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J.P.Morgan Like May '42/Nov '44 Flatteners

US TSYS

J.P.Morgan note that "isolating relative value, we like selling the 3% May-2042s, a $44bn issue of which the Fed already owns a 70% share, and buying the 3% Nov-2044s, a $44bn issue which is only 24% SOMA-owned. Naturally, given these issues are more than 2 years apart, there is curve flattening risk in this trade, and we recommend a 100:98 weighting to compensate for this curve sensitivity."

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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