Market Economics | Interest Rate Strategy - BNP PARIBAS ...
Market Economics | Interest Rate Strategy - BNP PARIBAS ...
Market Economics | Interest Rate Strategy - BNP PARIBAS ...
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Next Week's T-Bills Supply<br />
Date Country Issues Details<br />
21/01 UK T-Bills Feb 2011 GBP 0.5bn<br />
T-Bills Apr 2011<br />
GBP 1bn<br />
T-Bills Jul 2011<br />
GBP 1.5bn<br />
24/01 France BTF Apr 2011 EUR 4bn<br />
BTF Jul 2011<br />
EUR 2bn<br />
BTF Jan 2012<br />
EUR 1.5bn<br />
Germany Bubills Jan 2012 (new) EUR 3bn<br />
US T-Bills Apr 2011 USD 29bn<br />
T-Bills Jul 2011<br />
USD 28bn<br />
FHLMC Bills 3-month & 6-month 21 Jan<br />
25/01 Spain Letras Apr 2011 24 Jan<br />
Letras Jul 2011<br />
24 Jan<br />
US T-Bills 4-week 24 Jan<br />
FHLB Discount Notes<br />
26/01 Japan T-Bills Apr 2011 JPY 4.8tn<br />
Italy BOT Jul 2011 21 Jan<br />
FNMA Bills 3-month & 6-month 24 Jan<br />
27/01 FHLB Discount Notes<br />
28/01 UK T-Bills 21 Jan<br />
Denmark T-Bills<br />
Sources: Treasuries, <strong>BNP</strong> Paribas<br />
Comments and charts<br />
• EGB gross supply will fall to EUR 13.5bn (ex-CTZ)<br />
in the week ahead from EUR 28.5bn in the past week. In<br />
10y duration-adjusted terms, it falls to EUR 10.3bn from<br />
EUR 15bn in the past week.<br />
• The Netherlands will conduct its first off-the-run taps<br />
for 2011 on Tuesday under the new schedule of a<br />
quarterly instead of a monthly frequency and with a<br />
bigger size. DSLs Jul-12 and Jul-17 will be tapped for a<br />
total amount of EUR 2-3bn. Italy will tap CTZ on<br />
Wednesday while, on the same day, Germany will tap<br />
30y Bund Jul-42 for EUR 2bn. On Thursday there will be<br />
BTPeis auction in Italy and on Friday the usual 3y and<br />
10y BTPs and CCT auctions. The inaugural EFSF bond<br />
issuance is expected to take place in the week ahead as<br />
the end of January has been suggested as the most<br />
likely timing of this issuance.<br />
• Outside of the eurozone, US will issue USD 99bn of<br />
2y, 5y and 7y notes. Denmark, Canada and Japan will<br />
also issue paper in the week ahead.<br />
Next Week's Eurozone Redemptions<br />
Date Country Details Amount<br />
26/01 Germany Bubills EUR 6.0bn<br />
27/01 France BTF EUR 8.0bn<br />
Total Eurozone Short-term Redemption<br />
EUR 14bn<br />
Next Week's Eurozone Coupons<br />
Country<br />
Amount<br />
Italy<br />
EUR 0.1bn<br />
Austria<br />
EUR 0.0bn<br />
Total Long-term Coupon Payments<br />
EUR 0.1bn<br />
30<br />
25<br />
20<br />
15<br />
10<br />
5<br />
0<br />
-5<br />
-10<br />
-15<br />
-20<br />
25<br />
20<br />
15<br />
10<br />
5<br />
0<br />
Chart 1: Investors’ Net Cash Flows<br />
(EUR bn, 10y equivalent)<br />
Net Investors' Cash Flows<br />
(EUR bn , 10y equivalent)<br />
Week of Jan 10th Week of Jan 17th Week of Jan 24th Week of Jan 31st<br />
Chart 2: EGB Gross Supply Breakdown by<br />
Country (EUR bn, 10y equivalent)<br />
Germany Italy Portugal Belgium<br />
France Spain Netherlands Austria<br />
Finland Greece Ireland<br />
Week of Jan 10th Week of Jan 17th Week of Jan 24th Week of Jan 31st<br />
Chart 3: EGB Gross Supply Breakdown by<br />
Maturity (EUR bn, 10y equivalent)<br />
20<br />
18<br />
16<br />
14<br />
12<br />
10<br />
8<br />
6<br />
4<br />
2<br />
0<br />
EGBs Gross Supply (EUR bn, 10y equivalent)<br />
2-3-YR 5-7-YR 10-YR >10-YR<br />
Week of Jan 10th Week of Jan 17th Week of Jan 24th Week of Jan 31st<br />
All Charts Source: <strong>BNP</strong> Paribas<br />
<strong>Interest</strong> <strong>Rate</strong> <strong>Strategy</strong> 20 January 2011<br />
<strong>Market</strong> Mover, Non-Objective Research Section<br />
81<br />
www.Global<strong>Market</strong>s.bnpparibas.com