Big Week
Tomorrow is a public holiday in Kenya as the inauguration ceremony of the President-elect, Dr. William Ruto, takes place.
This month’s bond auction has been pushed forward by a day to accommodate this. My expectations for this auction are as follows:
- FXD1/2022/10Yr: average of approximately 13.95%
- FXD1/2022/15Yr: average of approximately 13.95%
- Summary: bids of both papers to come in around the 14% mark as the CBK has recently capped the yields accepted at the primaries at this level. Liquidity has improved and this should show up in this auction. For the CBK to be lock in a significant portion of this liquidity at this auction, they should allow yields to cross the 14% mark to match the market’s valuation of long dated paper. This however is not what is expected and this dance between the CBK and the market is expected to continue.
Away from this, 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 and bidding!
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| Indicative Two-Way Quotes - Benchmark Tenors |
| Benchmark Tenor |
Bid (%) |
Offer (%) |
Mov (t-t0)% |
| 1Yr |
10.20 |
9.90 |
0.00 |
| 2Yr |
12.00 |
11.00 |
0.00 |
| 5Yr |
13.00 |
12.50 |
0.00 |
| 10Yr |
13.80 |
13.70 |
0.00 |
| 15Yr |
14.00 |
13.90 |
0.00 |
| 20Yr |
14.00 |
13.85 |
0.00 |
| 25Yr |
14.00 |
13.85 |
0.00 |
|
|
| Indicative Two-Way Quotes - IFB Series |
| IFB Series |
Maturity |
Bid (%) |
Offer (%) |
Mov (t-t0)% |
| IFB1/2017/7 |
Nov-24 |
11.75 |
11.30 |
0.00 |
| IFB1/2016/9 |
May-25 |
11.75 |
11.30 |
0.00 |
| IFB1/2015/12 |
Mar-27 |
12.20 |
11.80 |
0.00 |
| IFB1/2017/12 |
Feb-29 |
12.00 |
11.00 |
0.00 |
| IFB1/2016/15 |
Oct-31 |
13.20 |
12.70 |
0.00 |
| IFB1/2018/15 |
Jan-33 |
13.40 |
12.80 |
0.00 |
| IFB1/2018/20 |
Oct-38 |
13.50 |
13.00 |
0.00 |
| IFB1/2019/25 |
Feb-44 |
13.50 |
12.90 |
0.00 |
| IFB1/2019/16 |
Oct-35 |
13.30 |
12.70 |
0.00 |
| IFB1/2020/9 |
Apr-29 |
11.40 |
11.00 |
0.00 |
| IFB1/2020/6 |
May-26 |
11.75 |
11.10 |
0.00 |
| IFB1/2020/11 |
Aug-31 |
13.40 |
12.75 |
0.00 |
| IFB1/2021/16 |
Jan-37 |
13.20 |
13.00 |
0.00 |
| IFB1/2021/18 |
Mar-39 |
13.50 |
13.00 |
0.00 |
| IFB1/2021/21 |
Aug-42 |
13.55 |
13.20 |
0.00 |
| IFB1/2022/19 |
Jan-41 |
13.50 |
13.20 |
0.00 |
| IFB1/2022/18 |
May-40 |
13.40 |
13.20 |
0.00 |
|
|
| Key Interest Rates |
|
Mov (bps) |
| O/N Interbank |
4.0732% |
-8.23 |
| 91 Day T-bill |
8.910% |
5.00 |
| 182 Day T-bill |
9.599% |
2.30 |
| 364 Day T-bill |
9.915% |
3.90 |
| Inflation |
8.53% |
21.00 |
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