Spds collapsed in the second half but......>

US SWAPS: Spds collapsed in the second half but are mildly off lows in late

trade. Second half flow included much better receivers in 2s, 3s, 5s and 7s

w/small flurry paying in 5s. Deal-tied hedge unwinds adding to late compression.

After better receiving in the belly overnight, flow included better payers in 5s

(1.77423%) and 10s (1.94875%) as well as 3s4s5s receiver fly. Latest spd level:

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

1445        -1.25/1.81     -1.42/-3.75    -1.22/-8.60   -1.35/-37.75

1315        -1.44/1.62     -1.57/-3.90    -1.27/-8.65   -1.45/-37.85

1130        -0.56/2.50     -0.77/-3.10    -0.92/-8.30   -1.20/-37.60

0945        -0.06/3.00     -0.36/-2.69    -0.43/-7.81   -1.00/-37.40

Thu Open    -0.38/2.69     -0.15/-2.47    +0.07/-7.30   +0.00/-36.40

Thu 0730    +0.06/3.12     -0.15/-2.47    -0.05/-7.42   -0.17/-36.57

Wed 1500    -0.40/3.25     -0.57/-2.04    -0.24/-7.34   +0.12/-36.31