Secondary Market Calculator
What it does
The Secondary Market Calculator prices Kenya Treasury Bonds traded on the Nairobi Securities Exchange (NSE) after their original auction. It implements the exact NSE settlement convention: actual/365 day-count, T+3 settlement, and semi-annual coupon compounding.
You can calculate in either direction:
- Yield → Price: enter the yield you want and get the clean price, dirty price, accrued interest, and total consideration.
- Price → Yield: enter the quoted market price and get the implied yield-to-maturity.
When to use it
- When your broker quotes you a secondary market price — verify it is fair before accepting.
- When you want to sell a bond you hold — calculate what yield you need to quote to achieve a target price.
- To compare the yield on a secondary market bond versus a new auction issue.
- To understand how much of the purchase price is accrued interest (which you recover at the next coupon).
Buying FXD1/2031/10 on the NSE secondary market
You want to buy KES 500,000 face value of FXD1/2031/10, a 10-year bond issued in 2021 with a 13.49% coupon, maturing on 23 Jun 2031. Today is 5 May 2026. Settlement will be T+3: 8 May 2026. Your broker quotes a yield of 14.20%.
The bond last paid a coupon on 23 Dec 2025 — meaning 136 days have accrued. The calculator gives you the exact amount to fund by settlement.
Example output
| Field | Value | Notes |
|---|---|---|
| Face Value | KES 500,000.00 | Amount purchased |
| Coupon Rate | 13.49% | Semi-annual: 6.745% per period |
| Yield to Maturity | 14.20% | As quoted by broker |
| Settlement Date | 8 May 2026 | T+3 from trade date |
| Days Accrued | 136 days | 23 Dec 2025 → 8 May 2026 |
| Accrued Interest | KES 25,131.51 | 136/365 × 13.49% × 500,000 |
| Clean Price | KES 96.21 per 100 | Bond trades at a discount (yield > coupon) |
| Dirty Price | KES 101.23 per 100 | Clean price + accrued per 100 |
| Total Consideration | KES 506,152.00 | What you pay on settlement day |
| Accrued Interest recovered | KES 25,132 | Received back at next coupon (23 Jun 2026) |
You pay KES 506,152 but effectively only "lose" KES 481,021 (the clean price portion) because the KES 25,131 accrued interest is returned to you at the next coupon payment on 23 Jun 2026.
Column reference
| Column | Description |
|---|---|
| Face Value | Nominal amount being traded. NSE minimum lot is KES 50,000. |
| Yield to Maturity | The annualised return if held to maturity, including coupon reinvestment at the same rate. |
| Settlement Date | T+3 trading days from trade date. The date cash and bonds are exchanged. |
| Days Accrued | Calendar days from last coupon date to settlement date. |
| Accrued Interest | Interest owed to the seller for days held. You pay it now and recover it at the next coupon. |
| Clean Price | The quoted market price excluding accrued interest. Used for price comparison across different bonds. |
| Dirty Price | Full settlement price per KES 100. Clean price + accrued interest per 100. |
| Total Consideration | Dirty price × face value / 100. The actual cash debit on settlement day. |
Limitations
- Uses actual/365 day-count. The NSE uses this convention; other systems may differ slightly.
- T+3 settlement is the NSE standard. Off-market bilateral trades may use different settlement periods.
- The yield-to-price calculation assumes the bond is held to maturity and all coupons are reinvested at the same yield — which rarely holds in practice.
- Does not include broker commissions or transaction levies (NSE levy, CMA levy, CDSC fee) which add approximately 0.12% to the total cost.
- Infrastructure Bonds (IFB) have coupon income exempt from WHT — the calculator does not model the post-tax yield difference between IFB and FXD bonds.
When buying on the secondary market you pay the dirty price but the bond's yield is always quoted on the clean price. Don't be alarmed if the total consideration is higher than face value — part of that is accrued interest you will recover at the next coupon.