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J.P.Morgan: Position for wider front end swap spreads

US SWAPS

J.P.Morgan note that “although 2-Year on-the-run swap spreads appear fair, this is more to do with repo specialness and does not reflect a broader widening of front end spreads. Thus, we see value in front end spread wideners anchored in off the run 3-Year notes.”

  • As such, they recommended paying fixed in 1.125% Jan 15 2025 maturity matched SOFR swap spreads at a swap spread of -17.3bp.
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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