Updated on Nov
03,
2001
The past week was marked with the first auction of
government securities after the reduction in the discount rate by 200
basis points. They yields announced on both the Treasury Bills and the
Pakistan Investment Bonds did come as a surprise as the market had been
expecting lower cut-offs. The liquidity crunch prevailed in the market
but not without occasional dips in the overnight, one week and one month
levels. The State Bank had to use the Open Market Operation to alleviate
the dryness in the system but the injection did not bring about any
major change.
The overnight market was towards the higher end for
most parts of the week. Trades were seen as low as 8.00% while the
market closed at 9.90% at end of each day. Discounting was reported at
SBP with the amounts ranging between Rs. 550 million and Rs. 10.50
billion. Term repo trading was brisk prior to the T-bill auction with
most of the activity in the one month tenor. Trades were witnessed at
around 8.00% but after the injection of Rs. 4.50 billion in the OMO for
one week at 7.50% and the T-Bill auction settlement, one month trades
were conducted at 7.75%. However as the injection could not bring about
any significant change and discounting was reported, one month levels
jumped back up to 8.00%. Three month trades were also conducted within
the narrow band of 8.00% and 8.20. The cut in the discount rate caused
banks to quote lowest bids of 3,6 and 12 month papers at 8.14%, 8.44%
and 8.75% respectively in the first auction after this regulatory
change. A total bid amount of Rs. 23.35 billion was bid and SBP
announced a cut-off 8.19%, 8.51% and 9.10%. The 10 year PIB auction
caused a total participation of Rs. 22.267 billion out of which Rs.
19727 was at premium. Banks were willing to buy this paper at a premium
of 104.37 that worked out to be a yield to maturity of 12.23% for the
paper carrying a coupon rate of 13.00%. It should be noted that the
pre-auction trades for this paper had been reported at 104.50 and after
SBP sold the paper at 102.50, trades were conducted at 103.50, clearly
reflecting the sentiment regarding the reduction in the coupon rate on
the government's 10 year paper.
| YIELD PROFILE |
FEDERAL INVESTMENT BONDS |
| . |
THIS
WEEK |
1
WEEK AGO |
1
YEAR AGO |
|
1 Year |
09.00 |
09.00 |
11.75% |
|
2 Year |
09.90 |
09.90 |
12.50% |
|
3 Year |
10.50 |
10.60 |
13.00% |
|
4 Year |
11.00 |
11.00 |
13.25% |
|
5 Year |
11.50 |
11.50 |
13.50% |
|
10 Year |
12.50 |
12.50 |
14.25% |
| AUCTIONS |
| BID
DATE |
INSTRUMENT |
RESULT |
SETTLEMENT |
| Oct
31 |
T-BILL |
Oct
31 |
Nov
01 |
| TARGET AMOUNT |
BID AMOUNT |
ACCEPTED AMOUNT |
| Rs
17,650 Mln |
Rs. 23,250 Mln |
Rs.9,900
Mln |
|
|
| MATURITIES |
INSTRUMENT |
DATE |
AMOUNT |
|
T-Bill |
01 Nov |
17,650 Mln |
|
T-Bill |
15 Nov |
14,850 Mln |
| T-Bill |
29 Nov |
18,047 Mln |
|
|
|
REPO RATES |
|
THIS WEEK |
1 WEEK AGO |
1 YEAR AGO |
|
Overnight |
09.25 |
09.90 |
12.95 |
|
1 Week |
08.13 |
08.00 |
12.25 |
|
1 Month |
07.88 |
07.75 |
11.90 |
|
3 Month |
07.88 |
09.95 |
11.30 |
|
6 Month |
08.20 |
08.25 |
11.25 |
|
1 Year |
08.58 |
08.60 |
11.75 |
|
|
|
| TREASURY
BILL RATES |
| MATURING |
THIS WEEK |
1 WEEK AGO |
1 YEAR AGO |
|
1 Month |
08.60 |
08.50 |
12.90 |
|
2 Month |
08.15 |
08.00 |
12.00 |
|
3 Month |
08.10 |
08.10 |
11.70 |
|
4 Month |
08.20 |
08.15 |
11.65 |
|
5 Month |
08.25 |
08.20 |
11.60 |
|
|
