US: FED Reverse Repo Operation

SNB President Schlegel appears to be sticking to prior rhetoric in his interview with Swiss broadcaster SRF to be published today 9:15pm according to some preliminary headlines which appeared on Bloomberg. The headlines continue to lean dovish, but we would argue they reiterate Schlegel's prior communication:

• "IF NEEDED, EASING SHOULD BE DONE QUICKLY" note that he opposed any "dry powder" arguments at the press conference following the 50bp cut December meeting.
• "MONTHLY INFLATION DATA MAY DIP BELOW ZERO" also lines up with December meeting commentary
• "SWISS INFLATION TO BE RELATIVELY LOW THIS YEAR" in line with the conditional inflation forecast seeing Q1 average inflation at only 0.3% Y/Y.

Swiss STIR pricing meanwhile appears to have taken the commentary with a dovish tilt, with the Dec-25 3m SARON future pricing in around 3bp more easing since the headlines were released, for a current 99.90. However, note that SARON liquidity is likely limited at the moment given timing on the day.

EURCHF remains unchanged since the comments, hovering just above 0.9450 and down 0.58% on the session.

• Tsy futures gain slightly (TYH5 trades 109-05 last, +25) after $70B 5Y note auction (91282CMG3) stops 0.5bp through (third consecutive stop since June): drawing 4.330% high yield vs. 4.335% WI; 2.40x bid-to-cover steady to prior auction.
• Peripheral stats show indirect take-up  62.79% vs. 67.27% prior, directs rise to 26.09% vs. 20.26% prior (highest since Jul 2014), primary dealer take-up 11.12% vs. 12.47% prior.
• The next 5Y auction is tentatively scheduled for February 25.

• US TSY 5Y NOTE AUCTION: HIGH YLD 4.330%; ALLOTMENT 52.61%
• US TSY 5Y NOTE AUCTION: DEALERS TAKE 11.12% OF COMPETITIVES
• US TSY 5Y NOTE AUCTION: DIRECTS TAKE 26.09% OF COMPETITIVES
• US TSY 5Y NOTE AUCTION: INDIRECTS TAKE 62.79% OF COMPETITIVES
• US TSY 5Y AUCTION: BID/CVR 2.40