Spds back to narrowing, unwinds appr.......>

US SWAPS: Spds back to narrowing, unwinds appr half Mon's bounce after grinding

to new all-time lows last week on forced unwinds/stop-outs. Decent two-way in

2-5s overnight leaning towards better receiving last few hours, spd curve

steepeners in front end counter to bull flattening in rates. Latest spd levels:

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Tue Open    -0.62/2.50     -0.75/-1.25    -0.69/-6.00   -0.50/-31.88

Tue 0745    -0.44/2.69     -0.56/-1.06    -0.50/-5.81   -0.38/-31.75

Mon 1500    +1.62/3.31     +1.25/-1.00    +1.25/-5.69   +1.50/-31.62

Mon Open    +0.44/2.12     +0.75/-1.50    +0.38/-6.56   +0.38/-32.75

Monday recap: After a brief retrace around midday, spds forged wider in the

second half, rebounding off new all-time lows in front tapped last week. Early

directionality w/higher Tsy ylds in first half gave way to rate paying and spd

curve flatteners in 2s vs. 5s and 10s so far, also decent pick-up in deal-tied

hedging.