Auction Week
In a bid to secure KES 60Bn, the CBK has on offer a new 10Yr bond (FXD1/2022/10Yr) and has re-opened the FXD1/2021/25Yr (24.1 years). The sale period comes to a close tomorrow, 10-May-2022. Below is a quick summary of how I expect the auction to go:
- FXD1/2022/10Yr: average of 12.95% - 13.05% with the cut off rate 15 - 20 bps away from the average
- FXD1/2021/25Yr: average of 13.95% - 13.99% with the cut-off to be maintained as 13.99%
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 treasuries.
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 |
10.00 |
9.70 |
0.00 |
| 2Yr |
11.00 |
10.55 |
0.00 |
| 5Yr |
12.00 |
11.85 |
-0.02 |
| 10Yr |
12.90 |
12.60 |
0.00 |
| 15Yr |
13.90 |
13.85 |
0.00 |
| 20Yr |
14.00 |
13.80 |
0.00 |
| 25Yr |
14.00 |
13.80 |
0.00 |
|
|
| Indicative Two-Way Quotes - IFB Series |
| IFB series |
Maturity |
Bid (%) |
Offer (%) |
Mov (t-t0)% |
IFB1/2017/7
(IFB13) |
Nov-24 |
11.00 |
10.00 |
0.00 |
IFB1/2016/9
(IFB10) |
May-25 |
11.00 |
10.50 |
0.00 |
IFB1/2015/12
(IFB8) |
Mar-27 |
11.00 |
10.00 |
0.00 |
IFB1/2017/12
(IFB12) |
Feb-29 |
11.00 |
10.60 |
0.00 |
IFB1/2016/15
(IFB11) |
Oct-31 |
12.60 |
12.50 |
0.00 |
IFB1/2018/15
(IFB14) |
Jan-33 |
12.50 |
12.25 |
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 |
11.40 |
11.25 |
0.00 |
IFB1/2020/6
(IFB19) |
May-26 |
11.30 |
10.75 |
0.00 |
IFB1/2020/11
(IFB20) |
Aug-31 |
12.60 |
12.50 |
0.00 |
IFB1/2021/16
(IFB21) |
Jan-37 |
12.95 |
12.85 |
0.00 |
IFB1/2021/18
(IFB22) |
Mar-39 |
13.00 |
12.85 |
0.00 |
IFB1/2021/21
(IFB23) |
Aug-42 |
13.00 |
12.85 |
0.00 |
IFB1/2022/19
(IFB24) |
Jan-41 |
13.10 |
13.00 |
-0.01
|
|
|
| Key Interest Rates |
|
Mov (bps) |
| O/N Interbank |
4.6677% |
-9.60 |
| 91 Day T-bill |
7.580% |
8.30 |
| 182 Day T-bill |
8.542% |
8.40 |
| 364 Day T-bill |
9.840% |
6.40 |
| Inflation |
6.47% |
91.00 |
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