Historical Bank Interest Rates by olg16391

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									EXCHANGE & DEBT MANAGEMENT DEPARTMENT
                                                “Interest Rates”
                                        Data Compilation and Dissemination




                                           USERS-PRODUCERS WORKSHOP
                                                State Bank of Pakistan
                                                       Karachi.


                                                        May 08, 2006

                                                        Muhammad Arif
                                                Joint Director – Money & Debt Markets
                                              Exchange & Debt Management Department
EXCHANGE & DEBT MANAGEMENT DEPARTMENT

                                        Interest Rate
                                        DEFINED
                                           Theoratically, interest rate is the cost of holding the Money (shortly
                                            it’s the opportunity cost of capital).
                                           Practically, from the Money Market perspective, it’s the rate at which
                                            borrowers are willing to borrow or lenders are willing to lend funds.
                                        CHARACTERISTICS
                                           Tenor – term to maturity
                                           Rate of Return
                                           Principal
EXCHANGE & DEBT MANAGEMENT DEPARTMENT

                                        Types
                                        TYPES OF DATA SOURCES
                                           3 day Repo Rate (Announced by SBP)
                                           Primary Market Data (Auction data given by SBP)
                                           Benchmark Rates (established by Money Market)
                                           Data on Secondary Market Activities (provided by SBP)

                                            SBP prepares, maintains and disseminates data pertaining to both
                                            the Primary and Secondary Market.
EXCHANGE & DEBT MANAGEMENT DEPARTMENT

                                        Auction Data
                                        PRIMARY RATES
                                           Determined through auctions of MTBs and Pips
                                           Reflect Monetary Policy stance of the central bank (State Bank).


                                           MTBs
                                             – Auctions are conducted fortnightly, results are updated on SBP website,
                                               Reuters and disseminated through print and electronic media.
                                             – Available tenors are i.e. 3, 6 & 12 month MTBs
                                           PIBs
                                             – Auction schedule is announced annually and auctions are conducted
                                               quarterly.
                                             – Initially launched in three tenors i.e. 3, 5 & 10 year semiannual coupon
                                               bonds.
                                             – 15 & 20 year bonds were issued in May 2004 to extend the benchmark
                                               yield curve to 20 years and cater the demand of housing finance sector,
                                               pension funds.
EXCHANGE & DEBT MANAGEMENT DEPARTMENT

                                        DISCOUNT RATE (DR)
                                           3-day Repo Rate (or DR) is the rate at which Discount Window
                                            operations are conducted i.e. SBP provides overnight liquidity to
                                            banks in case of shortage of funds, as a last resort.
                                           It’s a key policy rate. SBP changes it to give medium term Monetary
                                            Policy signal.
                                           Frequency of change is as and when required.
                                           Complete history is available at SBP website.
EXCHANGE & DEBT MANAGEMENT DEPARTMENT

          Discount/Cutoff Rates (% p.a.)




                                         10.0
                                                              12.0
                                                                     14.0




          0.0
                2.0
                      4.0
                             6.0
                                   8.0
 Jan-01
 Apr-01
 Jul-01
 Oct-01
 Jan-02
 Apr-02




                3M
 Jul-02
 Oct-02
 Jan-03
                                                  6M



 Apr-03
 Jul-03
 Oct-03
                            12M


 Jan-04
 Apr-04
                                                                            MTB Cutoff & DR Trend




 Jul-04
 Oct-04
 Jan-05
 Apr-05
 Jul-05
 Oct-05
                                          SBP Discount Rate




 Jan-06
 Apr-06
EXCHANGE & DEBT MANAGEMENT DEPARTMENT
                                        SECONDARY MARKET
                                        BENCHMARK RATES
                                        KIBOR
                                           Karachi Interbank Offered Rate (KIBOR); quoted on Reuters by 20
                                            commercial banks (as selected by FMA - Financial Markets Association of
                                            Pakistan).
                                           Updated at 11.30 AM daily on Reuters by excluding Out-layers, 4 extremes
                                            on higher and 4 extremes on lower side.
                                           Authenticity is confirmed by making the contributors liable to accept
                                            Bid/Offer within 15 minutes from the time of up date up to Rs 100million of
                                            Lot Size by Contributor Banks.
                                           FMA ensures timely and error-free availability of the rates.
                                           With effect from 31st January 2004 Karachi Interbank Offered Rate
                                            (KIBOR) is used as the benchmark for all corporate lending.
                                           Currently KIBOR is quoted for tenors ranging from 1-week to 3-years.
EXCHANGE & DEBT MANAGEMENT DEPARTMENT
                                        SECONDARY MARKET BENCHMARK
                                        RATES-KIBOR
                                           SBP website maintains historical data (also available on FMA website
                                            http://fma.com.pk/)
                                            11.0

