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J.P.Morgan Identify ASW Relative Value Play

JGBS

On Friday J.P.Morgan noted that they "believe the recent cheapening of 30-Year ASW relative to 20-Year ASW offers an opportunity. Going forward, we expect 30-Year ASW to richen relative to 20-Year ASW." As such they recommended going long 30-Year JGB JX70 vs. matched maturity swap (maturity: 2051/03/20) at -18.75bp vs. short 20-Year JGB JL176 vs. matched maturity swap at -9.50bp (maturity: 2041/03/20).

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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