Financial Markets










 Domestic Derivatives Market


Domestic Derivatives Market

a. Current Derivatives Market:

State Bank has allowed limited number of derivative products (swaps and options) to the derivative market participants with certain reporting and disclosure obligations and the market is used only for hedging purpose.
State Bank of Pakistan allows four types of derivative instruments namely:


i. Interest Rate Swaps: An interest rate swap is an agreement between two parties where one stream of future interest payments is exchanged for another based on a given principal amount.

ii. Forward Rate Agreements: A forward rate agreement (FRA) is an over-the-counter contract between parties that determines the interest rate or exchange rate to be paid or received on an obligation beginning at a future start date.

iii. Third Currency Options: they are used for exchange rate related risk hedging for trade related transactions such as LC, exports, imports etc

iv. Cross Currency Swaps: A cross-currency swap is an over-the-counter derivative agreement between two parties to exchange interest payments and principal on loans denominated in two different currencies. In a cross-currency swap, a loan's interest payments and principal in one currency would be exchanged for an equally valued loan and interest payments in a different currency.

b. Authorized Derivative Dealers:


“Authorized Derivatives Dealer (ADD)” are institutions that are licensed by SBP to undertake certain derivative transactions. There are currently the following 07 Authorized Derivative Dealers in Pakistan:

1. Citibank N.A.

2. Deutsche Bank AG

3. Faysal Bank Limited

4. Habib Bank Limited

5. MCB Bank Limited

6. Standard Chartered Bank (Pakistan) Limited

7. United Bank Limited

c. Non-Market Maker Financial Institutions:

Non-Market Maker Financial Institutions are financial institutions that execute derivatives transactions with its customers with the intention to make a spread. It does not undertake any Market Making and covers the transaction on a back-to-back basis. There is currently only one NMI I.e. The Bank of Tokyo-Mitsubishi UFJ, Ltd. (FX Options Only)

d. Financial Derivatives Business Regulations:

Financial Derivatives Business Regulation is a framework formulated to permit, regulate, and supervise financial institutions entering into derivative transactions. Financial institutions are required to obtain approval from the State Bank of Pakistan before engaging in derivatives and would be subject to supervision and scrutiny from the State Bank of Pakistan as a supervisory authority.

The State Bank of Pakistan may suspend or withdraw the status of a Financial Institution as an NMI or an ADD to carry out Derivative Business if it finds that the financial institution is in violation of these regulations. The FDBR discusses the permissible derivative transactions for ADDs/NMIs.


i

  •  
    SBP Policy Rate
    15.00% p.a.
     
    SBP Overnight
    Reverse
    Repo (Ceiling) Rate
    16.00% p.a
     
    SBP Overnight
    Repo (Floor) Rate
    14.00% p.a.
  •  
    Overnight Weighted Average Repo Rate
    As on 10-Aug-22

    15.01% p.a.
     
    KIBOR
    As on 11-Aug-22
    Tenor BID OFFER
    3-M 15.61 15.86
    6-M 15.68

    15.93

    12-M 15.77 16.27
         
     

  • MTBs
    Tenor Rates
    3-M 15.7478%
    6-M 15.8000%
    12-M 15.9350%
    (as on Aug 10, 2022)

    PIBs (Fixed Rate)

    Tenor Rates
    3-Y 13.9473%
    5-Y 13.4000%
    10-Y Bids Rejected
    15-Y No Bid Received
    20-Y No Bid Received
    30-Y No Bid Received
    (as on Aug 03, 2022)

    PIBs (Floating Rate Quarterly)

    Tenor Cut-off Price
    2-Y Rs. 99.1885
    3-Y Rs. 97.6460
    (as on Aug 10, 2022)
    PIBs (Floating Rate Semi Annual)
    Tenor Cut of Price
    5-Y Bids Rejected
    10-Y Bids Rejected
    (as on Aug 10, 2022)
    GIS (FRR)
    Tenor Cut-off Rental Rate
    5-Y 12.7000%
    (as on 13-Jul- 2022)
    GIS (VRR)
    Tenor Cut-off Price
    5-Y Rs. 99.6000
    (as on 13-Jul- 2022)
  • PIB Auction
    (Fixed Rate)
    14-Sep-22


    MTB Auction

    24-Aug-22

    PIB Auction
    (Floating Rate)
    Semi-Annual

    24-Aug-22
    PIB Auction
    (Floating Rate)
    Quarterly

    24-Aug-22
    GIS VRR

    04-Aug-22
    GIS FRR

    04-Aug-22
    As on 05-Aug-22
    SBP’s Reserves
    7,830.3
    Bank’s Reserves
    5,730.8
    Total Reserves
    13,561.1

  •  
    USD/PKR Rates
    As on 11-Aug-22
     
    M2M
    Revaluation Rate
    218.8814
     
    Weighted
    Average Rate
    Bid: 219.3618
    Offer:

    219.7846

       
     

       
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