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A relatively limited session in terms of...>

US SWAPS
US SWAPS: A relatively limited session in terms of reported flow. Swap rates
ticking higher, with the belly leading for the majority of the session.
- Latest spd levels:
- 2Y +0.73/13.73
- 5Y unch./8.25
- 10Y +0.03/3.00
- 30Y +0.38/-18.25
- Trades of note included:
- At 00:23GMT there appeared to be a USD100mln receiver of USD 5Y at 2.62937%
- At 01:04GMT there appeared to be a USD100mln receiver of USD 5Y at 2.63608%
- At 01:24GMT there appeared to be a USD51.2k DV01 5Y-30Y STEEPENER at 22.45bp
- At 02:02GMT there appeared to be a USD69.8k DV01 5Y-30Y STEEPENER at 22.37bp
- At 03:36GMT there appeared to be a 10Y-20Y-30Y Fly, paying the belly, hard to
be sure of size
- At 04:11GMT there appeared to be a USD51.4k DV01 10Y-30Y STEEPENER at 11.25bp
- At 06:07GMT there appeared to be a USD50.3k DV01 20Y-30Y STEEPENER at 0.375bp
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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