### POV, Citing seasonal surge in..........>

US SWAPS: ### POV, Citing seasonal surge in corporate issuance, Citigroup

strategists are giving nod to 5yr spds tighteners from now to just after Labor

day (Sep 4) saying the sector has narrowed 8bp median over past 5 years. Citi

prefers to "position for this using LIBOR spreads as the historical spread

tightening was less prominent in OIS spreads." If that were to play out

optimally, the 5yr spd (+7.5 currently) would be back to steady/inverted levels.

Taking a look at historical closing levels from mid August to early September

over the last 5 years, the median change is closer to half that at 4.4 bps. A

target around 3.0 from the current 7.5 seems more realistic, particularly given

recent geopolitical concerns that can quickly spur risk-off paying as witnessed

last week.