Kenya Bond Market Update: 10 June 2024

Published on

June 10, 2024

*|MC:SUBJECT|*

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Auction Week, Again

We have the second and final part of the auction concluding this week with the re-opened FXD1/2023/5Yr and the FXD1/2023/10Yr being auctioned on Wednesday, 12-June-2024. Below are my initial thoughts on where these two bonds will be priced:

FXD1/2023/5Yr (4.1 years): 18.00% - 18.20%
FXD1/2023/10Yr (8.7 years): 16.30% - 16.50%
Expecting an undersubscription as the market historically favours short dated FXDs at auctions.

To set you up for the week ahead, 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!

Below are the two-way quotes for the benchmark tenors:

Indicative Two-Way Quotes - Benchmark Tenors
Benchmark Tenor	Bid (%)	Offer (%)	Mov (t-t0)%
1Yr	17.00	16.85	0.03
2Yr	17.50	17.00	0.02
5yr	18.00	17.50	0.00
10yr	16.50	16.30	0.00
15yr	16.50	16.00	0.00
20yr	16.50	16.00	0.00
25yr	16.50	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	15.25	15.00	0.00
IFB1/2016/9 (IFB10)	May-25	15.25	15.00	0.00
IFB1/2015/12 (IFB8)	Mar-27	15.50	15.00	0.00
IFB1/2017/12 (IFB12)	Feb-29	16.00	15.00	0.00
IFB1/2016/15 (IFB11)	Oct-31	16.00	15.50	0.00
IFB1/2018/15 (IFB14)	Jan-33	15.50	15.00	0.00
IFB1/2018/20 (IFB15)	Oct-38	16.50	16.00	0.00
IFB1/2019/25 (IFB16)	Feb-44	16.50	16.00	0.00
IFB1/2019/16 (IFB17)	Oct-35	15.50	15.20	0.00
IFB1/2020/9 (IFB18)	Apr-29	16.50	16.00	0.00
IFB1/2020/6 (IFB19)	May-26	16.50	16.00	0.00
IFB1/2020/11 (IFB20)	Aug-31	16.50	16.00	0.00
IFB1/2021/16 (IFB21)	Jan-37	15.80	15.50	0.00
IFB1/2021/18 (IFB22)	Mar-39	16.50	16.00	0.00
IFB1/2021/21 (IFB23)	Aug-42	16.50	16.00	0.00
IFB1/2022/19 (IFB24)	Jan-41	16.60	16.00	0.00
IFB1/2022/18 (IFB25)	May-40	16.60	16.00	0.00
IFB1/2022/14 (IFB26)	Oct-36	16.60	16.00	0.00
IFB1/2022/6 (IFB27)	Nov-28	16.50	16.00	0.00
IFB1/2023/17 (IFB28)	Feb-40	16.50	16.00	0.00
IFB1/2023/7 (IFB29)	Jun-30	16.90	16.20	0.00
IFB1/2023/6.5 (IFB30)	May-30	16.70	16.50	0.00
IFB1/2024/8.5 (IFB31)	Aug-32	17.05	16.90	0.02

Key Interest Rates		Mov (bps)
O/N Interbank	13.0763%	-6.76
91 Day T-bill	15.9654%	1.09
182 Day T-bill	16.6405%	3.29
364 Day T-bill	16.7311%	2.50
Central Bank Rate (CBR)	13.00%	0.00
Inflation	5.10%	10.00

Attached are the bond positions available today, the NSE Implied Yields, the CBK Weekly Report and the June 2024 Bond Auction Prospectus.

Bond Positions

NSE Implied Yields

CBK Weekly Report

June 2024 Bond Auction Prospectus

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Kenya Bond Market Update: 10 June 2024

Auction Week, Again

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