EQUITIES: US Cash Opening Calls

Late on Friday J.P.Morgan recommended 2-Year swap spread wideners.

• They reasoned that “swap spread volatility is back to year-to-date lows, making wideners attractive from a carry perspective. The 2-Year sector also offers the most favorable risk-adjusted carry relative to other sectors. Moreover, T-Bill supply in July was well digested from money funds and demand is likely to continue, which will likely keep funding conditions orderly through the remainder of the TGA rebuild phase. Lastly, front end swap spreads appear narrow to fair value”.

• +9,000 TYU5 111-24.5, buy through 111-24 post-time offer at 0859:52ET, DV01 $796,000.
• The 10Y contract trades 111-23 last (+4).

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