As we gear up for the IFB1/2023/6.5Yr auction, below are my expectations for how this paper will perform:
Average: Average between 17.70% – 17.80%
Subscription: KES 50Bn target should be met
For your trading activities for the day and 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
15.40
15.10
0.00
2Yr
17.55
17.40
0.00
5yr
18.00
17.80
0.00
10yr
17.00
16.50
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
13.50
13.00
0.00
IFB1/2016/9 (IFB10)
May-25
13.50
13.00
0.00
IFB1/2015/12 (IFB8)
Mar-27
13.75
13.25
0.00
IFB1/2017/12 (IFB12)
Feb-29
17.00
16.00
0.00
IFB1/2016/15 (IFB11)
Oct-31
17.00
16.00
0.00
IFB1/2018/15 (IFB14)
Jan-33
15.10
14.90
0.00
IFB1/2018/20 (IFB15)
Oct-38
15.50
15.00
0.00
IFB1/2019/25 (IFB16)
Feb-44
16.20
15.75
0.00
IFB1/2019/16 (IFB17)
Oct-35
15.50
15.00
0.00
IFB1/2020/9 (IFB18)
Apr-29
15.00
14.50
0.00
IFB1/2020/6 (IFB19)
May-26
13.50
12.75
0.00
IFB1/2020/11 (IFB20)
Aug-31
17.00
16.00
0.00
IFB1/2021/16 (IFB21)
Jan-37
16.00
15.50
0.00
IFB1/2021/18 (IFB22)
Mar-39
16.00
15.50
0.00
IFB1/2021/21 (IFB23)
Aug-42
16.50
15.75
0.00
IFB1/2022/19 (IFB24)
Jan-41
15.80
15.50
0.00
IFB1/2022/18 (IFB25)
May-40
16.00
15.50
0.00
IFB1/2022/14 (IFB26)
Oct-36
15.85
15.50
0.00
IFB1/2022/6 (IFB27)
Nov-28
14.65
14.35
0.00
IFB1/2023/17 (IFB28)
Feb-40
16.00
15.50
0.00
IFB1/2023/7 (IFB29)
Jun-30
16.20
15.90
0.00
Key Interest Rates
Mov (bps)
O/N Interbank
12.1836%
-13.47
91 Day T-bill
15.1863%
7.51
182 Day T-bill
15.2714%
14.25
364 Day T-bill
15.4391%
5.24
Central Bank Rate (CBR)
10.50%
0.00
Inflation
6.90%
10.00
Attached are the bond positions available today, the NSE Implied Yields, the CBK Weekly Report and the bond prospectus for November 2023.
