Kenya Bond Market Update: 7 November 2022

Published on
November 7, 2022
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Breakthrough Friday

First of all, my apologies for the tardiness with today’s note. To get things started, the sale period on the IFB1/2022/14Yr closes tomorrow, and as such below are my expectations:
·         Accepted Average: 13.85% – 13.95%
·         Market vs. CBK: expectations is that the market will place some bids above 14% as they look to test CBK’s willingness to pay at these levels. However, this bond is shorter than the recently issued Infrastructure bonds which adds a different dimension to how the CBK may decide to act. The bond is being auctioned early in the month which also gives the CBK an opportunity to come back to the market (either via a TAP or re-opening, but more likely a TAP) in case there is a shortfall in the amount locked in.
Away from the primary auction, 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.
For your trading activities ahead, below is a snapshot of what is available in 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 10.20 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 14.20 14.05 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 0.25
IFB1/2019/25 (IFB16) Feb-44 14.00 12.90 0.00
IFB1/2019/16 (IFB17) Oct-35 13.70 13.50 0.20
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 0.25
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
Key  Interest Rates   Mov (bps)
O/N Interbank 4.4144% -12.73
91 Day T-bill 9.139% 1.20
182 Day T-bill 9.691% 1.30
364 Day T-bill 10.109% 14.40
Inflation 9.60% 42.00
Attached are the bond positions available today, the NSE Implied Yields, the CBK Weekly Report and the IFB1/2022/14Yr Prospectus.
Bond Positions Available Today
NSE Implied Yields
CBK Weekly Report
Bond Prospectus - November 2022
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