TREASURY QUARTERLY REFUNDING: US to sell USD 48bln of 3yr notes (prev. 46bln) on Nov 7th, USD 40bln of 10yr notes (prev. 38bln) on Nov 8th, and USD 24bln of 30yr bonds (prev. 23bln) on Nov 9th; boosts refunding by USD 9bln to USD 112bln (exp. USD 114bln)

Projections

• Based on projected intermediate- to long-term borrowing needs, Treasury intends to continue gradually increasing coupon auction sizes in the upcoming November 2023 to January 2024 quarter.


• Treasury anticipates that one additional quarter of increases to coupon auction sizes will likely be needed beyond the increases announced today.


• Treasury issuance plans will continue to depend on a variety of factors, including the evolution of the fiscal outlook and the pace and duration of future SOMA redemptions.

Nominal Coupon & FRN Financing

• Treasury plans to increase the auction sizes of the 2- and 5-year by USD 3bln per month, the 3-year by USD 2bln per month, and the 7-year by USD 1bln per month.


• As a result, the auction sizes of the 2-, 3-, 5-, and 7-year will increase by USD 9bln, USD 6bln, USD 9bln, and USD 3bln, respectively, by the end of January 2024.


• Plans to increase both the new issue and the reopening auction size of the 10-year note by USD 2bln and the 30-year bond by USD 1bln.


• Plans to maintain the 20-year bond new issue and reopening auction size.


• Plans to increase the November and December reopening auction size of the 2-year FRN by USD 2bln and the January new issue auction size by USD 2bln.

TIPS

• Treasury believes it would be prudent to continue with incremental increases to TIPS auction sizes in order to maintain a stable share of TIPS as a percentage of total marketable debt outstanding.


• Over the November 2023 to January 2024 quarter, Treasury plans to maintain the November 10-year TIPS reopening auction size at USD 15bln, increase the December 5-year TIPS reopening auction size by USD 1bln to USD 20bln, and increase the January 10-year TIPS new issue auction size by USD 1bln to USD 18bln.

Bills

• Expects to maintain bill auction sizes at current levels into late-November – this will help to ensure sufficient liquidity to meet our elevated one-week cash needs around the end of this month.


• By early-December, Treasury anticipates implementing modest reductions to short-dated bill auction sizes that will likely then be maintained through mid- to late-January.


• Treasury is actively evaluating whether to change the regular 6-week CMB to benchmark status and will announce its decision at an upcoming refunding.

Buybacks

• Treasury continues to make significant progress on its plans to implement a regular buyback program in 2024.


• Treasury intends to provide an update on the timing for implementing the regular buyback program in the next quarterly refunding announcement.

via US Treasury

Reaction details (12:44)

• T-Note futures (Z3) spiked from 106-04+ to 106-11+ in an immediate reaction before extending to highs of 106-14, around 5 minutes later. 


• Cash 30yr yield fell from 5.075% to 4.99% over the space of five minutes. 


• E-Mini S&P 500 futures (Z3) from 4200 to 4206 in an immediate reaction before extending to highs of 4216 around 10 minutes later. 


• DXY reaction was much more muted, but it did see some brief marginal weakness in response to lower yields. 

01 Nov 2023 - 12:30- Fixed IncomeImportant- Source: Newsquawk