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J.P.Morgan: Initiate Dec23/Mar24 ECB OIS Curve Steepener As A Hedge To Bullish Exposure

STIR

Friday saw J.P.Morgan write “as a hedge to our overall bullish exposure, we recommend a Dec23/Mar24 ECB OIS curve steepener”

  • “At around -7.5bp, this curve looks attractive on valuations and we believe that provides positive convex upside.”
  • “The bar for the ECB to already cut rates by March 2024 is very high given the still elevated inflation backdrop and thus we would expect this curve to re-steepen to 0bp over the coming weeks both in the scenario of no further rate hikes or even if the ECB raises policy rates in 4Q23 (not our baseline view).”
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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