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J.P.Morgan Recommend Feb-39/Nov-43 Flattener

US TSYS

Late on Friday J.P.Morgan suggested noted that “securities in the 12- to 17-year maturity bucket are generally looking rich to the par curve, on both an outright yield error basis as well as relative to 3-month average yield error. The opposite is true for securities around the 20-year maturity point, which look cheap to the par curve, and to recent averages. In particular, we think, the 3.5% Feb-39/3.75% Nov-43 curve appears too steep relative to the shape of the 10s/20s Treasury curve. Hence, we recommend 100:96 weighted 3.5% Feb-39/3.75% Nov-43 flatteners.” The recommendation came with the weighted spread sitting at 5.8bp

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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