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Large reported swap flow focused on fly....>

US SWAPS
US SWAPS: Large reported swap flow focused on fly structures in the early part
of the session as swap rates ticked lower.
- Latest spd levels:
* 2Y +0.55/21.43
* 5Y +0.06/14.50
* 10Y +0.05/6.35
* 30Y -0.06/-10.25
- Trades of note included:
- 2- & 5-Year swaps were passed around in decent enough size early on.
- At 01:24GMT there appeared to be a USD101.3k 2Y-5Y-10Y Fly, receiving the
belly
- At 01:43GMT there appeared to be a USD118.6k 10Y-15Y-30Y Fly, receiving the
belly
- At 01:48GMT there appeared to be a USD99.6k 10Y-12Y-15Y Fly, paying the belly
- At 02:06GMT there appeared to be a USD170mln+ payer of USD 9Y at 3.1592%
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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