Kenya Bond Market Update: 29 November 2022

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November 29, 2022

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For the lucky amongst us eligible to participate in the IFB1/2022/006Yr auction, one last day left to submit your bids. The lucky here are holders of debt maturing on 09-Jan-2023. My expectations of how things will go remain as follows:

Average: 13.20% - 13.25%
Potential cut-off: 13.50%
Subscription: 80 – 90% of the targeted amount
Attached is the prospectus for all details of this auction

For your trading activities ahead, 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	10.25	9.90	0.00
2Yr	11.75	11.00	0.00
5yr	13.40	13.10	0.00
10yr	13.95	13.80	0.00
15yr	14.00	13.80	0.00
20yr	14.10	13.90	0.00
25yr	14.30	14.00	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	12.00	11.45	0.00
IFB1/2016/9 (IFB10)	May-25	12.00	11.45	0.00
IFB1/2015/12 (IFB8)	Mar-27	12.20	12.00	0.00
IFB1/2017/12 (IFB12)	Feb-29	12.00	11.00	0.00
IFB1/2016/15 (IFB11)	Oct-31	13.20	12.70	0.00
IFB1/2018/15 (IFB14)	Jan-33	13.60	13.20	0.00
IFB1/2018/20 (IFB15)	Oct-38	13.80	13.50	0.00
IFB1/2019/25 (IFB16)	Feb-44	14.00	12.90	0.00
IFB1/2019/16 (IFB17)	Oct-35	13.70	13.50	0.00
IFB1/2020/9 (IFB18)	Apr-29	13.00	12.70	0.00
IFB1/2020/6 (IFB19)	May-26	12.30	12.00	0.00
IFB1/2020/11 (IFB20)	Aug-31	13.20	12.80	0.00
IFB1/2021/16 (IFB21)	Jan-37	13.75	13.50	0.00
IFB1/2021/18 (IFB22)	Mar-39	13.85	13.20	0.00
IFB1/2021/21 (IFB23)	Aug-42	14.00	13.30	0.00
IFB1/2022/19 (IFB24)	Jan-41	13.90	13.30	0.00
IFB1/2022/18 (IFB25)	May-40	13.80	13.45	0.00
IFB1/2022/14 (IFB26)	Oct-36	13.95	13.85	0.00

Key Interest Rates		Mov (bps)
O/N Interbank	5.0549%	15.05
91 Day T-bill	9.237%	4.60
182 Day T-bill	9.733%	1.20
364 Day T-bill	10.219%	3.80
Inflation	9.59%	41.00

Attached are the bond positions available today, the IFB1/2022/6Yr (switch-bond) prospectus, and the December bond auction prospectus.

Bond Positions Available Today

IFB1/2022/6Yr (switch-bond)

December Bond Auction

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Kenya Bond Market Update: 29 November 2022

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