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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.
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Free AccessVIEW: J.P.Morgan were "pleasantly...........>
US TSYS: VIEW: J.P.Morgan were "pleasantly surprised with the level of end-user
demand in today's 20-year auction, though it remains to be seen whether it will
be sustained in coming months. That being said, we think there is value in the
20-year sector. The 20-year sector is trading near its cheapest levels of the
past 5 years versus a 50:50 combination of 10- and 30-year Treasuries. Now at
least some this cheapening reflects the decline in long-term yields and curve
steepening at the long end. However, the 20-year sector offers more yield per
unit of duration than surrounding tenors at the long end of the curve. Thus, we
recommend overweighting the 20-year bond versus the wings, and recommend buying
the new-issue 20-year versus a 33:65 curve- and level-neutral weighting of
10-year notes and 30-year bonds:
- Sell 33% risk, or $17mn notional of 0.625% May-30s (yield: 0.678%)
- Buy 100% risk, or $28.2mn notional of 1.125% May-40s (yield: 1.175%)
- Sell 65% risk, or $13.5mn notional of 1.25% May-50s (yield: 1.398%)
- Weighted spread is 4.7bp. One-month weighted carry is 0bp and roll is 0.6bp"
To read the full story
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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.