Kenya Bond Market Update: 09 January 2023

Published on

January 9, 2023

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Hello Monday

To get this week started, attached is the CBK weekly report to assist in your reading of the market while updated benchmark Yield Curve levels are ready for your perusal on the attached pricelist. I have also attached the NSE Implied Yields for the NSE’s valuations of all the treasuries. The sale period of this month’s primary auction closes tomorrow. A quick recap of my unchanged expectations:

FXD1/2020/5Yr (2.4 years): average to fall within the 12.70% - 12.80% range. Cut-off to be approximately 20bps away from the average
FXD1/2022/15Yr (14.3 years): average to fall within the 13.95% - 14.05% range. Cut-off to be approximately 15bps away from the average

To bring it all together, below is a snapshot of what is at play within the secondary market for your consideration. Happy hunting and best wishes for the week ahead!

Below are the two-way quotes for the benchmark tenors:

Indicative Two-Way Quotes - Benchmark Tenors
Benchmark Tenor	Bid (%)	Offer (%)	Mov (t-t0)%
1Yr	10.50	10.00	0.00
2Yr	12.50	12.00	0.00
5yr	13.70	13.50	0.00
10yr	13.95	13.80	0.00
15yr	14.00	13.80	0.00
20yr	14.10	13.90	0.00
25yr	14.35	14.20	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	12.00	11.45	0.00
IFB1/2016/9 (IFB10)	May-25	12.00	11.45	0.00
IFB1/2015/12 (IFB8)	Mar-27	12.20	12.00	0.00
IFB1/2017/12 (IFB12)	Feb-29	12.00	11.00	0.00
IFB1/2016/15 (IFB11)	Oct-31	13.20	12.70	0.00
IFB1/2018/15 (IFB14)	Jan-33	13.60	13.20	0.00
IFB1/2018/20 (IFB15)	Oct-38	13.80	13.50	0.00
IFB1/2019/25 (IFB16)	Feb-44	14.00	12.90	0.00
IFB1/2019/16 (IFB17)	Oct-35	13.70	13.50	0.00
IFB1/2020/9 (IFB18)	Apr-29	13.20	12.70	0.00
IFB1/2020/6 (IFB19)	May-26	12.30	12.00	0.00
IFB1/2020/11 (IFB20)	Aug-31	13.20	12.80	0.00
IFB1/2021/16 (IFB21)	Jan-37	13.75	13.25	0.00
IFB1/2021/18 (IFB22)	Mar-39	13.85	13.50	0.00
IFB1/2021/21 (IFB23)	Aug-42	14.00	13.50	0.00
IFB1/2022/19 (IFB24)	Jan-41	13.90	13.50	0.00
IFB1/2022/18 (IFB25)	May-40	13.70	13.30	0.00
IFB1/2022/14 (IFB26)	Oct-36	13.80	13.70	0.04
IFB1/2022/6 (IFB27)	Nov-28	13.30	13.20	0.02

Key Interest Rates		Mov (bps)
O/N Interbank	6.2386%	-10.67
91 Day T-bill	9.392%	2.30
182 Day T-bill	9.847%	1.30
364 Day T-bill	10.369%	6.10
Inflation	9.06%	-42.00

Attached are the bond positions available today, the NSE Implied Yields, the CBK Weekly Report and the January 2023 Prospectus of the Re-opened FXD1/2020/5Yr & FXD1/2022/15Yr.

Bond Positions Available Today

NSE Implied Yields

CBK Weekly Report

Re-opened FXD1/2020/5Yr & FXD1/2022/15Yr

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Kenya Bond Market Update: 09 January 2023

Hello Monday

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