After inverting for the first time back....>

US SWAPS: After inverting for the first time back in early July (and holding

mostly inverted since) the 2Y spd has climbed steadily off inversion since late

last Fri to mid/early July levels -- likely due to cooling funding pressures and

gradually improving SOFR liquidity and rolling from traditional hedging

vehicles. Short end spds gapped wider on post-ISM rally but have since receded

back in range on limited flow ahead Fri's headline employ data. Current spd

levels:

1445        +0.38/+4.44    +0.81/-2.19   -0.38/-9.62    -1.00/-40.75

1200        +1.19/+5.25    +0.88/-2.12   -0.62/-9.88    -1.69/-41.44

1000        +1.81/+5.88    +1.19/-1.81   -0.25/-9.50    -0.56/-40.31

Thu Open    +1.25/+5.31    +0.62/-2.38   -0.12/-9.38    +0.00/-39.75

Thu 0730    +0.38/+4.44    +0.31/-2.69   -0.19/-9.44    -0.38/-40.12

Wed 1500    +0.75/+3.50    +0.50/-3.00   -0.12/-9.75    -0.56/-40.56