Updated on Jan
12, 2002
Interbank short term rates were mostly at the higher
end of the spectrum for most parts of the week. T-Bill rates continue to
ease off in the primary market as was witnessed in the auction the past
week. This added fuel to the fire that was raging in the term market due
to the rumours regarding a cut in the discount rate. There was no change
reported from the State Bank but term activity was witnessed at lows not
witnessed since August 2000.
Overnight trading was witnessed amid tight conditions
with banks approaching SBP for respite. Trades throughout the week were
conducted at levels of 8.00% and 9.00% but the market continued to close
short. It was on Saturday that rates fell off with the day closing with
overnight rates at 3.00%. However the overnight trading band on the
weekend was 2.00% and 7.00%. The one and two week levels also fell off
sharply with trades in the respective tenors at levels of 6.00% and
6.50%, respectively. Trading in the 27/12/01 one year T-Bill maturing
before the year end at 8.00% prior to the auction set the tone for the
participation. A total bid of Rs. 25.65 billion was witnessed with the
State Bank accepting only Rs. 8.60 billion and stayed below the target
amount of Rs. 9.396 billion. Bids for the three month paper were
rejected while the six and twelve month papers cut-off were 7.79% and
8.24%, respectively. Desperate buying was evident after the announcement
of the auction result and the one year paper was traded at the 8.00%
level. Simultaneously rates slid off sharply in the term market and six
month call trades were reported at close to 7.50%. The SBP also
announced a target amount of Rs. 8 billion for the three and five year
PIBs to be auctioned on the 28th of January. The three and five year
PIBs bearing a coupon of 10.50% and 11.00% continue to prove popular
with the market and forward trades for both the papers were reported at
premium prices of 101 within minutes of the announcement of the auction.
The five year PIB price rose further to 101.75 yielding 10.54% clearly
echoing the sentiment prevailing in the market.
The trend of yield that prevailed the past week has
certainly taken into account the chances of a 100 basis points cut in
the State Bank repo discount rate. Even with the presidential address to
the nation in the evening we feel that the interbank money market is not
to be affected in any major way, whatever the outcome of the speech may
be.
| YIELD PROFILE |
FEDERAL INVESTMENT BONDS |
| . |
THIS
WEEK |
1
WEEK AGO |
1
YEAR AGO |
|
1 Year |
08.25 |
08.35 |
12.25% |
|
2 Year |
09.00 |
09.15 |
12.75% |
|
3 Year |
10.50 |
10.50 |
13.35% |
|
4 Year |
10.75 |
10.75 |
13.50% |
|
5 Year |
11.00 |
11.00 |
14.00% |
|
10 Year |
12.00 |
12.25 |
14.75% |
| AUCTIONS |
| BID
DATE |
INSTRUMENT |
RESULT |
SETTLEMENT |
| Jan
09 |
T-BILL |
Jan
09 |
Jan
10 |
| TARGET AMOUNT |
BID
AMOUNT |
ACCEPTED AMOUNT |
| Rs.9,396
Mln. |
Rs. 25,650 Mln. |
Rs.4,950
Mln |
|
|
| MATURITIES |
INSTRUMENT |
DATE |
AMOUNT |
|
T-Bill |
07 Jan |
6,000 Mln |
|
T-Bill |
24 Jan |
5,650 Mln |
|
|
|
|
REPO RATES |
|
THIS WEEK |
1 WEEK AGO |
1 YEAR AGO |
|
Overnight |
03.00 |
07.25 |
12.95 |
|
1 Week |
05.50 |
06.00 |
12.95 |
|
1 Month |
06.50 |
06.75 |
11.65 |
|
3 Month |
07.15 |
07.10 |
12.00 |
|
6 Month |
07.30 |
07.50 |
11.85 |
|
1 Year |
07.80 |
08.00 |
12.25 |
|
|
|
| TREASURY
BILL RATES |
| MATURING |
THIS WEEK |
1 WEEK AGO |
1 YEAR AGO |
|
1 Month |
07.00 |
07.15 |
12.65 |
|
2 Month |
07.00 |
07.00 |
11.75 |
|
3 Month |
07.15 |
07.10 |
11.90 |
|
4 Month |
07.30 |
07.30 |
11.85 |
|
5 Month |
07.30 |
07.50 |
11.75 |
|
|
