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J.P.Morgan Like Aug '31s Vs. Feb '31s

US TSYS

J.P.Morgan note that "the 1.125% Feb-31s look quite rich relative to our par curve." For Aug 31s, "some cheapening could be expected as the Aug '31s have just lost their benchmark status, and this could reflect a lower liquidity premium. However, old 10s are CTD into the March ultra-10-year contract: our colleagues in derivatives strategy are bearish on the weighted UXY calendar spread and believe there is room for Aug '31s to richen as we approach the calendar roll period. Accordingly, given this backdrop, we recommend buying the 1.25% Aug '31s versus the 1.125% Feb '31s."

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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