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USERS-PRODUCERS WORKSHOP
State Bank of Pakistan
Karachi.
“Interest Rates”Data Compilation and Dissemination
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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
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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.
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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.
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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.
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MTB Cutoff & DR Trend
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
Jan-01
Apr-01
Jul-01
Oct-
01
Jan-02
Apr-02
Jul-02
Oct-
02
Jan-03
Apr-03
Jul-03
Oct-
03
Jan-04
Apr-04
Jul-04
Oct-
04
Jan-05
Apr-05
Jul-05
Oct-
05
Jan-06
Apr-06
Dis
co
un
t/C
uto
ff R
ates (
% p
.a.)
SBP Discount Rate
3M
6M
12M
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TSECONDARY 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.
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TSECONDARY MARKET BENCHMARK
RATES-KIBOR
SBP website maintains historical data (also available on FMA website
http://fma.com.pk/)
8.0
8.5
9.0
9.5
10.0
10.5
11.0
1-Week 2-Week 1-Month 3-Month 6-Month 9-Month 12-Month 2-Year 3-Year
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TSECONDARY MARKET BENCHMARK
RATES-KIBOR
KIBOR v T-Bills (6-month)
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00Ja
n-05
Feb-
05
Mar
-05
Apr
-05
May
-05
Jun-
05
Jul-0
5
Aug
-05
Sep
-05
Oct
-05
Nov
-05
Dec
-05
Jan-
06
Feb-
06
KIBOR T-Bills
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TSECONDARY 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.
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TSECONDARY MARKET
BENCHMARK RATES – PKRV
7.5
8.0
8.5
9.0
9.5
10.0
10.5
11.0
11.5
1 Week 2-Week 1-Month 3-Month 6-Month 12-Month 3-Year 5-Year 10-Year 15-Year 20-Year
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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.
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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
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Other Rates
Available on Reuters.
Frequency is daily
1. PKIB Curve. Contributed by Primary Dealers. Represent rates ofPIB’s issue wise.
2. Sukuk contributors Pricing. Contributed by the lead managers andone Islamic bank i.e. Meezan Bank of first GOP guaranteed Islamicinstrument viz.Wapda Sukuk.
3. TFC Revaluation Curve. Contributed by FMA Selected BrokerageHouses. Represents TFC pricing in the Secondary Market
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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
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THANK YOU
