AUCTION PREVIEW: NE EUR 1.5-2.5bln 2.25% Jul'22 DSL auction
This line was last tapped on 26th June, where EUR 2.170bln was sold at a yield of 1.995% vs. Prev. 2.139% and priced at 102.30.
- Today's issuance is roughly equivalent to 12-21k Dec-Bund futures, with the cheapest-to-deliver (CDT) price taken at 1400BST on Monday. Of note, the state has completed c.82% of the planned issuance for this year.
- Despite the uncertainty surrounding the outcome of the looming elections, 2/10s have been trading within 160-180bps range since mid-June, while the 5y CDSs have fallen to a fresh 2012 low, supported by the AAA status.
Prices set at 0900BST and auction results are due out between 0905-0925BST.
AUCTION PREVIEW: ECB's 7-day and 1-month Refinancing Operation
Today the ECB is conducting its 7-day refinancing operation where expectations are for the ECB to allot EUR 129bln with the expected range EUR 120-160bln given for this week's operation. For the 1-month refinancing operation, median expectation is for EUR 25bln, the expected range EUR 10-30bln.
- In the last 7-day refinancing operation the ECB allotted an amount of EUR 126.3bln with 84 total bidders.
- In the last 1-mont refinancing operation the ECB allotted an amount of EUR 25.18bln with 28 total bidders.
Results are expected between 1000-1030 BST.
AUCTION PREVIEW: GBP 1.25bln 0.75% I/L Mar'34 Gilt Auction
Today's issuance from the DMO is roughly equivalent to 16k Dec-Gilt futures. The line was last tapped in early March and was covered 1.93 times, with a real yield of 0.049%. The issue currently trades at a real yield of c.0.106%.
Bids are submitted by 1030 BST, and results are expected between 1035-1045 BST.
Note: The DMO will announce the size of the 1.0% 2017 Gilt for auction on 20th Sep at 1530BST.
ANNOUNCEMENT: The ECB will conduct its liquidity draining operation at 1200 BST, where the total amount to be absorbed is EUR 209.0bln.
AUCTION PREVIEW: BoE Asset Purchase Program in the maturity range of 2027-2060
The range of Gilts eligible for purchase under this program is unchanged from the previous rounds of purchases, with three auctions conduced a week; one in the 3-7yr maturity range, one in the range of 7-15yrs and a further round of purchases in the over 15yr maturity range. The MPC currently expects the program to take a total of four months to complete and will purchase evenly across the three sectors.
The size of today's operation will be GBP 1.0bln (roughly equivalent to -19k Dec-Gilt futures), and the previous operation in this maturity range under the current program had an offer/cover ratio of 2.41. The average offer/cover of the past three operations in this maturity range is 2.50, and so far the BoE have purchased GBP 26bln of their GBP 50bln target.
Note, UKT 8% 2015 and UKT 8% 2021 excluded because BoE's holdings are above 70%. UKT 5% 2018 and UKT 4.5% 2034 also excluded.
Results are due shortly after 1445BST.
AUCTION PREVIEW: US Fed's Outright Treasury Coupon Purchase Feb'36 – Aug'42
Today the NY Fed is conducting its Outright Treasury Coupon Purchase in the maturity range Feb 2036 – Aug 2042. This is the seventh operation of this series as part of the Fed's new maturity extension program, and until August 30th 2012, the Fed expects to buy approximately USD 30.65bln in the remaining 10 operations and sell USD 30.20bln in the remaining 4 operations. It is worth noting that the Fed originally planned to buy about USD 44bln in 15 operations and sell about USD 38bln in 5 operations.
In today's operation, the Fed expects to buy in the range of USD 1.50bln – USD 2.00bln. The last Outright Treasury Coupon purchase operation in the maturity range of 25 – 30 years was on the 6th September 2012, with a purchase size of USD 1.81bln and a submitted/accepted ratio of 3.05. It is worth noting that effective from September 30, 2011, the Fed plans to buy 32% of its coupon securities in this maturity range.
This Operation is tentatively scheduled to begin around 1515 BST (1015 EDT) and close at 1600 BST (1100 EDT). Results are released shortly after 1600 BST (1100 EDT).
Sources: www.dsta.nl/english, http://www.ecb.it, http://www.dmo.gov.uk, http://www.newyorkfed.org/markets/tot_operation_schedule.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.