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MONTH END

CROSS ASSET

MONTH END (cross assets). Bond extension should have limited impact tomorrow.

Bloomberg Bonds:

  • US Tsys; +0.07yr (small, average)
  • EU Govies: +0.07yr (small, average)
  • UK Govies: -0.001yr (non event)

MS Bonds:

  • US Tsys: +0.07yr (small average)
  • EU Govies: +0.07yr (small average)
  • UK Govies: -0.01yr (non event)

Equity/Bond rebalancing:

  • Citi's model sees a rotation out of bond markets and into equities, dominated by inflow into US equity markets.
FX: Mixed views
  • Citi: They see USD buying into end-April. Their model is driven by equity investors needing to reduce US hedges.
  • MS: They expect the USD to underperform against most others (with the exception of vs. JPY, CAD, NZD)

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