Free Trial

J.P.Morgan: Sell WNZ1 On CTD Basis

US TSYS

J.P.Morgan note that "the WNZ1 CTD basis net of carry is currently unusually wide at ~4.5/32nds, and the contract has little switch optionality. Sell $50mn notional of the 3% Feb 2047 basis into WNZ1 @ 31/32nds (carry to last trading day 26+/32nds, net basis 4.5/32nds, WNZ1 @ 197-28/32nds). This trade involves selling $50mn notional of the 3% Feb '47s (at a basis-implied price of 122-15.5/32nds) versus buying 307 WNZ1 contracts @ 197-28/32nds."

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

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.