EU BASIC INDUSTRIES: Covestro: ADNOC / Santos called off

The DMO has released the agenda for the consultation to be held Tuesday next week ahead of the release of the Oct-Dec auction calendar (on Friday 29 August at 7:30BST).

• Syndications: A new conventional 15-year gilt in October and a linker (new or existing) in November.
• The DMO has also raised the possibility of dual-tranche syndications (which are not currently held). These are not planned for FQ3, but could be introduced in the future.
• Short auctions (6 auctions): Launch and reopen at least once both a new 3-year gilt and new 5-year gilt.
• Medium auctions (4 auctions): The new 10-year Oct-35 gilt (which will be launched via syndication in the W/C 1 September) to be reopened at least twice in the quarter. The DMO is also welcoming views on a new 7-year gilt.
• Long auctions (2 auctions): Including a reopening of the
• Linker auctions (4 auctions): All existing.
• PGTs (5): 1 short, 1 medium, 1 linker and 2 other conventional (without maturity guidance).
• The next consultation will be held on Monday 24 November, subject to the timing of the Budget.

Today’s selloff in Gilt futures is persisting, now -46 ticks at 90.64 and narrowing the gap to support at 90.59 (May 29 low). The latest Guardian story on stamp duty (see above) appears to have added some fresh pressure. Although details are vague and no final decisions have been made, it is another example of the difficult fiscal backdrop facing the Chancellor ahead of the Autumn budget. 

• Gilt yields have registered fresh sessions highs across the curve, currently 3.5-4.5bps higher.
• 30-year nominal yields are testing the 5.60% handle for the first time since May.  Meanwhile, linker yields are currently +4bps at 2.541%, the highest since 1998 according to Bloomberg Finance L.P data.
• 5s30s is just shy of Friday’s 148bp high (currently at 147.5bps), but is still at its steepest since 2017.
• UK CPI headlines this week’s regional calendar on Wednesday. MNI’s preview will be released tomorrow morning.

The latest Tsy quarterly futures roll volumes from September'25 to December'25 below. Percentage complete is running 5% or lower across the curve ahead the "First Notice" date on August 29. Current roll details:

• TUU5/TUZ5 appr 41,800 from -8.75 to -7.75, -8.0 last; 2%
• FVU5/FVZ5 appr 64,500 from -4.75 to -4.25, -4.5 last; 4%
• TYU5/TYZ5 appr 129,000 from -0.25 to +0.25, +0.0 last; 5%
• UXYU5/UXYZ5 appr 13,300 from 0.25 to 1.25, 1 last; 1%
• USU5/USZ5 appr 3,600 from 12.75 to 13.5, 13 last; 2%
• WNU5/WNZ5 appr 1,000 from 8.0 to 8.5, 8.25 last; 1%
• Reminder, Sep futures won't expire until next month: 10s, 30s and Ultras on September 22, 2s and 5s on September 30. Meanwhile, Sep'25 Tsy options will expire this Friday, August 22.