Another undersubscribed T-bill auction. The tightness in liquidity continues to affect the market’s ability to rollover a significant portion of the incoming T-bill maturities. This week, KES 11.298Bn in bids were submitted against KES 28.749Bn in maturities. The rates also moved up relatively aggressively as the 91D and 364D T-bills jumped by 33bps and 37bps respectively, with the 91D T-bill surpassing the rate offered by the longer 182D T-bill. It will be interesting to watch if this inversion persists or corrects in the coming weeks. Attached are these results in full for your perusal. Below is a snapshot of what is at play within the secondary market for your consideration. Happy hunting and enjoy the weekend ahead!
Below are the two-way quotes for the benchmark tenors:
Indicative Two-Way Quotes - Benchmark Tenors
Benchmark Tenor
Bid (%)
Offer (%)
Mov (t-t0)%
1Yr
13.00
12.50
0.00
2Yr
15.50
14.50
0.00
5yr
17.00
16.75
0.00
10yr
17.00
16.00
0.00
15yr
17.00
16.00
0.00
20yr
17.00
16.00
0.00
25yr
17.00
16.00
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
13.00
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
15.75
15.00
0.00
IFB1/2021/18 (IFB22)
Mar-39
15.70
15.00
0.00
IFB1/2021/21 (IFB23)
Aug-42
16.50
15.00
0.00
IFB1/2022/19 (IFB24)
Jan-41
15.50
15.00
0.00
IFB1/2022/18 (IFB25)
May-40
15.70
15.50
0.00
IFB1/2022/14 (IFB26)
Oct-36
15.50
15.00
0.00
IFB1/2022/6 (IFB27)
Nov-28
13.30
13.20
0.00
IFB1/2023/17 (IFB28)
Feb-40
15.70
15.00
0.00
IFB1/2023/7 (IFB29)
Jun-30
15.60
15.45
0.00
Key Interest Rates
Mov (bps)
O/N Interbank
17.3829%
17.52
91 Day T-bill
12.6855%
45.25
182 Day T-bill
12.5579%
23.59
364 Day T-bill
13.1072%
39.92
Central Bank Rate (CBR)
10.50%
100.00
Inflation
7.30%
-70.00
Attached are the bond positions available today, the T-bill auction results for this week and the bond auction prospectus for August 2023.
