Kenya’s Treasury bills auction on September 29 delivered a key milestone as the 182-day paper averaged 7.9851%, slipping under 8% for the first time since December 27, 2021.

Several factors explain the sustained fall in T-bill yields over the past 12 months:

Investor behavior has clearly shifted. Banks and funds are locking in nearly 10% returns on the 364-day to avoid reinvestment risk in a falling rate environment, driving oversubscription for over a month.

By contrast, the 91-day and 182-day, closely tied to the softening policy outlook, have consistently seen heavy undersubscription.

The September 29 auction reinforces the trend: investors prefer duration at current yields, even as short-tenor rates mark multi-year lows.