Ramadan Mubarak
For all those observing the Holy Month of Ramadan, may Allah bless you and your families with peace and grace.
Back to market related matters, the first portion of this month’s bond auction takes place this week with the sale period of the FXD1/2022/3Yr closing tomorrow. The Central Bank is looking to secure KES 40Bn from the sale of this bond. My expectations for how this auction will go are as follows:
- Average: 11.40% – 11.50%
- Cut-off: 15bps – 20bps away from where the average comes in
- Bids: expecting a wide range of bids, from a low of 11.25% to a high of 11.99%
- Subscription: bids to meet the KES 40Bn target
- Potential for a reject-and-tap strategy (if the CBK come in to tame market’s push for higher rates)
Attached is the CBK weekly report to assist in your reading of the market while updated benchmark Yield Curve levels are to be found on the attached pricelist. I have also attached the NSE Implied Yields for the NSE’s valuations of all the bonds. Below is a snapshot of what is at play within the secondary market for your consideration. Happy hunting and bidding!
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|
| Indicative Two-Way Quotes - Benchmark Tenors |
| Benchmark Tenor |
Bid (%) |
Offer (%) |
Mov (t-t0)% |
| 1Yr |
9.90 |
9.70 |
0.00 |
| 2Yr |
10.55 |
10.20 |
0.00 |
| 5Yr |
12.00 |
11.70 |
0.00 |
| 10Yr |
12.90 |
12.60 |
0.00 |
| 15Yr |
13.80 |
13.50 |
0.00 |
| 20Yr |
13.85 |
13.80 |
0.00 |
| 25Yr |
14.00 |
13.75 |
0.00 |
|
|
| Indicative Two-Way Quotes - IFB Series |
| IFB series |
Maturity |
Bid (%) |
Offer (%) |
Mov (t-t0)% |
IFB1/2017/7
(IFB13) |
Nov-24 |
10.35 |
9.90 |
0.00 |
IFB1/2016/9
(IFB10) |
May-25 |
10.35 |
9.90 |
0.00 |
IFB1/2015/12
(IFB8) |
Mar-27 |
10.50 |
10.00 |
0.00 |
IFB1/2017/12
(IFB12) |
Feb-29 |
11.00 |
10.60 |
0.00 |
IFB1/2016/15
(IFB11) |
Oct-31 |
12.50 |
12.25 |
0.00 |
IFB1/2018/15
(IFB14) |
Jan-33 |
12.40 |
12.00 |
0.00 |
IFB1/2018/20
(IFB15) |
Oct-38 |
12.90 |
12.50 |
0.00 |
IFB1/2019/25
(IFB16) |
Feb-44 |
13.00 |
12.50 |
0.00 |
IFB1/2019/16
(IFB17) |
Oct-35 |
12.90 |
12.50 |
0.00 |
IFB1/2020/9
(IFB18) |
Apr-29 |
11.30 |
11.00 |
0.00 |
IFB1/2020/6
(IFB19) |
May-26 |
11.30 |
10.75 |
0.00 |
IFB1/2020/11
(IFB20) |
Aug-31 |
12.30 |
12.10 |
0.00 |
IFB1/2021/16
(IFB21) |
Jan-37 |
12.90 |
12.70 |
0.00 |
IFB1/2021/18
(IFB22) |
Mar-39 |
13.00 |
12.80 |
0.00 |
IFB1/2021/21
(IFB23) |
Aug-42 |
13.00 |
12.80 |
0.00 |
IFB1/2022/19
(IFB24) |
Jan-41 |
13.05 |
12.975 |
0.00
|
|
|
| Key Interest Rates |
|
Mov (bps) |
| O/N Interbank |
4.8148% |
-20.37 |
| 91 Day T-bill |
7.302% |
1.90 |
| 182 Day T-bill |
8.164% |
3.00 |
| 364 Day T-bill |
9.752% |
-1.50 |
| Inflation |
5.56% |
48.00 |
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