T-Bill Yields Expand as Funding Pressures Persist, DMO Raises 1-Year Rate at PMA

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Thursday, March 18 2021 / 08:38 AM / by Zedcrest Capital / Header Image Credit: Getty Images


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FGN Bonds

The FGN Bond market remained bearish in today's session, with yields rising by c.14bps on average following weak economic indices from earlier in the week. We noticed improved offers across the FGN bond curve as bids drifted wider in anticipation of an uptick in yields at the FGN bond auction as well as the MPC meeting scheduled for next week.

 

We expect interests to remain relatively weak at current levels, with little activity expected ahead of the monthly primary auction scheduled for next week. 

 

Benchmark FGN Bonds

 

Description

Bid (%)

Offer (%)

Day Change (%)

12.75 27-Apr-23

6.95

6.10

(0.05)

14.20 14-Mar-24

8.70

6.50

0.55

13.53 23-Mar-25

8.80

6.65

0.50

12.50 22-Jan-26

10.00

9.60

0.00

16.29 17-Mar-27

10.20

9.80

0.05

13.98 23-Feb-28

10.25

9.85

0.05

14.55 26-Apr-29

10.30

9.95

0.05

12.15 18-Jul-34

11.35

11.10

0.10

12.50 27-Mar-35

11.35

11.12

0.10

12.40 18-Mar-36

11.40

11.12

0.14

16.2499 18-Apr-37

11.40

11.12

0.13

9.80 24-Jul-45

11.45

11.15

0.15

14.80 26-Apr-49

11.45

11.15

0.10

12.98 27-Mar-50

11.45

11.15

0.10

 

Treasury Bills

The T-bills market remained bearish as tight system liquidity lingered in the Money Market. We saw offers on some selected maturities, mostly at the short end of the curve, as banks remained pressured by double-digit money market rates.

 

At the PMA, the DMO sold a total of N61.89Bn in maturing treasury bills across the three maturities on offer, c.N14.82Bn more than on offer. The stop rate for the 364-day closed higher by c.50bps, while the rates on the 91- and 182-days remained unchanged at 2.00% and 3.50%. Demand remained healthy at the auction, with an average bid-to-cover ratio of 2.81X.

 

We expect the CBN to float an OMO auction tomorrow, keeping in line with the recent trend, despite tight system liquidity levels.


Proshare Nigeria Pvt. Ltd.

 

Primary Market Auction Result

NTB  - March 17, 2021

Tenor

Rate (%)

Offer (N'bn)

Sub (N'bn)

Sale (N'bn)

Previous Rate (%)

Changes

91 days

2.0000

1.50

6.73

2.52

2.0000

0.0000

182 days

3.5000

8.39

10.63

5.91

3.5000

0.0000

364 days

7.0000

37.18

99.49

53.46

6.5000

0.5000

 

Benchmark OMO Bills

Description

Bid (%)

Offer (%)

Day Change (%)

NGOMOB 0 05/11/21

13.00

0.01

3.00

NGOMOB 0 06/08/21

13.00

0.01

3.00

NGOMOB 0 08/10/21

13.00

0.02

3.00

NGOMOB 0 09/07/21

13.00

0.02

3.00

NGOMOB 0 10/19/21

12.00

0.02

1.00

NGOMOB 0 11/02/21

12.50

0.03

1.50

NGOMOB 0 12/07/21

12.50

0.03

1.50

NGOMOB 0 01/11/22

12.50

0.03

1.50

NGOMOB 0 02/01/22

13.00

0.03

1.50

NGOMOB 0 03/01/22

13.00

0.03

1.00

 

Benchmark NT-Bills

Description

Bid (%)

Offer (%)

Day Change (%)

NIGTB 0 04/29/21

13.00

0.01

6.00

NIGTB 0 05/13/21

13.00

0.01

6.00

NIGTB 0 06/10/21

13.00

0.01

6.00

NIGTB 0 07/01/21

13.00

0.01

6.00

NIGTB 0 08/26/21

13.00

0.02

4.50

NIGTB 0 09/09/21

12.00

0.02

3.50

NIGTB 0 10/14/21

12.00

0.02

3.50

NIGTB 0 11/11/21

11.00

0.03

1.00

NIGTB 0 01/13/22

11.00

0.03

1.00

NIGTB 0 02/10/22

11.00

0.03

1.00

 


Money Markets

Rates in the money market hiked further by c.270bps due to the strained high system liquidity. The OBB and OVN rates consequently ended the session at 12.67% and 13.50%.

 

We expect rates to trend higher in tomorrow's session, as we anticipate another OMO auction by the CBN to manage excess system liquidity.


Money Market Rates

 

Current (%)

Previous (%)

Open Buy Back (OBB)

12.67

10.25

Overnight (O/N)

13.50

10.50

 


FX Market

Supply in the I&E FX window improved from export proceeds as traded volumes improved by 359% d/d (c.$148.54mio traded). Participants were bided between N390.00/$ and N412.00/$, although the closing rate remained unchanged at N409.75/$.

 

At the parallel market, the cash lost N2.000k on the day to close at N483.00/$ while the transfer rate remained stable at N494.00/$.


FX Market

Current (N/$)

Previous (N/$)

CBN Spot

379.00

379.00

CBN SMIS

380.69

380.69

I&E FX Window

409.75

409.75

Cash Market

483.00

481.00

Transfer Market

494.00

494.00

 


Eurobonds

The SSA sovereign space pared gains today, in contrast to US stocks and bonds, coming off the US FED's meetings where it raised its growth forecast and cooled down fears for rate hikes in the interim. Yields on the NIGERIA Sovereigns curve expanded by c.7bps on the average to close the session.

 

The NIGERIA Corps also had a relatively negative session, as sellers offloaded most of the tracked papers for most of the session. The longer-dated FBNNL 2025s and ECOTRA 2026s led the losers' chart, as yields on both papers increased by c.05bps.


Proshare Nigeria Pvt. Ltd.




Proshare Nigeria Pvt. Ltd.



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