DAILY BOND AUCTION PREVIEW: Supply from Italy and the US


Last week, the ECB allotted EUR 1.146bln in its 7-day MRO.

AUCTION PREVIEW: Italian EUR 9-11bln 0.2% 2020, 1.45% 2025, 2.45% 2033 and 2.7% 2047 BTP Auction


– European bonds including BTPs rally from mid-February auctions

– 10-year BTPs outperform amid general bull flattening, front-end lags

– Front-end BTPs lag core markets as Schatz recover from excess hawkishness

– Competing supply an issue, Portugal then Spain come to market Weds/Thurs

– New 5/25 BTP trading +14.5bp on roll, in line to modestly cheap


In terms of historical data:

0.2% 2020 prev. b/c 1.65 and average yield 0.05%

1.45% 2025 (New Issuance)

2.45% 2033 prev. b/c 1.46 and average yield 2.38%

2.7% 2047 prev. b/c 1.76 and average yield 3.43%


Bids are submitted by 1000GMT and results are published shortly after


US to sell USD 13bln 30-year notes (reopening) on Tuesday 13 Mar 2018 at 1700 GMT (1300 eastern time).

The US Treasury will auction $62bln in 3-year notes ($28bln, Monday), 10-year bonds ($21bln, Monday) and 30-year bonds ($13bln, Tuesday). With a total of $24bln maturing at mid-month settlement, $38bln in new supply will be raised.

NOTE: the condensed auction schedule is to allow for one business day between the 30-year auction and mid-month settlement on Thursday 15 March.

Last month’s 30-year auction was soft, tailing by 1.2bps, and seeing the lowest cover since November. Investment fund takedown was the softest since May, though foreign bidders raised their participation to the most since March.

SocGen believes that the current 30-year bond trades rich versus old 30s, and notes that the 5s30s curve has narrowed by more than 9bps since the last auction cycle. The bank argues that the sector lacks set-up ahead of the auction from a RV perspective, while the higher re-opening size is a negative also. That said, cheaper outright levels of the 30-year may provide support.

Recent auction history:
– High yield: (prev. 3.121% % vs six-auction average of 2.876%)
– Tail: (prev. 1.2bps tail vs six-auction average of 0.2bps stop-through)
– Bid-to-cover: (prev. 2.26x vs six-auction average of 2.41x)
– Dealers: (prev. 30.8% vs six-auction average of 29.0%)
– Directs: (prev. 8.1% vs six-auction average of 8.0%)
– Indirects: (prev. 61.2% vs six-auction average of 63%)