Treasury Bills Yields Expand Across the Curve as Market Adjusted to Anticipated Supply

Proshare

Monday, May 27, 2019   /  08:00PM  /  Zedcrest Capital

 

Yields across the NTB curve expanded by c.30bps on the average, as the market adjusted to the anticipated supply from the CBN.  At the OMO auction, the CBN sold a total of N317.94bn across three maturities. The stop rates for the 80, 178- and 360-day tenors were 11.40%, 11.64%, and 12.48% respectively, marginally lower than the previous auction. 

Below are highlights from activities in the fixed income and forex market today. 

 

Bonds

The Bonds market opened the month at a slow pace, with little flows been passed during today’s trade session. As yields expanded across the bond curve by c.6bps on the average signalling weakened appetite for FGN Bonds. 

We expect market players to trade cautiously in the coming week, as oil prices stabilise amid escalating global trade tensions spearheaded by the US.


Benchmark FGN Bonds 

Description

Bid (%)

Offer (%)

Day Change (%)

14.50 15-Jul-21

14.19

14.00

0.00

16.39 27-Jan-22

14.49

14.03

0.16

12.75 27-Apr-23

14.39

14.15

0.02

14.20 14-Mar-24

14.42

14.06

0.10

13.53 23-Mar-25

14.41

14.04

0.17

12.50 22-Jan-26

14.53

14.27

(0.02)

16.29 17-Mar-27

14.42

14.29

(0.03)

13.98 23-Feb-28

14.47

14.25

0.09

12.15 18-Jul-34

14.57

14.35

0.08

12.40 18-Mar-36

14.56

14.38

0.05

16.2499 18-Apr-37

14.52

14.29

0.09















Source: Zedcrest Dealing Desk 


Treasury Bills

The T-Bills market also started the new month on a muted note mostly due to the announcement of an OMO auction by the CBN. 

At the OMO auction, the CBN sold a total of N317.94bn across three maturities. The stop rates for the 80, 178- and 360-day tenors were 11.40%, 11.64%, and 12.48% respectively, marginally lower than the previous auction. 

We expect yields to remain at these levels during the rest of the week, as there is an outside chance for another OMO auction to mop-up maturities expected later in the week.


OMO Auction Results

 

Tenor

Rate (%)

Offer (N’bn)

Sub (N'bn)

Sale (N'bn)

 

80 day

11.40

20.00

4.18

3.18

 

178 day

11.64

30.00

29.50

9.05

 

360 day

12.48

150.00

319.72

305.71

 

 

 

 


Benchmark Treasury Bills

 

Description

Bid (%)

Offer (%)

Day Change (%)

 

13-Jun-19

11.50

8.00

0.50

 

18-Jul-19

11.50

6.00

0.50

 

1-Aug-19

11.50

7.00

0.50

 

12-Sep-19

11.80

11.40

0.10

 

3-Oct-19

12.00

11.85

0.00

 

14-Nov-19

12.20

11.50

0.20

 

5-Dec-19

12.20

11.50

0.35

 

2-Jan-20

12.30

11.80

0.30

 

6-Feb-20

12.25

12.00

0.30

 

19-Mar-20

12.25

11.80

0.25

 

2-Apr-20

12.30

11.90

0.30

 

14-May-20

12.35

11.95

0.35


Source: Zedcrest Dealing Desk 


Money Market

Rates in the money market opened the week higher following an OMO auction by the CBN. The Apex bank mopped up c.N317.94bn of excess system liquidity through its OMO sale as system liquidity closed at c.N192bn positive. The OBB and OVN rates closed at 9.29% and 10.21% respectively. 

We expect rates to stabilize later in the week, with c.N177bn expected in OMO maturities this week. The CBN is expected to stem the excess system liquidity using its Retail FX Bi-Weekly auctions.

 

Money Market Rates

 

Current (%)

Previous (%)

Open Buy Back (OBB)

9.29

4.14

Overnight (O/N)

10.21

4.93

Source: FMDQ, Zedcrest Research 

 

FX Market

At the Interbank, the Naira/USD rate remained unchanged at N306.95/$ (spot) and N356.92/$ (SMIS). The NAFEX closing rate in the I&E window however increased marginally by 0.01% to N360.76/$, whilst the market turnover dropped by 13% DoD to 184.75m. At the parallel market, the cash and transfer rates strengthen to close at N358.80/$ and N362.50/$ respectively.

 

FX Market

 

Current (N/$)

Previous ( N/$)

CBN Spot

306.95

306.95

CBN SMIS

356.92

356.92

I&E FX Window

360.76

360.74

Cash Market

358.80

359.00

Transfer Market

362.50

363.00

Source: CBN, FMDQ, REXEL BDC 

 

Eurobonds

The NGERIA Sovereigns resumed trading with continued bearish sentiments in the light of lower oil prices, with Brent’s recovery still lower than last week’s closing level. Yields consequently expanded by c.4bps on the average across the sovereign curve. 

In NGERIA Corps, we witnessed continued interest on the shorter-dated tickers, with gains in ACCESS, FBNNL and ECOTRA 21s sustained for a second consecutive trading session. We witnessed better sellers for the ETINL 24s, +6bps higher on the day.

 

Proshare Nigeria Pvt. Ltd.

 

Proshare Nigeria Pvt. Ltd. 


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Proshare Nigeria Pvt. Ltd.


 Proshare Nigeria Pvt. Ltd.



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