MONTH END (cross assets)

MONTH END: Will be done tomorrow, with Bank holiday Monday

Barcap: Bonds

• US Tsys: +0.12yr (Decent, large)
• EU pan: +0.07yr (small)
• Gilt: -0.01yr (non event)

MS Bonds:

• US Tsys: +0.12yr (decent, large)
• EU Pan: +0.07yr (small, average). They see largest extension in 10-15yr sector.
• Gilts: They also see contraction, so non event.

FX Citi:

• A weak requirement to buy USD. US and foreign equity investors are to be marginal USD buyers in May as US names need to hedge gains in foreign equities and foreign names need to reduce hedges in US equities.

• For the cross-asset view, their model suggests a need to rotate out of equities and into bonds (at around 0.2 historical SD).
• They see inflows into both Japanese and the US local equity and fixed income markets.