Average Yield on T-Bills Instruments Marginally Advances to 11.2% Amidst Absence of OMO Auctions

Proshare

Monday, August 05, 2019  / 05:40PM / By Afrinvest Research 

 

The Treasury Bills (“T-Bills”) secondary market closed the week on a bearish note largely due to tightened system liquidity (N144.0bn short as at Monday). Consequently, average yield across all tenors rose 14bps W-o-W to settle at 11.2% from 11.1% in the previous week. Sell–offs were largely witnessed on the short and medium term bills causing yields to rise by 19bps and 11bps W-o-W respectively while the long term bills dipped 4bps W-o-W as buying interests were experienced in the 04-Jun-20 (-0.6%) and 2-Apr-20 (-0.6%) bill.

In last week’s Primary Market Auction (“PMA”), the CBN rolled over maturing bills worth N223.2bn across 91-Day, 182-Day and 364-Day, closing at respective stop rates of 9.75%, 10.60% and 11.18%. The stop-rate on the 364-day instrument increased by 5bps to 11.18% despite recording the most subscription (1.9x bid-to-cover ratio).

 

Please see a detailed summary in the table below:

Auction Date

31-Jul-19

31-Jul-19

31-Jul-19

Allotment / Issue Date

1-Aug-19

1-Aug-19

1-Aug-19

Tenor

91-Day

182-Day

364-Day

Offer Amount (N)

28,018,956,000

58,684,524,000

136,522,566,000

Total Subscription (N)

47,956,795,000

72,238,871,000

253,933,663,000

Allotment (N)

28,018,956,000

33,684,524,000

161,522,566,000

Range of Bid Rates (%)

9.3500-10.7500

10.0000-12.3664

10.500-13.2450

Stop Rates (%)

9.75

10.60

11.18

Previous Stop Rates (%)

9.74

10.75

11.13

Bid-to-Cover Ratio

1.7x

1.2x

1.9x

Allotment Ratio

0.5x

0.5x

0.6x

 

Also, there was no OMO auction by the Apex bank despite an estimated OMO maturity of N88.7bn, FAAC allocation of N360.0bn and bond coupon payment of N46.0bn during the week.

Going into this week, we expect to see a boost in system liquidity on the back of OMO maturities worth N108.9bn. In the absence of OMO offers by the CBN, we expect to see more demand in the secondary market consequently leading to pressured yields across the curve. Investors are advised to take advantage of T-Bills with attractive yields as well as potential OMO bill offerings.

 

Please see indicative secondary market T-Bills rates below:

Maturity

Tenor (Days)

Rate (%) p.a.

Yield (%) p.a.

19-Sep-19

45

8.50

8.59

5-Dec-19

122

9.85

10.19

16-Jan-20

164

10.10

10.58

6-Feb-20

185

10.00

10.53

23-Apr-20

262

10.30

11.12

4-Jun-20

304

10.40

11.39

OMO Auction

c.100

10.00

10.20

OMO Auction

c.200

11.20

11.79

OMO Auction

c.350

11.50

12.93

 

FGN Bonds Market Update: Bearish Run Halts as the Bulls Take the Market; Average Yield Dips 24bps WoW

The bearish run in the bonds market was reversed last week as average yield declined 24bps to settle at 12.4% at the end of the week. The strong form was further support with the bond coupon payment of N46.0bn during the week. Buying interest was experienced on the short to medium end of the curve, particularly the 16-Jan-22, 13-Feb-22, and 27-Jan-22 maturities whose yields advanced by 85bps, 86bps and 90bps respectively.

This week, the Debt Management Office is scheduled to auction the 2 and 3-year tenor FGN savings bond for the month of August at 10.301% and 11.301% respectively.

Going into the week, we anticipate an improved trading session in the bond market as investors would look to take advantage of high yielding instrument.


Please see indicative bond rates for today below:

Bond

Tenor (Years)

Yield (%)

Coupon (%)

Implied Price (N)

Jul-21

2

12.65

14.50

103.08

Jan-22

3

12.20

16.39

108.71

Apr-23

4

12.85

12.75

99.66

Mar-24

5

12.72

14.20

105.01

Mar-25

6

12.90

13.53

102.43

Jan-26

7

13.55

12.50

95.56

Mar-27

8

13.60

16.29

112.46

Feb-28

9

13.60

13.98

101.87

Jul-34

15

13.85

12.15

89.36

Mar-36

17

13.82

12.40

90.80

Apr-37

18

13.70

16.25

116.76

Apr-49

30

14.00

14.80

105.55

 


Proshare Nigeria Pvt. Ltd.


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