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Refunding Reaction: Long End Supply Larger Than Expected

US TSYS

Main takeaway from the Quarterly Refunding announcement (click link for MNI's full table of changes to issue sizes) was bigger than expected sizes for 10Y, 20Y, 30Y (exactly in line w Morgan Stanley's estimates which were the highest we'd seen). Long-end Tsys weaker on higher-than-expected supply.

A few notes apart from the main headlines:

  • FRN sizes +$2bn
  • To maintain TIPS sizes ($7B Aug 30Y, $12B Sep 10Y, $17B Oct 5Y).
  • Not much new on SOFR-linked note, "continues to explore possibility". In SIFMA report to Tsy Secretary, noted "solid support" for 1-Yr SOFR FRN, preferably early in FY2021.

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