We have a crazy week ahead of us in terms of market-relevant publications.
Company results:
Alphabet, Microsoft (Tuesday after the close), Novo Nordisk (Wednesday before the market open), Amazon, Apple, Meta (Thursday after the close), Exxon Mobil and Chevron (Friday before the markets open). Generally, companies responsible for approximately 32% of the S&P500 capitalization report their results this week.
Macro:
Dallas PMI (Monday), JOLTS, i.e. Job Openings and Labor Turnover Survey (Tuesday), FOMC (Wednesday), ISM Manufacturing (Thursday), Initial Claims (Unemployment Insurance Weekly Claims Report, Thursday), Employment Cost Index (Thursday) , Flash Estimate Inflation Euro Area, January 2024 (Thursday), NFP (Friday).
Additionally: QRA – Quarterly Refunding Announcement (Monday and Wednesday).
The market is waiting for QRA, especially after the experience with the publication in Q3 and Q4 2023. Coincidence or not, both previous releases coincided with major market turning points. See Figure 1.
Below is the QRA from October 30, 2023 (fragments):
The U.S. Department of the Treasury today announced its current estimates of privately-held net marketable borrowing for the October – December 2023 and January – March 2024 quarters:
During the October – December 2023 quarter, Treasury expects to borrow $776 billion in privately-held net marketable debt, assuming an end-of-December cash balance of $750 billion. The borrowing estimate is $76 billion lower than announced in July 2023, largely due to projections of higher receipts somewhat offset by higher outlays.
During the January – March 2024 quarter, Treasury expects to borrow $816 billion in privately-held net marketable debt, assuming an end-of-March cash balance of $750 billion.
And the financing structure that is key for the markets (short or long securities), announcement on November 1, 2023 (excerpts, see the table below !!):
Treasury plans to continue with gradual nominal coupon and FRN auction size increases, but at a more moderate rate in longer-dated tenors. Treasury will continue to evaluate whether additional relative adjustments are appropriate when determining future changes in auction sizes.
Treasury plans to increase the auction sizes of the 2- and 5-year by $3 billion per month, the 3-year by $2 billion per month, and the 7-year by $1 billion per month. As a result, the auction sizes of the 2-, 3-, 5-, and 7-year will increase by $9 billion, $6 billion, $9 billion, and $3 billion, respectively, by the end of January 2024.
Treasury plans to increase both the new issue and the reopening auction size of the 10-year note by $2 billion and the 30-year bond by $1 billion. Treasury plans to maintain the 20-year bond new issue and reopening auction size.
Treasury plans to increase the November and December reopening auction size of the 2-year FRN by $2 billion and the January new issue auction size by $2 billion.
The table below presents, in billions of dollars, the actual auction sizes for the August to October 2023 quarter and the anticipated auction sizes for the November 2023 to January 2024 quarter:
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Below is the QRA from July 31, 2023 (fragments):
WASHINGTON -- The U.S. Department of the Treasury today announced its current estimates of privately-held net marketable borrowing for the July – September 2023 and October – December 2023 quarters.
During the July – September 2023 quarter, Treasury expects to borrow $1.007 trillion in privately-held net marketable debt, assuming an end-of-September cash balance of $650 billion. The borrowing estimate is $274 billion higher than announced in May 2023, primarily due to the lower beginning-of-quarter cash balance ($148 billion) and higher end-of-quarter cash balance ($50 billion), as well as projections of lower receipts and higher outlays ($83 billion).
During the October – December 2023 quarter, Treasury expects to borrow $852 billion in privately-held net marketable debt, assuming an end-of-December cash balance of $750 billion.
And the financing structure that is key for the markets (short or long securities), announcement on August 2, 2023 (excerpts, see the table below !!):
Treasury plans to increase the auction sizes of the 2- and 5-year by $3 billion per month, the 3-year by $2 billion per month, and the 7-year by $1 billion per month. As a result, the auction sizes of the 2-, 3-, 5-, and 7-year will increase by $9 billion, $6 billion, $9 billion, and $3 billion, respectively, by the end of October 2023.
Treasury plans to increase both the new issue and the reopening auction size of the 10-year note by $3 billion, the 30-year bond by $2 billion, and the $20-year bond by $1 billion.
Treasury plans to increase the August and September reopening auction size of the 2-year FRN by $2 billion and the October new issue auction size by $2 billion.
The table below presents, in billions of dollars, the actual auction sizes for the May to July 2023 quarter and the anticipated auction sizes for the August to October 2023 quarter:
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