EGB FUNDING UPDATE: Italy 2026 Funding Plan Details (1/2)
Dec-19 15:27
No major shocks here. More 7-year BTP issuance with less 5-year and 15-year issuance is probably the main story. The overall volumes are broadly in line with expectations, we think.
- The MEF has noted that it will stick to auction schedules of 3/7/15+ year BTPs and 6-month BOTs mid-month. And end of month 5/10-year BTPs, CCTeus, BTP Short Term and BTPEis will be on offer. It also reserves the right to issue off-the-run bonds at auction if there is liquidity demand.
- BTP Short Term: 2 new issues expected (same as in 2025). The MEF continues to look for a gradual reduction in BTP Short Term's issuance weighting with a redistribution to medium-term maturities (this was also the case in 2025). E26.759bln is due to mature in 2026 with net issuance expected to be positive and gross issuance in line versus 2025.
- 3/5-year BTPs: "The volumes to be placed on the three-year and five-year BTP maturities will be calibrated in such a way as to achieve a greater balance between the two sectors." At least two new issues of each the 3-year BTP and 5-year BTP (same as in 2025). Issuance volumes for 3-year are estimated in line with 2025 (but negative net, redemptions: E41.840bln) but 5-year lower gross but positive net (E50.733bln redemptions).
- 7-year BTP: Increase in issuance versus 2025 and "a consequent increase in the sector's weight in total gross issuance". Much higher gross issuance than in 2025 with positive net issuance (E16.225bln redemptions). At least 2 new issues (there were 2 new issues both via syndication in 2025).
- 10-year BTP: Volume of issuance "in line with or slightly lower" than 2025 but net positive issuance (E37.704bln redemptions). At least 3 new 10-year BTPs (same as 2025).
- 15-50 year BTPs: "The Treasury expects gross issuance on the long-term segment of the BTP curve to be in line with those of 2025." It notes lower gross 15-year issuance but in line 30-year and 50-year issuance.
- More to follow (note all quotes are machine translated - only the Italian document is live so far).
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US TSY FUTURES: December'25-March'26 Roll Update
Nov-19 15:21
The latest Tsy quarterly futures roll volumes for December'25 to March'26 outlined below. Percentage complete gradually rising ahead the "First Notice" date of Friday, November 28. Current roll details:
- TUZ5/TUH6 appr 210,200 from -6.0 to -5.62, -5.75 last; 7% complete
- FVZ5/FVH6 appr 453,100 from -2.75 to -2.25, -2.25 last; 13% complete
- TYZ5/TYH6 appr 70,600 from 1.5 to 2.0, 2.0 last; 12% complete
- UXYZ5/UXYH6 43,600 from 5.25 to 5.5, 5.5 last; 5% complete
- USZ5/USH6 27,500 from 13.0 to 14.0, 13.75 last; 9% complete
- WNZ5/WNH6 appr 147,800 from 9.75 to 10.25, 10.0 last; 7% complete
- Reminder, Dec'25 futures don't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 31. Meanwhile, Dec'25 Tsy options will expire this Friday, November 21
OPTIONS: Expiries for Nov20 NY cut 1000ET (Source DTCC)
Nov-19 15:19
- EUR/USD: $1.1500(E2.0bln), $1.1550(E559mln), $1.1600(E1.1bln), $1.1625-30(E1.8bln), $1.1675-80(E1.5bln)
- USD/JPY: Y150.00($1.3bln), Y155.00($1.4bln)
- GBP/USD: $1.3250(Gbp679mln)
- EUR/GBP: Gbp0.8750(E524mln)
- AUD/USD: $0.6500(A$737mln)
- AUD/NZD: N$1.1400(A$537mln)
- USD/CNY: Cny7.1080-89($2.0bln)
SWAPS: Pressure On Gilt Swap Spreads Extends
Nov-19 15:11
Underperformance for gilts vs. swaps extends further in recent trade, indicating increased fiscal and political risk premium in light of overnight reports questioning the long-term prospects of PM Starmer leading the Labour Party.
- The rally in wider risk assets will also be factoring in.
- 30-Year swap spreads now set for the lowest close since October 14, ~8bp off cycle closing highs registered in late October.
- Clean downside extension through the October 14 closing level (-85.77bp) would switch focus to the September closing low (-90.14bp).
