HALISTER1: JPM Initiates UST Long-End Curve Steepener Ahead of Auctions

JPM Initiates UST Long-End Curve Steepener Ahead of Auctions

(Bloomberg) -- Recommend level-neutral 7s30s steepener given historical long-end underperformance into bond auctions, JPM strategist Jay Barry says in a note.
  • Ahead of past 6 30Y auctions, 7s30s curve has steepened as much as 2.2bp on average, with the pre-auction steepening occurring before 5 of the last 6 auctions
  • Curve looks “modestly too flat” vs medium-term inflation expectations and variable annuity hedging requirements
  • Trade expressed via buying 81% risk 2.125% Mar24 vs selling 100% risk 3% Feb47
  • NOTE: U.S. to auction 30Y bonds on April 12

Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Jay Barry (JPMorgan Chase & Co)

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