TD analysts Cheng Chen and...........>

US TSYS/SUPPLY: TD analysts Cheng Chen and Gennadiy Goldberg said the Treasury

today at 11am ET "will announce next week's 3yr, 10yr and 30yr auctions", with

"sizes expected to remain unchanged at $24bn for 3s, $20bn for reopened 10s and

$12bn for reopened 30s. We expect auction sizes to remain unchanged until

February, when Treasury is likely to begin increasing auction sizes:

predominantly at the front-end of the curve." 

- They add Treasury will sell 3s on next Tuesday, 10s on Wednesday and 30s on

Thursday. "With $40.5bn maturing at the mid-month settlement, the auction will

raise $15.5bn in new cash," they said. "With balance sheet runoff accelerating,

the Fed will allow an increased $12bn to run off this month vs $6bn previously.

Nevertheless, there will be only $3.1bn in SOMA holdings maturing mid-month,

with the Fed adding on $1.9bn/$0.7bn to 3s, $0.7bn to 10s and $0.5bn to 30s." 

- "We expect the 3yr roll to open around 2.8bp. Given that 10s and 30s are

reopenings, the roll only refers to carry in the WI period, which we see at

0.8bp and 0.2bp, respectively," they said.