Mike Schumacher and Boris Rjavinski at.....>

US SWAPS: Mike Schumacher and Boris Rjavinski at Wells Fargo take a look at swap

spread seasonality in their latest Rates Express publication. "The typical

pattern is for swap spreads to widen during the first week or two of bank

reporting, then narrow. However, this 'trend' really seems to be relevant only

for January, April and July."

- Bank issuance patterns would appear to explain this behaviour in swap spreads

and "large banks generally issue less debt in July and October than in January

and April. Lower issuance should imply diminished pressure on spreads, therefore

mitigating the bank seasonal".

- According to Wells, if the TY invoice spread reaches -2bp from the current

-4bp , it will be time to initiate narrower trades.