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J.P.Morgan Look For 3-Year Supply To Go Relatively Smoothly

US TSYS

J.P.Morgan note that Tuesday will see the Treasury auction “$45bn 3-Year notes, $1bn smaller than last month and $13bn below the $58bn peak auction size before Treasury began cutting auction sizes in November 2021. 3-Year yields have risen 10bp over the last month but remain 11bp off the pre-FOMC cycle highs. The sector appears slightly rich along the curve after adjusting for the level of rates and the slope of the curve. The 3-Year roll opened at +2.9bp, and is trading at +2.0bp, slightly less than the erosion of carry. While valuations look slightly rich, shorts have remained large at the front end, meaning investors could use this as a liquidity event to cover shorts. Net of these factors, we think tomorrow’s auction should be digested relatively smoothly.”

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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