The central bank lapped up 748.38 million shillings ($8.96 million), representing nearly all the bids received of 748.56 million shillings for 3 billion of bills on offer. The weighted average yield rose to 18.576 percent from 18.445 percent.

Analysts say double-digit inflation, at nearly 20 percent in November, and the central bank's tightening liquidity measures to support the shilling have all contributed to a number of low bids at auctions in the past few months.

Traders say there has been little appetite for short-term securities with inflation so high.

"At some point next year we expect rates to ease as inflation falls," Mercy Njoroge, a trader at Tsavo Securities, said.

"As long as liquidity reamins tight in the market we will continue seeing lower subscription rates on the T-bills and yields will keep going up."

The bank said it would offer 7 billion shillings' worth of 91-day and 182-day Treasury bills next week.

A 10 billion shilling one-year fixed-rate treasury bond fared better, generating a yield of 21.408 percent, at a 181 percent subscription rate with bids accepted worth 11.1 billion shillings.

"The one-year paper was expected to perform this way because people have been waiting for it. Investors expect that by the time they mature next year rates would have come down," Njoroge said.