Market Economics | Interest Rate Strategy - BNP PARIBAS ...

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