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*** Spds ratcheting tighter/spd curve......>

US SWAPS
US SWAPS: *** Spds ratcheting tighter/spd curve adding to prior day's steepening
with the short end leading the move (opposed to Thu's long end lead
widening/steepening). The 2Y spd currently back to early Feb level (lows for
year appr 17.5 during January). Decent rate receiving/payer unwinds in 2s as
front end of Eurodollar strip surges (3M LIBOR -0.0125 to 2.3425%, -0.0265/wk)
w/others fading the move via paying in 2s around 2.7675, receivers in 1s
(2.54875-2.55%), $214k 2s3s7s fly, paying 7s. Latest spd levels:
* 2Y  -2.25/22.31
* 5Y  -1.62/9.75
* 10Y -1.12/3.62
* 30Y -0.62/-8.62

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