T-bill Yields Drop to c.14% as CBN Holds Off on OMO

Proshare

Wednesday, April 11, 2018 /7:20 AM / Zedcrest Capital

***March CPI Inflation Report to be Released Thursday*** - NBS

KEY INDICATORS

Inflation

14.33%

Declined by 0.80% in February from 15.13% in January 2018

MPR

14.00%

Left unchanged at 14.00% at the MPC meeting 0n 4 April 2018

External Reserves

$46.55billion

Accreted 1.51% as at 4 April from $46.51bn as at 3 April 2018

Brent Crude

$70.37pb

Rose by 2.71% from $68.51pb on 9 April 2018


Bonds

The Bond market remained relatively flat in today’s session, with few buys on the 21s and slight sell on the 27s and 37s. Yields consequently stayed flat cross the curve. We expect slight buy interests tomorrow, due to surplus system liquidity and expected position taking by some market players ahead of the March CPI Inflation report which is now to be released on Thursday.

 

FGN Bonds

Description

Bid (%)

Offer (%)

Day Change (%)

16.00 29-Jun-19

13.64

13.57

0.04

15.54 13-Feb-20

13.30

13.23

0.00

14.50 15-Jul-21

13.58

13.51

(0.04)

16.39 27-Jan-22

13.48

13.41

(0.01)

14.20 14-Mar-24

13.58

13.51

0.01

12.50 22-Jan-26

13.69

13.62

0.01

16.29 17-Mar-27

13.70

13.63

0.01

12.15 18-Jul-34

13.65

13.58

(0.02)

12.40 18-Mar-36

13.58

13.51

0.00

16.25 18-Apr-37

13.55

13.48

0.00


Source: Zedcrest Dealing Desk
 


Treasury Bills

The T-bills market traded on a significantly bullish note, with yields compressing by as much as 25bps on average, down to 14.01%. This came on the backdrop of anticipated inflows from retail refunds and lack of an OMO auction by the CBN. We expect this bullish trend to persist, but on a more moderate tone as market players anticipate a significant OMO intervention by the CBN on Thursday, when System liquidity is estimated to hit the N1trn mark as in the previous week.

 

Treasury Bills

Description

Bid (%)

Offer (%)

Day Change (%)

3-May-18

13.35

13.20

(0.65)

14-Jun-18

13.40

13.25

(0.60)

5-Jul-18

13.40

13.25

(0.10)

2-Aug-18

13.60

13.45

(0.30)

13-Sep-18

13.35

13.20

(0.35)

4-Oct-18

13.30

13.15

(0.25)

1-Nov-18

13.85

13.70

(0.15)

3-Jan-19

13.40

13.25

0.00

14-Feb-19

13.30

13.15

0.00

14-Mar-19

13.30

13.15

0.00

Source: Zedcrest Dealing Desk

Money Market

The OBB and OVN rates fell lower to 2.83% and 3.42% respectively, as system liquidity remained significantly buoyant at c.N550bn positive. Barring a renewed OMO auction sale by the CBN, we expect rates to trend lower, as market players anticipate inflows from retail FX refunds. 

Money Market Rates

 

Current (%)

Previous (%)

Open Buy Back (OBB)

2.83

3.33

Overnight (O/N)

3.42

3.50

Source: FMDQ, Zedcrest Researc h

FX Market

The Interbank rate appreciated slightly by 0.02% to N305.55/$, with the CBN’s FX reserves recorded to have improved by 1.51% to $46.55bn as at 4 April. The NAFEX rate depreciated slightly by 0.01% to N360.38/$, while rates in the Unofficial market remained stable at N360.50/$.

 

FX Rates

 

Current (N/$)

Previous ( N/$)

CBN Spot

305.55

305.60

CBN SMIS

330.00

330.00

I&E FX Window

360.38

360.33

Parallel Market

360.50

360.50

Source: CBN, FMDQ, REXEL BDC

Eurobonds

The NGERIA Sovereigns traded on a much calmer note, but with a slightly bearish bias, as yields rose marginally by c.2bps on average, indicating a slowdown in profit taking sentiments from the previous session. Investors were slightly bearish on the 18s, 30s and 32s, whilst the 38s, 23s and 47s were the most traded maturities, mostly unchanged from their previous levels.

 

The Nigerian banks were mostly bearish, as investors were net sellers of the GRTBNL 18s, ACCESS 21s and the FIDBAN 22s, whilst they were slightly bullish on the ZENITH 19s and 22s.

Proshare Nigeria Pvt. Ltd.

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2.       Treasury bill yields Decline Further on Excessive System Liquidity

3.       ARM Fixed Income Strategy Diary – April 2018

4.       Slight Reversal in Bond yields as CBN holds off on OMO ahead of T-bills PMA

5.       PMA to Hold Tomorrow; T-Bills Indicative Rates

6.       Bond Yields Close bearish, as CBN Holds off on OMO

7.       Funding Rates Crash as CBN Refunds Banks for Lost FX Bids

8.       Bond Market Turns Bearish as Traders Take Profit Ahead of Q1 Close

9.       Funding Rates Rise Higher as CBN Intervenes in FX Market

10.   T-Bills Rates Expected to Trend Slightly Higher

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