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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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Free AccessJ.P.Morgan Pay The Belly 2-/5-/7-Year Swap Fly
Late Thursday saw J.P.Morgan note that “the swap curve has moved in pretty extreme fashion and appears to be racing toward an easing cycle dynamic, but with an already very flat curve. We do not expect easing, but 3s/5s and 3s/10s are flat relative to 2011, which increases scope for steepening even on a tapering of hikes. Finally, AUD 10-Year spreads to dollars are still comparatively wide, on regression to front-end spreads. In 2011, the Fed was anchored at the ELB and double dip recession fears were prominent, limiting scope for global steepening. Conditions are not too different today, with most scope for higher yields coming via steepening in Z2/Z3 Eurodollars, more so than further out. In this context of bounded U.S. 2s/10s, and still-wide 10-Year spreads to USD, any release to higher AUD yields on the rough template of 2011 should in our view be concentrated in the 5-Year sector. We pay the belly of AUD 2s/5s/7s IRS at -7.1bp.”
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.