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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