Lot of vol for short end spds on day:......>

US SWAPS: Lot of vol for short end spds on day: reversed sharply wider levels to

tighter by midday, a huge turn-around in short period of time as Tsys pared

gains. Rebounded wider again late as Tsys looked to trade higher again. Earlier,

intermediates to long end extended move wider. Decent two-way flow w/better

paying in 2s and 5s last hour, payer in 10s at 0.54625%, 2s5s10s receiver fly.

Current spd levels:

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

Mon 1500   +1.75/+14.62   -0.50/+12.00  +3.00/+10.75   +2.25/-31.00

1300       -0.75/+12.12   -0.44/+12.06  +3.25/+11.00   +2.75/-30.50

1145       -1.25/+11.62   -0.31/+12.19  +3.31/+11.06   +3.00/-30.25

1000       +5.12/+18.00   +3.62/+16.12  +5.75/+13.5    +5.00/-28.25

Mon Open   +6.62/+19.50   +2.38/+14.88  +3.75/+11.5    +3.00/-30.25

Fri 1500   +6.88/+15.38   +5.12/+11.75  +6.12/+6.75    +4.75/-35.50

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