                                            10.5

                                            10.0

                                             9.5

                                             9.0

                                             8.5

                                             8.0
                                                   1-Week   2-Week   1-Month   3-Month   6-Month   9-Month   12-Month   2-Year   3-Year
EXCHANGE & DEBT MANAGEMENT DEPARTMENT




                                                                            10.00




          2.00
                           3.00
                                  4.00
                                         5.00
                                                6.00
                                                       7.00
                                                              8.00
                                                                     9.00
Jan-05

Feb-05

Mar-05
                                                                                                                RATES-KIBOR




Apr-05

May-05

Jun-05




                 KIBOR
 Jul-05

Aug-05

Sep-05
                                                                                    KIBOR v T-Bills (6-month)




Oct-05
                 T-Bills




Nov-05
                                                                                                                SECONDARY MARKET BENCHMARK




Dec-05

Jan-06

Feb-06
EXCHANGE & DEBT MANAGEMENT DEPARTMENT
                                        SECONDARY MARKET
                                        BENCHMARK RATES
                                        PKRV
                                           Benchmark curve used for revaluation of Government securities
                                           Rates contributed by money market brokers on daily basis.
                                           Regulated by FMA and updated daily on Reuters.
                                           Rates available from Overnight to 20-years.
EXCHANGE & DEBT MANAGEMENT DEPARTMENT
                                        SECONDARY MARKET
                                        BENCHMARK RATES – PKRV
                                        11.5
                                        11.0
                                        10.5
                                        10.0
                                         9.5
                                         9.0
                                         8.5
                                         8.0
                                         7.5
                                               1 Week   2-Week   1-Month   3-Month   6-Month 12-Month   3-Year   5-Year   10-Year   15-Year   20-Year
EXCHANGE & DEBT MANAGEMENT DEPARTMENT

                                        SECONDARY MARKET DATA

                                         Apart from the data on auctions & KIBOR, SBP website also
                                          maintains & updates data pertaining to secondary market activities.
                                         This includes:
                                            o Secondary market transactions in Govt. Securities among
                                              Commercial banks/PDs and with non-banks i.e. Out right and Repo
                                              with volume and rates tenor wise.
                                            o Daily lending volume in call Money Market with rates tenor wise.
EXCHANGE & DEBT MANAGEMENT DEPARTMENT

                                        SNAPSHOT
                                        Data Type       Frequency     History (SBP)   History (FMA)
                                        MTB Auction     Fortnightly   Complete        -

                                        PIB Auction     Quarterly     Complete        -

                                        Discount Rate   As & when     Complete        -

                                        KIBOR           Daily         Complete        Complete
                                        PKRV            Daily         -               Complete
EXCHANGE & DEBT MANAGEMENT DEPARTMENT

                                        Other Rates
                                           Available on Reuters.
                                           Frequency is daily

                                            1.   PKIB Curve. Contributed by Primary Dealers. Represent rates of
                                                 PIB’s issue wise.

                                            2.   Sukuk contributors Pricing. Contributed by the lead managers and
                                                 one Islamic bank i.e. Meezan Bank of first GOP guaranteed Islamic
                                                 instrument viz.Wapda Sukuk.

                                            3.   TFC Revaluation Curve. Contributed by FMA Selected Brokerage
                                                 Houses. Represents TFC pricing in the Secondary Market
EXCHANGE & DEBT MANAGEMENT DEPARTMENT

                                        FUTURE PLANS
                                            SBP plans to make its website more meaningful and helpful for
                                            its users on the subject. In this regard data pertaining to SBP
                                            and Secondary Market activities will be uploaded on the
                                            website. Current plans are to make available to public
                                            following data;

                                           Data pertaining to Open Market Operations with cut offs and volume
                                            accepted.
                                           Tenor-wise data on Call and Repo Market with volumes, min. & max
                                            rates and weighted average rates.
                                           Historical data on Discount Rate and Discounting
EXCHANGE & DEBT MANAGEMENT DEPARTMENT




                  THANK YOU

								
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