EXCHANGE & DEBT MANAGEMENT DEPARTMENT USERS-PRODUCERS
WORKSHOP State Bank of Pakistan Karachi. May 08, 2006 Muhammad Arif
Joint Director Money & Debt Markets Exchange & Debt
Management Department Interest Rates Data Compilation and
Dissemination
Slide 2
EXCHANGE & DEBT MANAGEMENT DEPARTMENT Interest Rate DEFINED
Theoratically, interest rate is the cost of holding the Money
(shortly its the opportunity cost of capital). Practically, from
the Money Market perspective, its 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
Slide 3
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.
Slide 4
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.
Slide 5
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. Its 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.
Slide 6
EXCHANGE & DEBT MANAGEMENT DEPARTMENT MTB Cutoff & DR
Trend
Slide 7
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.
Slide 8
EXCHANGE & DEBT MANAGEMENT DEPARTMENT SECONDARY MARKET
BENCHMARK RATES-KIBOR SBP website maintains historical data (also
available on FMA website http://fma.com.pk/)
Slide 9
EXCHANGE & DEBT MANAGEMENT DEPARTMENT SECONDARY MARKET
BENCHMARK RATES-KIBOR
Slide 10
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.
Slide 11
EXCHANGE & DEBT MANAGEMENT DEPARTMENT SECONDARY MARKET
BENCHMARK RATES PKRV
Slide 12
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: oSecondary 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. oDaily lending
volume in call Money Market with rates tenor wise.
Slide 13
EXCHANGE & DEBT MANAGEMENT DEPARTMENT SNAPSHOT Data
TypeFrequencyHistory (SBP)History (FMA) MTB
AuctionFortnightlyComplete- PIB AuctionQuarterlyComplete- Discount
RateAs & whenComplete- KIBORDailyComplete
PKRVDaily-Complete
Slide 14
EXCHANGE & DEBT MANAGEMENT DEPARTMENT Other Rates Available
on Reuters. Frequency is daily 1.PKIB Curve. Contributed by Primary
Dealers. Represent rates of PIBs 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
Slide 15
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
