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J.P.Morgan Think 20s Require Further Concession Into Supply


Ahead of Wednesday’s 20-Year Tsy auction J.P.Morgan note that “20-Year yields have risen roughly 27bp since the January auction and are trading at their highest levels since early January. However along the curve, the 10s/20s/30s butterfly has narrowed 5bp since the last auction, to its richest levels of the last year. Moreover, the sector appears somewhat rich relative to the wings after adjusting for the level of 20-Year yields, the slope of the 10s/30s curve, and the level of HG spreads (as a proxy for risk appetite). With intermediate Treasuries still looking somewhat rich to fair value, and the 20-Year sector looking rich on the curve and fly, we think tomorrow’s auction will require some further concession in order to be digested smoothly.”

MNI London Bureau | +44 0203-865-3809 |
MNI London Bureau | +44 0203-865-3809 |

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