Auction Week
Apologies for the tardiness today. 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.
This week we have the re-opened FXD2/2013/15Yr (5.8 years) and the FXD2/2018/15Yr (11.3 years) on offer for KES 40Bn as highlighted in the prospectus attached. My expectations are as follows:
- FXD2/2013/15Yr (5.8 years): average of 12.90% – 13.10%
- FXD2/2018/15Yr (11.3 years): average of 13.65% - 13.75%
Below is a snapshot of what is at play within the secondary market for your consideration. Happy hunting!
|
|
| Indicative Two-Way Quotes - Benchmark Tenors |
| Benchmark Tenor |
Bid (%) |
Offer (%) |
Mov (t-t0)% |
| 1Yr |
10.20 |
10.00 |
0.00 |
| 2Yr |
11.00 |
10.55 |
0.00 |
| 5Yr |
12.50 |
12.35 |
0.00 |
| 10Yr |
13.60 |
13.50 |
0.00 |
| 15Yr |
13.90 |
13.75 |
0.00 |
| 20Yr |
13.95 |
13.80 |
0.00 |
| 25Yr |
13.95 |
13.80 |
0.00 |
|
|
| Indicative Two-Way Quotes - IFB Series |
| IFB Series |
Maturity |
Bid (%) |
Offer (%) |
Mov (t-t0)% |
| IFB1/2017/7 |
Nov-24 |
11.60 |
11.00 |
0.00 |
| IFB1/2016/9 |
May-25 |
11.50 |
11.20 |
0.00 |
| IFB1/2015/12 |
Mar-27 |
12.00 |
11.75 |
0.00 |
| IFB1/2017/12 |
Feb-29 |
12.00 |
11.00 |
0.00 |
| IFB1/2016/15 |
Oct-31 |
13.50 |
13.00 |
0.00 |
| IFB1/2018/15 |
Jan-33 |
13.10 |
12.80 |
0.00 |
| IFB1/2018/20 |
Oct-38 |
13.80 |
13.00 |
0.20 |
| IFB1/2019/25 |
Feb-44 |
13.50 |
12.90 |
0.00 |
| IFB1/2019/16 |
Oct-35 |
13.80 |
13.00 |
0.00 |
| IFB1/2020/9 |
Apr-29 |
11.40 |
11.25 |
0.00 |
| IFB1/2020/6 |
May-26 |
11.75 |
11.00 |
0.00 |
| IFB1/2020/11 |
Aug-31 |
13.75 |
13.00 |
0.00 |
| IFB1/2021/16 |
Jan-37 |
13.50 |
12.90 |
0.00 |
| IFB1/2021/18 |
Mar-39 |
13.70 |
13.00 |
0.00 |
| IFB1/2021/21 |
Aug-42 |
13.80 |
13.70 |
0.00 |
| IFB1/2022/19 |
Jan-41 |
13.80 |
13.50 |
0.00 |
| IFB1/2022/18 |
May-40 |
13.75 |
13.65 |
0.00 |
|
|
| Key Interest Rates |
|
Mov (bps) |
| O/N Interbank |
5.4442% |
-22.46 |
| 91 Day T-bill |
8.248% |
8.10 |
| 182 Day T-bill |
9.305% |
5.20 |
| 364 Day T-bill |
9.986% |
0.60 |
| Inflation |
7.91% |
81.00 |
|
|
|
|
