The interest in T-bills bounced back this week, in line with an increase in the maturities due. There is a positive correlation between the maturities in play and the interest shown at the T-bill auctions. The rates across the T-bills have now crossed the 12% mark as the market continues to push for higher rates. Attached are the results in full for your perusal.
The sale period for this month’s bond auction closes on Tuesday, 11-July-2023. The CBK has re-opened the FXD1/2016/10Yr (3.2 years left) and offered a new 5Yr Bond, FXD1/2023/5Yr, in a bid to secure KES 40Bn. My expectations for this auction are as follows:
FXD1/2016/10Yr: average between 15.90% – 16.00%
FXD1/2023/5Yr: average between 16.10% - 16.20%
Subscription: Oversubscription
Away from the primary auction, below is a snapshot of what is at play within the secondary market for your consideration. Happy hunting!
Below are the two-way quotes for the benchmark tenors:
Indicative Two-Way Quotes - Benchmark Tenors
Benchmark Tenor
Bid (%)
Offer (%)
Mov (t-t0)%
1Yr
12.50
12.00
0.00
2Yr
13.75
13.20
0.00
5yr
14.50
14.20
0.00
10yr
14.70
14.30
0.00
15yr
15.50
14.50
0.00
20yr
16.00
14.50
0.00
25yr
16.00
14.50
0.00
Below are details of the two-way quotes for the infrastructure bonds and the key rates:
Indicative Two-Way Quotes - IFB Series
IFB series
Maturity
Bid (%)
Offer (%)
Mov (t-t0)%
IFB1/2017/7 (IFB13)
Nov-24
12.60
12.00
0.00
IFB1/2016/9 (IFB10)
May-25
13.20
12.60
0.00
IFB1/2015/12 (IFB8)
Mar-27
13.30
13.00
0.00
IFB1/2017/12 (IFB12)
Feb-29
13.80
13.00
0.00
IFB1/2016/15 (IFB11)
Oct-31
14.00
13.00
0.00
IFB1/2018/15 (IFB14)
Jan-33
14.50
14.10
0.00
IFB1/2018/20 (IFB15)
Oct-38
15.50
14.00
0.00
IFB1/2019/25 (IFB16)
Feb-44
16.50
15.00
0.00
IFB1/2019/16 (IFB17)
Oct-35
14.50
13.80
0.00
IFB1/2020/9 (IFB18)
Apr-29
13.75
13.50
0.00
IFB1/2020/6 (IFB19)
May-26
13.00
12.00
0.00
IFB1/2020/11 (IFB20)
Aug-31
14.50
14.10
0.00
IFB1/2021/16 (IFB21)
Jan-37
15.50
14.50
0.00
IFB1/2021/18 (IFB22)
Mar-39
15.70
14.50
0.00
IFB1/2021/21 (IFB23)
Aug-42
16.50
15.00
0.00
IFB1/2022/19 (IFB24)
Jan-41
15.50
14.50
0.00
IFB1/2022/18 (IFB25)
May-40
15.50
14.50
0.00
IFB1/2022/14 (IFB26)
Oct-36
15.50
14.50
0.00
IFB1/2022/6 (IFB27)
Nov-28
13.30
13.20
0.00
IFB1/2023/17 (IFB28)
Feb-40
15.50
14.50
0.00
IFB1/2023/7 (IFB29)
Jun-30
15.55
15.40
0.00
Key Interest Rates
Mov (bps)
O/N Interbank
9.5341%
-23.28
91 Day T-bill
12.014%
11.00
182 Day T-bill
12.199%
25.20
364 Day T-bill
12.250%
9.30
Central Bank Rate (CBR)
10.50%
100.00
Inflation
7.90%
-10.00
Attached are the bond positions available today, the T-bill auction results for this week and the bond prospectus for July 2023.
