IR and Treasuries Market Report
DAILY AUCTION PREVIEW
AUCTION PREVIEW: GE EUR 2bln 3.25% Jul'42 Bund Auction
Today the Bundesbank is conducting its 3.25% 04-Jul-42 Bund auction, where it expects to raise an amount of approximately EUR 2bln. The last auction on this line was held in Jul'11, with a bid/cover ratio of 1.30 (yield 3.430%, retention 17.90%). The last three auctions on this line saw an average bid/cover ratio of 1.33 (average yield 3.647%, average retention 17.81%).
It is worth noting that Bundesbank has so far raised EUR 209.72bln this year.
Results are expected around 1000BST.
AUCTION PREVIEW: ECB's 7-day & 3-month USD Operations
Today the ECB is conducting its regular 7-day USD operation alongside the first of the 3-month USD operations which were announced by the ECB at the September meeting. A RTRS poll expects an allotment of USD 5bln with the range being USD 0-35bln. The ECB took this measure to help ease the USD liquidity problems facing the Eurozone banks, particularly the major French banks which have seen high volatility in their share prices in the recent weeks. The LIBOR-OIS 3-month spread, a key measure of Eurozone USD liquidity, is trading at its highest level for approximately 12 months and a higher than expected allotment is likely to move the markets. In the event of a substantial allotment Bund futures are likely to rally with banking shares, particularly in France, selling off as the markets perceive weakness in the underlying USD bank capital bases. The Eurodollar short strip is also likely to become bid as USD's flood the market.
Results are expected at 1000BST.
AUCTION PREVIEW: US Fed's Outright Treasury Securities Sale Mar'13 – Oct'13
Today the NY Fed is conducting its second sale of Treasury securities as part of Operation Twist in the range of Mar'13 – Oct'13 and expects to sell between USD 8-9bln. This is the second sale in the operation and the Fed expects to sell approximately USD 35.13bln in the 5 remaining operations.
Operations are tentatively scheduled to begin around 1515BST (1015ET) and close at 1600BST (1100ET). Results are released shortly after 1600BST (1100ET).
Sources: http://www.deutsche-finanzagentur.de, http://www.newyorkfed.org/index.html
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*Disclaimer: The information in the Market Commentaries was obtained from sources believed to be reliable, but we do not guarantee its accuracy. Neither the information nor any opinion expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts.
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