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.
