. .



Updated on Dec 01, 2001

The liquidity crunch continued in the interbank market with banks having to approach the State Bank for respite. A maximum discounting of Rs. 14.50 billion was reported that too on the day that SBP injected Rs. 7.25 billion. However the discounting eased off as the week progressed but only rose on Friday as banks had to maintain their weekly reserves. Yields on Treasury Bills continued to fall and a lower than target acceptance by the authorities resulted in a slight ease in the dryness due to the net inflow. Furthermore there was no further news of any change in the Cash Reserve Requirement, the rumours of which were heard the previous week.

The overnight market was glued at the 9.90% level. An injection of Rs. 7.25 billion at 8.50% for one week on Monday did ease overnight levels but the market failed to square off as major participation had been reported at lower levels. The one and two week rates were volatile with trades between a wide band of 6.00% and 9.00%. One week activity initially at around 9.00% but later rates fell off sharply as the auction result was announced. Bids and offers squared off as low as 5.50% while two week activity was reported at lows of 6.50% and 7.00%. However rates soon jumped back up and touched and closed around 8.50% on the weekend. One month also dipped to 7.50% but it was on the 1st of December that the one month levels shot up as the maturity of this tenor was scheduled to fall on the 2nd of January. Year end covering at 7.75% drove the two month rate back up from levels of 7.50% to touch 8.00% while three month activity at 7.75% was short lived with trades soon at 8.00%. The T-Bill auction attracted a large amount of Rs.24.20 billion but SBP only accepted Rs. 10.20 billion. The cutoff yields for the six and twelve month papers were reduced by 10 and 15 basis points to bring it down to 8.29% and 8.84%, respectively while the three month yield was maintained at 7.96%.

The crunch that has been prevailing in the market has been around since early November and the market continues to reflect the uneasiness of the dealers. Panic covering over Eid coupled with year end borrowing in the market has also caused banks to hurriedly pick up funds for twenty days and one month. Another outflow from the market on Monday will certainly put pressure on the authorities to inject liquidity but a one week reverse repo will only cause further outflows right before Eid, traditionally a period when heavy outflows from the system are witnessed.

YIELD PROFILE

FEDERAL INVESTMENT BONDS

.

THIS WEEK

1 WEEK AGO

1 YEAR AGO

1 Year

08.75

09.00

12.50%

2 Year

09.50

09.75

12.75%

3 Year

10.75

10.75

13.00%

4 Year

11.00

11.00

13.50%

5 Year

11.25

11.25

13.75%

10 Year

12.25

12.25

14.25%

.

 
AUCTIONS
BID DATE INSTRUMENT RESULT SETTLEMENT
Nov 28 T-BILL Nov 28 Nov 29
TARGET AMOUNT BID AMOUNT ACCEPTED AMOUNT
Rs 21,256 Mln  Rs. 24,200 Mln Rs.10,200 Mln



MATURITIES

INSTRUMENT

DATE

AMOUNT

T-Bill

13 Dec

3,030 Mln

T-Bill

27 Dec 

18,300 Mln




REPO RATES

 

THIS WEEK

1 WEEK AGO

1 YEAR AGO

Overnight

09.00

09.90

12.95

1 Week

08.75

08.25

12.95

1 Month

08.15

08.00

12.70

3 Month

08.00

07.80

11.85

6 Month

08.10

08.00

11.85

1 Year

08.50

08.55

12.50




TREASURY BILL RATES
MATURING THIS WEEK 1 WEEK AGO 1 YEAR AGO

1 Month

08.40

08.40

13.70

2 Month

08.10

08.10

12.60

3 Month

07.90

07.80

12.20

4 Month

08.00

07.90

12.10

5 Month

08.05

07.95

12.00