Culled—Proshare
March 26, 2018/Afrinvest Research
Treasury Bills market (“T-Bills”) rates across tenors remained relatively flat last week declining 1bp W-o-W. System liquidity remained robust as OMO and T-Bills maturities hit the system towards the end of the week – only 50.0% of the matured bills was rolled over at the Primary Market Auction (”PMA”)
The Central Bank of Nigeria (CBN) conducted a PMA last week with the stop rate on the 91-day closing higher by 20bps to 11.95%. Stop rate on the 181-day instrument closed at the same level of 13.0% from the previous auction. The 364-day tenor stop rate declined 3.5bps indicating investors’ interest in positioning for the longer dated instruments on anticipation of a major rate drop. This is further buttressed by the 2.8x oversubscription for the 364-day tenor
Result of the PMA is briefly analysed in the table below:
| Tenor | (91-Day) | (182-Day) | (364-Day) |
| Offer Amount (=N=) | 5,395,696,000 | 26,978,476,000 | 21,582,781,000 |
| Total Subscription (=N=) | 5,645,696,000 | 13,685,197,000 | 60,653,478,000 |
| Allotment (=N=) | 5,395,696,000 | 8,385,196,000 | 40,176,061,000 |
| Range of Bid Rates (%): | 11.9500 – 12.5000 | 12.5000 – 14.4864 | 12.5000 – 18.5000 |
| Stop Rates (%): | 11.95 | 13.00 | 13.15 |
Going into the week, OMO maturity of N140.01bn is expected to hit the system. Bond Coupon Payment from last week along with the excess liquidity observed in the system is expected to be mopped up through CBN’s OMO Auction. Consequently, we expect rates to trend upwards as CBN becomes more aggressive on its OMO mop up Auctions.
Please see below indicative rates for today:
| Maturity | Offer Rate (%) | Tenor |
| 12-Apr-18 | 10.5 | 17 |
| 14-Jun-18 | 12.2 | 80 |
| 05-Jul-18 | 12.7 | 101 |
| 06-Sep-18 | 13.1 | 164 |
| 04-Oct-18 | 13.0 | 192 |
| OMO Auction | 12.0 | 90 to 180 days |
| OMO Auction | 13.5 | 180 to 300 days |
Rates are valid till 1:30pm on 26-Mar-18
