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Buy WNZ1 Vs. Paying Fixed In A Forward Starting Swap

US SWAPS

J.P.Morgan note that given their "bias towards wider swap spreads, particularly at the long end, as well as the current cheapness of the December Ultralong bond contract, there is an efficient way to initiate long-end spread widening exposure. Go long 250 WNZ1 at 197-28 and pay fixed in a $44.2mn notional a forward starting swap (swap start date 12/31/2021, swap maturity 2/15/2047, fixed leg coupon 1.705%, forward maturity matched swap spread of -22bp)."

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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