Professional Documents
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“Interest Rates”
Data Compilation and Dissemination
USERS-PRODUCERS WORKSHOP
State Bank of Pakistan
Karachi.
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)
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
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
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 -
Other Rates
Available on Reuters.
Frequency is daily
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