Treasury quarterly refunding: borrowing estimates, auction sizes and rates futures

What the refunding announces

The borrowing estimates give Treasury's expected net marketable borrowing for the current and next quarter and its assumed end-of-quarter cash balance. The refunding statement follows: the sizes of the 3-, 10- and 30-year auctions held in the refunding month, the planned sizes of other coupon auctions over the quarter, any changes to bills, buybacks or inflation-protected securities, and guidance on whether coupon sizes are expected to change in future quarters.

Alongside the statement, Treasury publishes the report of the Treasury Borrowing Advisory Committee, a group of dealers and investors that advises on financing, and the minutes of its discussion with Treasury.

Why supply matters to futures

• More coupon issuance adds duration the market must hold, which some participants expect to raise the term premium on long yields.
• A shift between bills and coupons changes which part of the curve absorbs government financing.
• Guidance that sizes will stay unchanged for several quarters reduces uncertainty; a change in that guidance can itself be news.
• Long-yield moves feed equity valuations and mortgage rates, so index futures can react to a refunding that surprises the rates market.

Order flow on refunding days

The borrowing estimates and the refunding statement are released at announced times, so rates futures can show a pre-release pattern similar to a data release: a brief withdrawal of resting size near the inside, then a burst when the numbers are out. The reaction often concentrates in the longer contracts, ZB and UB, and the shape of the move across ZF, ZN and ZB tells whether the market reads a change in supply at the long end.

In some quarters the refunding week also contains an FOMC decision or major data, which makes attribution harder. The statement can then set the tone for the refunding auctions later in the month, which are read with the same metrics as any note or bond auction.

In Senzoukria

The refunding is not a standard economic statistic, and the calendar feed may not list it. A keyword alert on refunding in the News terminal rings once when a headline mentions it; the news wire is delayed by about 15 minutes, so use Treasury's own page for the release itself. The wire's full-text search covers the last seven days of headlines.

On the chart, several panes on one timeline can hold ZN and ZB footprints side by side, which shows whether the long end moved more than the ten-year after the statement.