*** Another volatile session for swap......>

US SWAPS: *** Another volatile session for swap spds, broad ranges as spds

gapped wider/off broadly tighter lows (long end) in response to NY Fed

announcing massive repo liquidity operations ($500B 3M today; $500B each 1- and

3M tomorrow: $1.5T over two days, and $1T every week this month on top of $175B

O/N repo and $45B2W). THat said -- spds are coming off highs last 30 minutes as

Tsys scale back as well. Latest Spd levels

Time(ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

1400       +6.75/+4.25    +5.25/+7.00   +1.75/+1.75    -4.00/-52.00

1330       +9.38/+6.88    +7.00/+8.75   +4.00/+4.00    -1.25/-49.25

1305       +7.75/+5.25    +6.88/+8.62   +4.25/+4.25    -1.25/-49.25

1200       +1.75/-0.75    -0.25/+1.50   -2.00/-2.00    -9.00/-57.00

1000       +4.50/+2.00    +0.44/+2.19   -1.25/-1.25    -6.62/-54.62

Thu Open   +5.25/+2.75    +0.81/+2.56   -1.12/-1.12    -5.50/-53.50

Wed 1600   -4.19/-1.25    -2.75/+1.50   -2.88/-0.12    -4.88/-47.88