. .



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