20年期当周发行国债（2045年5月）滚动估计

US Treasuries 20y WI (May45) roll estimate We estimate a 20y WI roll of about -1.1bp on a whole-bondbasis at announcement, assuming a P-switch ofabout -2.75bp. We expect most of the liquidity premium tocome from the issue trading special in term. Investor demandat the auctions has moderated over the past six months. Andres Mok, CFA+1 212 526 8690andres.mok@barclays.comBCI, US Demi Hu+1 212 526 7398demi.hu@barclays.comBCI, US 20y WI rolls estimate The 20y WI (Feb45) will begin trading today at 11am. The bond will be auctioned on May 21 andsettle on June 2. Per the Q2 refunding announcement, the Treasury kept the new issue auctionsizes for the 20y at $16bn, and it expects to leave them unchanged for the next several quarters.We expect the Fed to add about $2.2bn at the auction, compared with $1.6bn at the Februaryauction. Figure 1 summarizes our WI roll estimate for the 20y in whole-bond terms. We expect the May45WI to trade about -2.75bp to currents on P-switch (Figure 2). On a whole-bond basis, thistranslates into the WI trading at about -1.1bp at announcement and -1.3bp at settlement,assuming a coupon of 4.875%. A couponshifthigher of 0.125% would flatten the rate curveabout 0.1bp, while it would equally steepen if the couponshifts0.125% lower. The WI's coupon will be higher (4.875%) than currents (4.75%), and we expect the issue to tradespecial in term, which points to a higher liquidity premium. If the WI opens up more (less)special in term repo than market expectations, this could bias the quoted roll lower (higher). Auction statistics Figure 3 summarizes 20y auction statistics over the past 12 months. While the ones over thepast six months underperformed those in the previous six months, the last two auctionsstopped below expectations, as indirect bidders stepped up. Overall, however, investor demandhas moderated over the past six months, with domestic and foreign investors taking 68% and11% of the allocations, respectively, compared with 72% and 14% over the prior six months. Analyst(s) Certification(s):We, Andres Mok, CFA and Demi Hu, hereby certify (1) that the views expressed in this research report accurately reflect our personal views about any or all of the subject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will be directly or indirectlyrelated to the specific recommendations or views expressed in this research report. Important Disclosures: Barclays Research is produced by the Investment Bank of Barclays Bank PLC and itsaffiliates(collectively and each individually, "Barclays"). All authors contributing to this research report are Research Analysts unless otherwise indicated. The publication date at the top of the report reflectsthe local time where the report was produced and maydifferfrom the release date provided in GMT. Availability of Disclosures: For current important disclosures regarding any issuers which are the subject of this research report please refer to https://publicresearch.barclays.com or alternatively send a written request to: Barclays Research Compliance, 745 Seventh Avenue, 13th Floor, New York, NY10019 or call +1-212-526-1072. Barclays Capital Inc. and/or one of itsaffiliatesdoes and seeks to do business with companies covered in its research reports. As a result, investorsshould be aware that Barclays may have a conflict of interest that couldaffectthe objectivity of this report. Barclays Capital Inc. and/or one of itsaffiliatesregularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the debt securities that are thesubject of this research report (and related derivatives thereof). Barclays trading desks may have either a long and / or short position in such securities,other financial instruments and / or derivatives, which may pose a conflict with the interests of investing customers. Where permitted and subject toappropriate information barrier restrictions, Barclays fixed income research analysts regularly interact with its trading desk personnel regardingcurrent market conditions and prices. Barclays fixed income research analysts receive compensation based on various factors including, but notlimited to, the quality of their work, the overall performance of the firm (including the profitability of the Investment Banking Department), theprofitability and revenues of the Markets business and the potential interest of the firm's investing clients in research with respect to the asset classcovered by the analyst. To the extent that any historical pricing information was obtained from Barclays trading desks, the firm makes norepresentation that it is accurate or complete. All levels, prices and spreads are historical and do not necessarily represent current market levels, pricesor spreads, some or all of which may have changed since the publication of this document. Barclays Research Department produces various types ofresearch including