. .



Updated on Mar 22, 2002

The past week the interbank market went through a volatile phase. Lows of 0.75% and highs of 8.00% were witnessed in the overnight market while term rates shot up after the State Bank accepted a colossal amount of Rs. 26.49 billion in the T-Bill auction with yields being maintained.

Excess liquidity in the system kept rates at 1.00% and 1.50% for overnight funds with one week activity reported as low as 3.00%. Significant interest was evident in the one month market prior to the auction. Trades were reported at 5.00% but later rates climbed. Three and six month funds also changed hands at levels of 5.60% and 6.20% with rates rising as the auction date approached. The auction attracted a total amount of Rs. 29.79 billion with aggressive participation for the six month paper. SBP maintained yield much to the markets expectation with the cut-off for the three, six and one year papers at 5.81%, 6.48% and 7.00%, respectively. A total amount of Rs. 26.49 billion was picked up against the target of Rs. 6 billion. Banks did initially panic but with overnight, one and two week rates under pressure on both days after the auction, it became quite evident that the market was still excess by significant amounts. The three and five PIBs to be auctioned off on the 28th continued to trade with the five year trading at a premium of 103.15.

The T-Bill auction has continued to attract amounts at previous levels amid rumours of an increase in rates. We still estimate that no change in the key interest rates could be on the cards. Also the current market will remain depressed and term repo rates are set to ease off. Furthermore participation in excess of the target amount of Rs. 8 billion in the PIB auction settling on the 28th will not come as a surprise.

YIELD PROFILE

FEDERAL INVESTMENT BONDS

.

THIS WEEK

1 WEEK AGO

1 YEAR AGO

1 Year

07.00

06.90

11.90%

2 Year

07.75

07.75

12.40%

3 Year

08.50

08.50

12.70%

4 Year

08.50

08.50

12.70%

5 Year

09.50

09.50

13.00%

10 Year

10.75

10.75

13.25%




AUCTIONS
BID DATE INSTRUMENT RESULT SETTLEMENT
Mar 20  T-BILL Mar 20 Mar 21
TARGET AMOUNT BID AMOUNT ACCEPTED AMOUNT
Rs.6,000 Mln Rs.29,790 Mln Rs.26,490 Mln



MATURITIES

INSTRUMENT

DATE

AMOUNT

T-Bill

07 Mar

3,755 Mln

T-Bill

21 Mar

2,300 Mln



REPO RATES

 

THIS WEEK

1 WEEK AGO

1 YEAR AGO

Overnight

03.25

02.75

01.75

1 Week

05.50

03.00

02.50

1 Month

05.75

04.80

10.75

3 Month

05.80

05.45

10.80

6 Month

06.25

06.15

11.45

1 Year

06.75

06.75

11.90




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

1 Month

05.90

05.10

11.75

2 Month

05.85

05.35

10.90

3 Month

05.80

05.60

10.90

4 Month

06.00

05.90

11.10

5 Month

06.25

06.15

11.40