DAILY BOND AUCTION PREVIEW - 27th September 2017: ECB 7 Day USD Op, UK 2036 I/L Gilt, US 5 year note

AUCTION PREVIEW: ECB’s 7-Day USD op

Previously, ECB allotted USD 35mln in its 7-day USD op. Results are usually published around 1010BST.

 

AUCTION PREVIEW: UK GBP 0.950bln 0.125% I/L 2036 Gilt Auction

In terms of historical data:

Prev. b/c 2.17 and real yield -1.783%

 

US

AUCTION PREVIEW: US USD 34bln 5y Note Auction

The US Treasury is to sell USD 34bln in 5y notes and the results are expected shortly after 1800BST (1200CDT).

Looking at the historical data, the B/C at the last auction held was 2.58, dealers took down 17.5% of the issue while indirect bidders accounted for 69.1%. The auction prior to the last had a B/C of 2.58, dealers took 24.0% of the issuance and indirect bidders accounted for 69.8%.

The average of the past six auctions has seen a B/C of 2.48, dealers have taken 23.3% while indirects have taken 66.5%.

The average of the past three auctions has seen a B/C of 2.50, dealers have taken 22.4% while indirects have taken 68.0%.

Barclays: 5 year auctions have generally tailed in 2017, although both the July and August auctions stopped through. The recent improvement seems to be reflecting a pickup in final demand. Current 5s are trading somewhat cheap versus a typical cycle. However, there is room for set-up, as the beta-weighted 3s-5s-10s fly, which has typically cheapened going into the 5y auction, has not so far.

Societe Generale: Overall The upcoming 5y note auction does not have a clear set-up from a relative value perspective, as the current 5y note is trading rich on both an asset swap basis and the curve, and it will likely need a concession. Positives for the auction include a pick-up in demand in recent 5 year auctions, the current 5 year note yield being higher than the last auction’s stop-out rate and favourable dealer positioning.

TD Securities: The belly of the curve has cheapened significantly on both an outright and curve basis as September FOMC was perceived as hawkish. Recent demand for 5s has been relatively mixed, with 3 of the past 6 auctions stopping through the screens. Investment fund takedowns have increased in recent months, however, suggesting solid underlying demand.

26 Sep 2017 - 19:00- Fixed IncomeResearch Sheet- Source: RANsquawk

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