Peter Chatwell at Mizuho recommends a..........>

BTPS: Peter Chatwell at Mizuho recommends a Mar21-Mar23-Mar25 BTP fly (long the

belly)

- He writes that this fly has been cheapening in the past three months in

particular and is close to one-year highs.

- Furthermore, he sees the roll-down as "very appealing in a micro-RV sense, as

we would expect the 2021s to roll up the fitted curve as the 2020s have" but

that the 2023s should roll down. 

- Finally, he says that the 2025 will probably cheapen as it rolls into the 7Y

sector and compete with supply there.

- However, Mizuho points out that using more conventional roll analysis, the

trade rolls flat.