Kenya Bond Market Update: 10 July 2023

Published on
July 10, 2023
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Prepare Your Bets

 
The sale period for this month’s bond auction closes tomorrow. 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 updated expectations for this auction are as follows:
  • FXD1/2016/10Yr: average between 16.00% – 16.20%
  • FXD1/2023/5Yr: average between 16.10% - 16.30%
  • Subscription: Oversubscription
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 12.50 12.00 0.00
2Yr 16.00 15.00 2.03
5yr 16.00 15.00 1.15
10yr 15.50 14.50 0.60
15yr 16.00 15.00 0.50
20yr 16.00 15.00 0.25
25yr 16.00 15.00 0.25
 

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 15.45 15.30 -0.10
 
Key  Interest Rates   Mov (bps)
O/N Interbank 9.3362% -19.79
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 NSE Implied Yields, the CBK Weekly Report and the bond prospectus for July 2023.
 
Bond Positions
NSE Implied Yields
CBK Weekly Report
Bond Prospectus for July 2023
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