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*** A lot of volatility for spds on the....>

US SWAPS
US SWAPS: *** A lot of volatility for spds on the day, levels currently mixed,
well of second half wides to mildly wider in the wings vs. tighter 5s-10s. Spds
gapped wider into midday. Decent round trip across the curve (range still off
last week Mon's move when short end gapped tighter by over 3bp). Move
corresponded w/midday turn in rates, large payer 2s at 2.79062% including decent
selling in Eurodollar Reds (EDH0-EDZ0), heavy flurry two-way fly trades: 2s6s7s
payer, 2s5s6s receiver, 2-way 3s4s5s, 3s4s7s and 3s4s6s receiver, 5s6s7s
receiver and 5s7s10s receiver flys. Latest spds:
Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid
Wed 3:00    +0.50/13.75   -1.00/7.75     -1.00/1.25    +0.56/-14.00
1:00        +0.75/14.00   +0.38/9.12     +0.81/3.06    +2.62/-12.50
10:45       -0.06/13.19   -1.31/7.44     -0.94/1.31    +0.12/-14.44
9:30        -0.25/13.00   -1.06/7.69     -0.62/1.62    -0.06/-14.62
Wed Open    -0.88/12.38   -0.88/7.88     -1.00/1.25    -1.19/-15.75
Tue 3:00    -1.19/13.44   -1.75/8.50     -1.50/2.00    -0.75/-14.75

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