Spds continued to extend inversion, 2Y.....>

US SWAPS: Spds continued to extend inversion, 2Y at new all-time low, in-line

w/decline in Tsy ylds, spds did not bounce even as rates pared gains after weak

10Y auction. Flow included decent deal-tied rate locks, fast$ payer unwinds in

shorts to intermediates. Latest spd levels (Net change/Mid lvl):

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

Wed 1500    -2.69/-2.62    -2.50/-7.81   -2.62/-12.62   -2.50/-41.25

1330        -1.27/-1.21    -2.06/-7.38   -2.10/-12.10   -1.75/-40.50

0900        -1.27/-1.75    -2.06/-7.18   -2.10/-11.43   -1.75/-40.50

Wed Open    -1.27/-2.19    -2.06/-7.73   -2.10/-11.88   -2.10/-40.85

Tue 1500    +0.92/0.20     +2.12/-5.22   +2.25/-9.90    +2.88/-38.97

Tuesday recap: Spds wider by the bell, unwinding appr half Mon's sharp

collapse/inversion extension that leaked back into the short end. Short end

reversed earlier widening, making new all-time inverted low. Decent two-way flow

on net aside from rate locks and pre-auction short sets includes: rate and spd

paying in 2s, 3s, 4s, 5s and 10s earlier, receiving in 3s, 4s, 5s and 7s more

recently, 3s/4s/5s receiver fly in the mix.