US Rates: Previewing the August refunding announcement

In J.P. Morgan's "At Any Rate" podcast, Jay Barry, Eric Childs, and Phoebe White discuss the upcoming August refunding announcement and its potential impact on the Treasury market. They analyze financing estimates, T-bill issuance, and coupon auction sizes, highlighting the Treasury's need to rebuild its cash balance and manage its debt portfolio. The conversation covers market expectations, investor positioning, and the influence of debt management strategies on swap spreads, as well as the potential for adjustments to the weighted average maturity (WAM) of Treasury debt. They also address the global context, noting similar trends in Japan, the UK, and the Euro area, and touch on the primary dealer questionnaire regarding T-bill issuance and buyback programs.

Outlines

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At Any Rate

Introduction to the August Refunding Preview

Expectations for Financing Estimates and Treasury Issuance Plans

Medium-Term Funding Gap and Potential Changes to Forward Guidance

Rates Market Pricing and Investor Positioning

Discrepancies in Positioning and the T-Bill Share Objective

Optimal T-Bill Share and Demand Considerations

Treasury's Debt Optimization Framework and WAM Impact

Spread Curve Valuations and Global Debt Management Strategies

Factors Driving Long-End Yields and Term Premium

Central Bank Reaction Functions and Debt Management Credibility

Primary Dealer Questionnaire and Buyback Program Enhancements

Q&A and Conclusion

US Rates: Previewing the August refunding announcement

At Any Rate

00:00Introduction to the August Refunding Preview

Introduction to the August Refunding Preview

02:12Expectations for Financing Estimates and Treasury Issuance Plans

Expectations for Financing Estimates and Treasury Issuance Plans

05:02Medium-Term Funding Gap and Potential Changes to Forward Guidance

Medium-Term Funding Gap and Potential Changes to Forward Guidance

06:19Rates Market Pricing and Investor Positioning

Rates Market Pricing and Investor Positioning

09:33Discrepancies in Positioning and the T-Bill Share Objective

Discrepancies in Positioning and the T-Bill Share Objective

11:45Optimal T-Bill Share and Demand Considerations

Optimal T-Bill Share and Demand Considerations

14:55Treasury's Debt Optimization Framework and WAM Impact

Treasury's Debt Optimization Framework and WAM Impact

17:39Spread Curve Valuations and Global Debt Management Strategies

Spread Curve Valuations and Global Debt Management Strategies

20:13Factors Driving Long-End Yields and Term Premium

Factors Driving Long-End Yields and Term Premium

22:35Central Bank Reaction Functions and Debt Management Credibility

Central Bank Reaction Functions and Debt Management Credibility

24:37Primary Dealer Questionnaire and Buyback Program Enhancements

Primary Dealer Questionnaire and Buyback Program Enhancements

26:36Q&A and Conclusion

Q&A and Conclusion