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Spds running tighter, carry-over spd.......>

US SWAPS
US SWAPS: Spds running tighter, carry-over spd curve steepening w/ 3M FRA/OIS
-3.05, 32.80. Flow includes prop acct receiving in 2s, real$ paying
intermediates, bank paying 10s, 5s7s steepener. Latest spd levels:
* 2Y  -1.12/20.62
* 5Y  -1.12/7.75
* 10Y -1.12/2.00
* 30Y -0.56/-9.69
Friday recap: Spds ratcheted tighter/spd curve steeper, adding to prior day's
move w/short end leading the move (opposed to Thu's long end lead widening /
steepening). The 2Y spd back to early Feb lvl (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. Light second half flow continues to fade move, payers in 2s and
3s around 2.76 and 2.86 respectively.

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