AUSSIE BONDS: AOFM Weekly Issuance Slate

Sep-09 02:03

The AOFM has released its weekly issuance slate:

  • On Tuesday 13 Sep it plans to sell A$100mn of the 1.00% 21 February 2050 Indexed Bond.
  • On Thursday 15 Sep it plans to sell A$1.0bn of the 10 February 2023 Note & A$500mn of the 24 February 2023 Note.
  • On Friday 16 Sep it plans to sell A$800mn of the 1.25% 21 May 2032 Bond.

Historical bullets

US TSYS: J.P.Morgan Flag Need For Above-Avg. End-User Demand At 10-Year Auction

Aug-10 01:56

J.P.Morgan note that Wednesday will see Treasury “auction $35bn 10-Year notes, $1bn smaller than the last new-issue auction in May. Since the last auction, 10-Year yields have declined by 17bp, though they are 19bp above their local lows reached last week. At current levels, yields appear more than 30bp too low relative to fundamental drivers, and the sector is modestly rich versus the wings after adjusting for the level of rates and the shape of the curve. The WI roll opened at -1.0bp, somewhat richer than our estimates, and is trading at -0.625bp, underperforming the erosion of carry. Overall, with yields near the lower end of the range they have held over the last few months, valuations appearing rich, and risk appetite relatively light, we think it will require above-average end-user demand to underwrite this auction smoothly.”

US TSYS: BofA Question How Flat The Curve Can Go, Stick With Flatteners

Aug-10 01:39

Bank of America note that “the spot 2-/10-Year U.S. Tsy curve is currently the most inverted it has been since August 2000 at about -50 bps. We ask what the boundaries are for how inverted the curve could get. We think the answer ultimately comes down to how much higher the market can price the terminal rate. We find that an additional 50bps repricing higher in terminal would flatten the 2-/10-Year curve between 10-25bps depending on assumptions for how the rest of the curve adjusts.”

  • “Since the 70s most curve inversions have not exceeded 50bps. However, there is no natural limit on how inverted the 2s10s curve can go. The extent of inversion will depend on the terminal rate which will likely be a function of inflation. If inflation remains elevated and terminal is priced to 4% or higher (about a 50bps shock), we would not rule out the curve flattening by another 10-25bps to an inversion between 60-85bps. Risks of a hard landing will likely skew curves flatter as hikes near term will probably be viewed as needed cuts in the future. Should growth continue to remain strong while inflation surprises, the curve may continue to flatten but to a lesser extent with longer-dated tenors also supported. We still recommend clients hold curve flattening positions until inflation & employment data moderate, given possible further upward re-pricing of the terminal rate.”

CNH: CNY Fixing Slightly On The Weaker Side

Aug-10 01:22

The USD/CNY fix printed at 6.7612, versus a market estimate of 6.7606.

  • Today's fix is a slight upside surprise at +6pips in USD/CNY terms, but down from yesterday’s outcome, which came in at +17pips.
  • The 5-day rolling sum of the error term is basically unchanged at +12pips, versus +13pips yesterday.
  • USD/CNH has drifted higher in early trade today, in line with firmer USD moves against the majors. The pair last tracked at 6.7580, versus around 6.7550 at the close in NY.