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 |
|
|
