure in the three and six
month tenor at 7.25% and 7.65% that saw bids falling back. Nominal amounts were traded in
three months at 7.00% while moderate amounts changed hands in the five and six month
period between 7.45% and 7.65%, towards the tail end of the week. The latest auction
managed to attract a total amount of Rs. 36.65 billion. The State Bank continued its
policy of bringing rates down with the cut-off for the three, six months and the one year
papers at 7.74%, 7.99% and 8.44%, respectively. A total amount of Rs. 8.95 billion was
drained from the market via the latest acceptance. A T-Bill maturity of Rs. 5.30 billion
is due on the 15th of Feb. and this should keep the overnight market under severe
pressure. We do not expect any surprises in the term repo market as pressure to build
assets and lock in rates at currently available levels should keep the market well in
favor of banks running short. Borrowing interest especially in call should become
noticeable as the current depressed term repo market should provide ample opportunity for
bidders to hedge themselves at comfortable levels.
| YIELD PROFILE |
FEDERAL INVESTMENT BONDS |
| 1 Year |
08.50 |
08.75 |
13.65% |
| 2 Year |
09.00 |
09.50 |
13.75% |
| 3 Year |
09.50 |
10.00 |
14.25% |
| 4 Year |
10.00 |
10.25 |
14.50% |
| 5 Year |
10.25 |
10.75 |
15.25% |
| 10 Year |
11.75 |
11.25 |
16.25% |
| AUCTIONS |
| Bid Date |
Instrument |
Result |
Settlement |
| Feb
09 |
T-BILL |
Feb 09 |
Feb 10 |
| Target Amount |
Bid
Amount |
Accepted Amount |
| Rs. 14.4 Bln |
Rs36.650 |
Rs. 8.950 Bln |
| MATURITIES |
| T-Bill |
02 Feb |
8,885 Mln |
| T-Bill |
10 Feb |
100 Mln |
| T-Bill |
15 Feb |
5,300 Mln |
| T-Bill |
24 Feb |
25 Mln |
| T-Bill |
26 Feb |
3,525 Mln |
REPO RATES |
| Overnight |
03.50 |
03.50 |
02.75 |
| 1 Week |
05.00 |
06.75 |
05.25 |
| 1 Month |
06.70 |
07.50 |
11.35 |
| 3 Month |
07.00 |
07.70 |
12.40 |
| 6 Month |
07.50 |
07.90 |
12.80 |
| 1 Year |
08.50 |
08.75 |
N. A. |
| TREASURY
BILL RATES |
| 1 Month |
06.50 |
07.20 |
12.75 |
| 2 Month |
07.00 |
07.50 |
13.15 |
| 3 Month |
07.10 |
07.70 |
13.25 |
| 4 Month |
07.20 |
07.80 |
13.40 |
| 5 Month |
07.40 |
07.90 |
13.65 |
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