JPMorgan Econ FI-Interest Rate Derivatives (P)Pi Day-107059392

SriniRamaswamyAC(1-415)315-8117PhilipMichaelides(1-212)834-2096NorthAmericaFixedIncomeJPMORGANsrini.ramaswamy@jpmorgan.comphilip.michaelides@jpmchase.comStrategyJ.P.MorganSecuritiesLLCJ.P.MorganSecuritiesLLC15March2024IpekOzil(1-212)834-2305ArjunParikh(1-212)834-4436ipek.ozil@jpmorgan.comarjun.parikh@jpmchase.comJ.P.MorganSecuritiesLLCJ.P.MorganSecuritiesLLCInterestRateDerivatives(P)PiDay•Policyuncertaintyappearstobemaximallyelevatedwithmarketsattachingsignificantcredencetodifferentpossiblepathsthatinvolvemultiplecuts,onecutoronehikebyyear-end.Thisimpliesthatpolicyexpectationscanbevolatile,producinglargeswingsinforwardrates,butalsorangeboundandmean-reverting•Thisbackdropisfavorableforcarrytradesontheyieldcurveandwecontinuetorecom-mendyieldcurveboxtradesthataredesignedtoisolatecarryandrelativevalue,whilehedgingoutmacrocurverisk...•…initiateGreens/Bluessteepenerpairedwith55%riskinSFRM5/3Mx5Yswapcurveflatteners•…initiate10s/20sconditionalsteepenerinaselloffwith9Mexpirypayerswaptions.OptionsmarketscurrentlyallowforthistradetobeconstructedpremiumneutralatimpliedcurvelevelsbelowATMFandspotcurvelevels•Aswehadinto2QandaperiodofsignificantnegativeT-billnetissuance,werecom-mendinitiatingwidenersinthe3-yearsectortotakeadvantageofthesteepup-slideinswapspreadsasissuesapproachthetwoyearwindow•Wemaintainourwideningb...