Spd collapse directional with rise in......>

US SWAPS: Spd collapse directional with rise in Tsy ylds this morning. Some

fast$ receivers saw early opportunity midday Monday to get in ahead of move

while sources report better real$ receiving in 5s-10s overnight, bank portfolio

receiving in 30s. Current spd levels:

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

Tue 0730   -1.38/+7.38    -4.62/+3.62   -4.94/+3.06    -6.75/-41.25

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

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

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

Monday recap: 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.