Pursuant to Eurosystem rules, auctions may be used alongside bilateral transactions as a supplementary procedure for specific market segments under the public sector purchase programme (PSPP).
Based on the relevant requirements, the Bundesbank makes some of its PSPP purchases via reverse auctions. As set out in the auction calendar, the Bundesbank will offer supplementary auctions on the second Thursday of every month in 2019, thus taking into account current market conditions. From this point on, advance notice for the auctions will be given on the Friday prior to the relevant auction.
Every multi-ISIN auction covers ten securities issued by regional or local governments and German promotional banks. The Bundesbank has drafted special terms and conditions (see download section) for purchases via reverse auctions and uses the Bloomberg auction system (AUPD function).
The above-mentioned transactions are exempted from the rules on pre-trade and post-trade transparency pursuant to Article 1 (6) of the Markets in Financial Instruments Regulation (MiFIR). Publication or disclosure pursuant to Articles 8, 10, 18 or 21 MiFIR is therefore not required.
Requirements for participation
Pursuant to Decision ECB/2015/10 establishing the PSPP, all counterparties that fulfil the eligibility criteria to participate in Eurosystem monetary policy operations pursuant to section 2.1 of Annex I to Guideline ECB/2011/14 are eligible to participate in the reverse auctions, as are all other counterparties that are used by Eurosystem central banks for the investment of their euro-denominated investment portfolios. In addition, the following operational criteria must be fulfilled.
First, the reverse auctions must take place via the Bloomberg auction system. To be authorised to use the system, you must apply to the Bundesbank using the registration form found in the downloads section. The AUPD module offers a grouping function which allows you to separate bids made by different departments of your institution. In order to be able to use this function, upon registering you must name a person to exercise the "group admin" function.
Should you have any questions about registering for Bundesbank reverse auctions, our tender coordination team will be happy to assist (+49 69 2388 1480). By registering, counterparties recognise the Bundesbank’s special terms and conditions for the purchase of public sector securities by the Bundesbank via the Bloomberg auction system.
Second, it is a participation requirement that securities are delivered via a safe custody account held with the central securities depository Clearstream Banking AG, with the cash leg being settled via TARGET2. Counterparties must send standard settlement instructions (SSI) to the Bank for this purpose. Should you have any questions regarding delivery or the SSI, please call +49 69 2388 2882.
Note also that use of the auction module may require supplementary provisions to be added to the contractual framework already existing between your establishment and Bloomberg.
Reverse auction procedure
Starting in January 2019, the Bundesbank will conduct one multi-ISIN auction on the second Thursday of every month. It will publish on this webpage the securities that it intends to purchase and will do so four business days before the auction itself, ie usually on Fridays.
The actual tender announcement will be sent to eligible, registered counterparties in the Bloomberg auction system at 10.25 (Central European Time) on the day of the auction – usually Thursdays. It contains the key tender conditions. Bids may be submitted for a period of 30 minutes, starting at 10.30 and ending at 11.00. Allotment of the transactions takes place by 11.20. Tenders are carried out in the form of a variable rate tender procedure (American auction). In each bid, eligible counterparties state the nominal volume as well as the relevant price (clean price net of accrued interest) at which they wish to conclude the transaction in question. The minimum bid size is €1 million. Up to ten different bids can be submitted per counterparty for each ISIN.
Transactions are settled on the value date stipulated in the tender announcement, which is usually T+2. Delivery versus payment (DVP) instructions should be calibrated according to Clearstream’s conditions for night-time processing.
A list of the days earmarked for the advance notice, implementation and settlement of reverse auctions can be found in the relevant calendar in the downloads section.
Further details on the transactions are contained in the Bundesbank’s special terms and conditions for the supplementary use of auctions for the public sector purchase programme via the Bloomberg auction system (public sector purchase programme auctions).
Advance notice of auction
Advance notice of the next multi-ISIN auction can be found here. Please note that the Bundesbank reserves the right, pursuant to No 5 of the special terms and conditions, to amend the tender or cancel the auction outright at any time.
Information on allotment of completed auctions
Information on how the transactions have been carried out to date is available in the download area.