Updated on Nov
17,
2001
There was no letting down in the liquidity crunch
that has been prevailing in the money market since early November. The
market was significantly short and a colossal discounting on Thursday
only compelled the State Bank to intervene to inject. Treasury Bill
yields in the primary market fell off further as SBP accepted amounts
less than the maturity and participation was nominal. Activity in the
term market was nominal and rates remained more or less unchanged.
The overnight market remained fixed at the 9.90%
level with only a slight improvement on Thursday on account of the
T-Bill maturity and settlement that caused a net inflow of Rs. 7 billion
in the system. However, it was the same day that the discounting figure
jumped up and touched a week high of Rs. 23.50 billion. The shortness
did not come as a surprise as reserve averaging and outflows prior to
the onset of Ramazan were attributed for the discounting figure to rise.
SBP did intervene on Friday but only an injection of Rs. 4.40 billion
for one week at 8.50% was witnessed. It was reported that a total
participation of Rs. 18.55 billion was witnessed but bids were at levels
even lower than 8.00%. SBP not providing relief to the borrowers was
evident from the fact that one week levels in the secondary market were
in between 8.50% and 8.75%. Term market activity was nominal with trades
being concentrated in the two month tenor. Both call and repo
transactions were conducted at levels between 8.00% and 8.20%.
Significant activity was witnessed in the 1/11/01 six month treasury
bills with heavy amounts trading within the narrow band of 8.10% and
8.20% as banks picked up the issue keeping in mind that chances of a
significant cut in the T-Bill auction yields were strong. The cut in the
T-Bills yields did materialise as the primary dealers only managed to
bid a total amount of Rs. 13.25 billion against the target of Rs. 16.54
billion. There was a reduction of yields by 20 basis points for the
three month paper and 10 basis points for both the six month and one
year paper and only Rs. 8.05 billion was accepted. This resulted in the
new cut-offs at 7.96%, 8.40% and 8.99% for the respective papers.
The lack luster participation in the auction the past
week is only attributed to the liquidity crunch that has been prevailing
in the interbank market for the last two weeks. We still feel that there
is more room for the yields on Treasury Bills to come off and a
reduction in the discount rate is not a distant possibility.
| YIELD PROFILE |
FEDERAL INVESTMENT BONDS |
| . |
THIS
WEEK |
1
WEEK AGO |
1
YEAR AGO |
|
1 Year |
09.25 |
08.75 |
12.25% |
|
2 Year |
10.00 |
09.50 |
13.00% |
|
3 Year |
10.75 |
10.75 |
13.50% |
|
4 Year |
11.00 |
11.00 |
13.75% |
|
5 Year |
11.25 |
11.50 |
14.25% |
|
10 Year |
12.25 |
12.50 |
14.75% |
| AUCTIONS |
| BID
DATE |
INSTRUMENT |
RESULT |
SETTLEMENT |
| Nov
14 |
T-BILL |
Nov
14 |
Nov
15 |
| TARGET AMOUNT |
BID AMOUNT |
ACCEPTED AMOUNT |
| Rs
16,546 Mln |
Rs.
13,250 Mln |
Rs.8,050
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 |
09.90 |
09.90 |
12.95 |
|
1 Week |
09.00 |
08.70 |
12.95 |
|
1 Month |
08.10 |
07.90 |
12.50 |
|
3 Month |
08.00 |
07.90 |
12.15 |
|
6 Month |
08.25 |
08.15 |
11.90 |
|
1 Year |
08.75 |
08.50 |
12.25 |
|
|
|
| TREASURY
BILL RATES |
| MATURING |
THIS WEEK |
1 WEEK AGO |
1 YEAR AGO |
|
1 Month |
08.50 |
08.40 |
13.50 |
|
2 Month |
08.30 |
08.10 |
12.70 |
|
3 Month |
08.00 |
07.90 |
12.40 |
|
4 Month |
08.10 |
08.00 |
12.30 |
|
5 Month |
08.30 |
08.10 |
12.00 |
|
|
