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/SWAPS: Citi Like Long Buxl Swaps

BUNDS

Citi note that “historically, some substitutability logic between chasing convexity in swaps vs bonds has tended to kick in at these levels. And given the negligible relationship between Buxl spreads and duration - which we see as a valuable feature given the bullish bias of our model portfolio - we like the idea of buying Buxl ASW spreads (vs 6s) in invoice format for June delivery.”

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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