The T-bill auction was oversubscribed this week with the market continuing to heavily favour the shortest T-bill, the 91D T-bill. The CBK secured KES 32.135Bn, with both the 91D and 182D rates rising significantly quicker than the 364D T-bill. This has resulted in the yield curve for the T-bills flattening as the difference in rates across the bills decreases. Attached are the results for your perusal.
The CBK has on offer the IFB1/2023/7Yr as they seek KES 60bn from its sale. Below are my expectations for how the auction will play out:
Bids: Bidding range of 14.90% - 15.20%
Average: 14.90% – 14.99%
Subscription: Oversubscription as a result of improved levels of liquidity in the market
The prospectus for this auction is attached with all the required information to facilitate your bidding process.
For your trading activities today, 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
11.75
11.25
0.00
2Yr
13.75
13.20
0.00
5yr
14.50
14.20
0.00
10yr
14.50
14.30
0.00
15yr
14.60
14.30
0.00
20yr
14.75
14.40
0.00
25yr
14.75
14.40
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
13.20
12.70
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
14.75
14.00
0.00
IFB1/2019/25 (IFB16)
Feb-44
15.00
14.00
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
15.00
14.20
0.00
IFB1/2021/18 (IFB22)
Mar-39
15.00
14.20
0.00
IFB1/2021/21 (IFB23)
Aug-42
15.00
14.50
0.00
IFB1/2022/19 (IFB24)
Jan-41
15.00
14.00
0.00
IFB1/2022/18 (IFB25)
May-40
15.00
14.00
0.00
IFB1/2022/14 (IFB26)
Oct-36
14.80
14.50
0.00
IFB1/2022/6 (IFB27)
Nov-28
13.30
13.20
0.00
IFB1/2023/17 (IFB28)
Feb-40
15.00
14.50
0.00
Key Interest Rates
Mov (bps)
O/N Interbank
9.2013%
-4.72
91 Day T-bill
11.414%
31.10
182 Day T-bill
11.548%
43.60
364 Day T-bill
11.608%
11.10
Central Bank Rate (CBR)
9.50%
0.00
Inflation
8.00%
10.00
Attached are the bond positions available today, T-bill auction results for this week and the IFB1/2023/7Yr bond prospectus.
