T-bill Yields Remain Pressured as CBN Retail FX auction Drains System Liquidity

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Friday, August 16, 2019 / 07:00PM / By Zedcrest Capital / Header Image Credit: ARM

 

The T-bills market traded on a bearish note, with yields closing higher by c.50bps, following selloffs on the short end of the curve. This came on the back of the drain in system liquidity from the retail FX auction by the CBN and continued selling interests from offshore clients

 

Below are highlights of trading activities in the fixed income and forex market today

 

Bonds

The FGN Bond market closed on a relatively calm note, with yields marginally lower by c.2bps following some bargain hunting by market players, which came on the back of the relatively high yields levels on the long end of the curve. We however witnessed continued sell pressures around the 10-yr bucket.

 

We expect the FGN Bond yields to remain pressured ahead of the FGN Bond auction scheduled for next week, where the DMO intends to offer N145bn of the 5, 10 and 30yr bonds.

 

Benchmark FGN Bonds

Description

Bid (%)

Offer (%)

Day Change (%)

14.50 15-Jul-21

14.38

13.98

0.00

16.39 27-Jan-22

14.42

13.86

(0.07)

12.75 27-Apr-23

14.33

14.13

(0.09)

14.20 14-Mar-24

14.25

13.93

(0.08)

13.53 23-Mar-25

14.24

13.88

0.00

12.50 22-Jan-26

14.32

14.04

(0.06)

16.29 17-Mar-27

14.47

14.12

0.08

13.98 23-Feb-28

14.61

14.29

0.11

12.15 18-Jul-34

14.50

14.26

0.06

12.40 18-Mar-36

14.64

14.39

(0.07)

16.2499 18-Apr-37

14.57

14.33

(0.04)

14.80 26-Apr-49

14.69

14.52

(0.07)


Source: Zedcrest Dealing Desk

 

Treasury Bills

The T-bills market traded on a bearish note, we expect yields to remain pressured opening the new week, with a wholesale FX auction by the CBN expected to further strain liquidity levels. 

 

Benchmark Treasury Bills

Description

Bid (%)

Offer (%)

Day Change (%)

12-Sep-19

14.50

12.20

0.70

3-Oct-19

14.50

13.50

0.50

14-Nov-19

13.00

10.60

2.10

5-Dec-19

14.10

13.50

0.25

2-Jan-20

14.20

13.65

0.70

6-Feb-20

13.95

13.75

0.45

19-Mar-20

13.50

12.00

0.25

2-Apr-20

13.75

13.50

0.45

14-May-20

13.10

12.25

0.30

04-Jun-20

13.10

12.10

0.10

02-Jul-20

13.10

12.25

0.10

Source: Zedcrest Dealing Desk

 

Money Market

Rates in the money market spiked by c.9pct, as banks funded for the CBN’s Retail FX auction, which is estimated to have drained the c.N298bn opening system liquidity balance. The OBB and OVN rates consequently ended the session at 18.00% and 19.57% respectively.

 

We expect rates to remain elevated opening the new week, as banks provide funding for the CBN’s weekly wholesale FX auction.

 

Money Market Rates

 

Current (%)

Previous (%)

Open Buy Back (OBB)

18.00

11.71

Overnight (O/N)

19.57

12.64

Source: FMDQ, Zedcrest 

 

FX Market

At the interbank, the Naira/USD spot rate remained unchanged at N360.90/$, while the SMIS rate rose by 28k to N357.96/$. The NAFEX rate at the I&E window was relatively unchanged at N363.42/$, whilst the cash and transfer rates at the parallel market remained stable at N358.00/$ and N363.00/$ respectively.

 

FX Market

 

Current (N/$)

Previous ( N/$)

CBN Spot

306.90

306.90

CBN SMIS

357.96

357.68

I&E FX Window

363.42

363.46

Cash Market

358.00

358.00

Transfer Market

363.00

363.00

Source: CBN, FMDQ, REXEL BDC

 


Eurobonds

The NGERIA Sovereigns rebounded from the selloffs in the previous session, with yields trending lower by c.15bps on the day. The most gains were recorded on the 47s and 49s, which gained almost 2.5pct at its intra-day high, before moderating to c.1.5pct later in the session. 

In the NGERIA corps, we witnessed selling interests on the ACCESS 21s and ZENITH 22s, whilst we witnessed some demand on the FIDBAN 22s. Yields remained relatively stable, except for some weakness in the ZENITH 22s. 

 

Proshare Nigeria Pvt. Ltd. 

 

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Proshare Nigeria Pvt. Ltd.


Proshare Nigeria Pvt. Ltd.


Proshare Nigeria Pvt. Ltd.


Proshare Nigeria Pvt. Ltd.


Proshare Nigeria Pvt. Ltd.

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