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J.P.Morgan Go Long 20-Year Swap Spreads

US SWAPS

J.P.Morgan note that "the pace of bank issuance is unlikely to hold, and LDI demand factors should be the more dominant driver of long-end spreads. With this in mind, we are inclined to take this opportunity to buy 20-year swap spreads, which likely stand to benefit from improving liquidity in this sector, particularly as Fed purchases move more towards the longer maturities. Buy $100mn notional of 1.875% Feb 2041 vs. paying $91.15m notional 02/15/2041 swap at a maturity matched swap spread of -19.8bp."

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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