Kenya Bond Market Update: 1 August 2023

Published on
August 1, 2023
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Hi August

 
Another 100bp jump in the overnight lending rate as the liquidity crunch in the local market continues to bite. For your trading activities for the day and week ahead, 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. To bring it all together, 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 13.00 12.50 0.00
2Yr 15.50 14.50 0.00
5yr 17.00 16.75 0.00
10yr 17.00 16.00 0.00
15yr 17.00 16.00 0.00
20yr 17.00 16.00 0.00
25yr 17.00 16.00 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 16.15 16.00 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 15.70 15.50 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 15.00 0.00
IFB1/2023/7 (IFB29) Jun-30 15.55 15.45 0.00
 
Key  Interest Rates   Mov (bps)
O/N Interbank 16.5476% 63.96
91 Day T-bill 12.352% 11.90
182 Day T-bill 12.392% 7.00
364 Day T-bill 12.728% 2.00
Central Bank Rate (CBR) 10.50% 100.00
Inflation 7.30% -70.00
 
Attached are the bond positions available today, inflation data for July 2023 and the bond auction prospectus for August 2023.
 
Bond Positions
Inflation Data for July 2023
Bond Auction Prospectus for August 2023
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