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US SWAPS: *** Spds running mostly tighter, 2Y balanced at even while rest of
curve extends inversion, ignoring Tsy bounce off lows. Rather limited flow
includes receiver in 2s around 1.520-.529%, receivers in 3s and 4s, payer in
10s. TD Securities offers up plausible opinion on inversion extension that the
Treasury bringing up ultra-long debt past what's currently available is their
attempt at steepening yld curves after 2Y10Y inverted for first time in over 12
years last couple weeks. TD is in line w/other researchers that demand for new
ultr-long issues is limited, while "any issuance will come cheap to the curve
and tighten swap spreads. Any knee-jerk steepening should be overshadowed by
macro fundamentals and Fed policy."
Latest spd levels:
Time (ET) 2Y Swap/Mid 5Y Swap/Mid 10Y Swap/Mid 30Y Swap/Mid
1200 +0.81/+0.31 -0.81/-7.12 -1.00/-11.50 -1.50/-42.38
1030 +0.50/+0.00 -0.69/-7.00 -0.69/-11.19 -1.44/-42.31
Fri Open +0.56/+0.06 -0.25/-6.56 -0.50/-11.00 -0.88/-41.75
Thu 1500 +0.81/-0.12 +0.50/-6.56 -0.25/-10.69 -0.25/-41.00