Treasury roll estimates for 2y, 5y and 7y auctions
Report Coverage
- Broker
- Barclays
- Region
- United States
- Report Type
- Market Report
- Primary Focus
- Treasury roll estimates for 2y, 5y and 7y auctions
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Report Summary
• Roll estimates: We estimate fair value for the 2y, 5y and 7y rolls at settlement of -0.2bp, -0.1bp and 0.1bp, respectively. This translates into rolls at announcement of 0.6bp, 0.2bp and 0.3bp. We assume respective coupons of 4.125%, 4.125% and 4.25%, although these could shift heading into the auction. Figure 1 shows our estimates for the curve, ° At the 2y tenor, currents are trading cheap in forward space compared to recent cycles when adjusted for market implied repo specialness. We estimate that the WI trades flat to ° At the 5y tenor, currents are likely deferred CTD in FVH7. We estimate that the WI will trade at a modest liquidity discount to currents (Figure 3). ° At the 7y tenor, the WI is likely to be CTD in TYZ6 though the market has not ascribed too much liquidity premium to
Key Takeaways
- 6bp, 0.2bp, and 0.3bp. +1 212 526 7398
- Announcement details: At 11am, the Treasury is scheduled to provide technical details for
- Roll estimates: We estimate fair value for the 2y, 5y and 7y rolls at settlement of
- 0.2bp, -0.1bp and 0.1bp, respectively. This translates into rolls at announcement of 0.6bp,
- 2bp and 0.3bp. We assume respective coupons of 4.125%, 4.125% and 4.25%, although
- Liquidity premium:
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