Citi Recommends FV Swap Spread Tightener Into Labor Day
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
People
Ruslan Bikbov (Citigroup Inc)
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UUID: 7947283
(Bloomberg) -- FV spread vs Libor is likely to tighten between mid-August and Labor Day in anticipation of surge in corporate supply after the U.S. holiday, Citi strategist Ruslan Bikbov says in note.
- Over past five years, spread has tightened by a median 8bp over the time frame
- Recommendation: sell 2,598 FVU7, receive 300m USD matched-maturity Libor swaps at 9.4bp (DV01 $123k); target 1.4bp, stop-loss at 15.4bp
- Main risk to trade is increasing demand for USTs from reserve managers
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
People
Ruslan Bikbov (Citigroup Inc)
To de-activate this alert, click here
To modify this alert, click here
UUID: 7947283