Given the breadth of the widening in the...>

US SWAPS: Given the breadth of the widening in the last few hours, it appears

there is some forced unwinding of narrowers going on. Risk-off and wider

LIBOR/OIS in-line with wider spds across the curve this week -- short end at

levels not seen in just over a year w/2Y spd cracking 13.0. Carry-over rate

paying, receiver unwinds in 2s-10s this morning, 2s10s and 5s10s spd curve

flatteners, light deal tied flow. Current spd levels:

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

1345       +4.00/+12.50   +3.88/+10.50  +5.12/+5.75    +3.75/-36.50

1015       +4.62/+13.12   +3.25/+9.88   +3.75/+4.38    +0.75/-39.50

Fri Open   +3.25/+11.75   +1.75/+8.38   +3.12/+3.75    +0.50/-39.75

Fri 0745   +4.00/+12.50   +1.75/+8.38   +3.12/+3.75    +0.50/-39.75

Thu 1500   +2.19/+7.75    +0.25/+6.25   +0.56/-0.19    -0.50/-41.06