Kenya Bond Market Update: 15 July 2024

Published on

July 15, 2024

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Auction Week

The sale period for the re-opened FXD1/2024/10Yr & FXD1/2008/20Yr bonds will close this Wednesday, 17-Jul-2024. In light of this, a quick summary of my expectations can be found below:

FXD1/2024/10Yr (9.7 years): average within 16.20% - 16.50%
FXD1/2008/20Yr (3.9 years): average within 18.30% - 18.50%
Subscription: Oversubscription with interest to be skewed towards the shorter FXD1/2008/20Yr

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	17.20	16.85	0.00
2Yr	18.00	17.50	0.00
5yr	18.50	18.00	0.00
10yr	16.50	16.00	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	17.05	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	17.30	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	17.30	16.00	0.00
IFB1/2023/7 (IFB29)	Jun-30	16.90	16.20	0.00
IFB1/2023/6.5 (IFB30)	May-30	17.00	16.50	0.00
IFB1/2024/8.5 (IFB31)	Aug-32	18.00	17.90	0.03

Key Interest Rates		Mov (bps)
O/N Interbank	13.0917%	-0.28
91 Day T-bill	15.9954%	0.86
182 Day T-bill	16.8221%	2.69
364 Day T-bill	16.8795%	4.96
Central Bank Rate (CBR)	13.00%	0.00
Inflation	4.60%	-50.00

Attached are the bond positions available today, NSE Implied Yields, the CBK Weekly Report and the FXD1/2024/10Yr & FXD1/2008/20Yr Bond Auction Prospectus.

Bond Positions

NSE Implied Yields

CBK Weekly Report

FXD1/2024/10Yr & FXD1/2008/20Yr Bond Auction Prospectus

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Kenya Bond Market Update: 15 July 2024

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