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J.P.Morgan: Initiate 0.125% Jan-2024s/2.125% Jul-2024s Flatteners

US TSYS

Late Friday saw J.P.Morgan note that "the 3- to 5-year sector offers superior risk-adjusted carry to roll and the Jan-2024s/Jul-2024s appears steep relative to the slope of the 2s/3s curve. Sell 100% risk, or $90mn notional of T 0.125% Jan-24s (yield: 0.271%; bpv: $278/mn), buy 100% risk, or $73mn notional of T 2.125% Jul-24s (yield: 0.392%; bpv: $343/mn). Weighted spread is 12.1bp. One-month weighted carry is 0.3bp and roll is 0.4bp."

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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