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US TSY OPTIONS

BLOCK, 10Y Put Sale

FED

Reverse Repo Operation, New Record High

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  • The DMO will come to the market this morning to sell GBP3.0bln of the 5-year 0.375% Oct-26 gilt.
  • This will be the seventh auction of the gilt that was first launched in March, with all auctions having been for the same GBP3.0bln amount.
  • The last auction of the 0.375% Oct-26 gilt was on 24 August and was the weakest auction of the issue to date with a bid-to-cover of 2.11x and a tail of 0.9bp.
  • Previous auctions have seen bid-to-covers range from 2.50-2.69x with tails of 0.2-0.4bp.
  • We expect this morning's auction to be more in line with these prior auctions rather than the August auction. The 0.375% Oct-26 gilt is due to be reopened on 26 October and again on 16 November.
  • Timing: Results will be available shortly after the auction closes at 10:00BST with a further GBP750mln available to successful bidders via the PAOF.