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J.P.Morgan: Initiate 3s/7s Steepeners

US TSYS

Late Friday saw J.P.Morgan recommend the initiation of 3-/7-Year steepeners. They noted that they "see scope for yields to rise as the economy reopens and firming delivered inflation drives breakevens wider. Near-term supply dynamics also pose a risk to higher yields. We recommend 3s/7s steepeners as more carry-protected way to position for higher yields."

  • Entry point details were as follows:
  • Buy 100% risk, or $175mn notional of T 0.25% Mar '24s (yield: 0.335%; bpv: $290/mn)
  • Sell 100% risk, or $76.8mn notional of T 1.25% Mar '28s (yield: 1.331%; bpv: $661/mn)
  • One-month weighted carry is -1.8bp and roll is 1.2bp.
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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