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BOND SUMMARY

EGB/GILT: Reversing Early Losses

SWITZERLAND

CHF LIBOR FIX - 22-06-2021

EUROZONE

EUR LIBOR FIX - 22-06-2021

JAPAN

JPY LIBOR FIX - 22-06-2021

UK

GBP LIBOR FIX - 22-06-2021

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Shorter durations outperformed longer in May, trading through mild- to modest 5M average tails.
  • The 7Y was deemed strong not by how much the award rate traded through the When Issued, but that it performed well at all.
  • The sector has averaged a -1.3 tail over the last 5 auctions, while the February auction tailed -4.0 bps. The 10Y note, 20- and 30Y bonds all traded weak to poor compared to their 5M averages.
  • This is illustrated by the MNI May Auction Relative Strength Indicator:

MNI UST Issuance Deep Dive - June 2021

Sell-side analysts continue to anticipate a gradual reduction in auction sizes in the latter half of the year. Next week's 3Y, 10Y re-open and 30Y re-open auction sizes expected to remain at $58B, $38B and $24B respectively.