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US SWAPS: *** Spds continue to march wider, short end dragging long end off
early session narrows. Safe-haven/risk-off tone in rates adding to move while
hedges for incoming swappable supply adds to flatter spd curve. Sources report
mild rate paying in 2s, two-way in 2s and 2Y OIS, deal-tied paying in 2s, 5s, 7s
and 10s, two-way rate and spd flow from asset managers fast$ and bank portfolios
in 5s through 10s. OTC vol ratcheted higher on the rate rally, gamma
outperforming longer vega, has scaled back off highs slightly last 30 minutes.
Latest spread levels:
* 2Y +1.06/22.06
* 5Y +1.56/6.81
* 10Y +0.25/-4.75
* 30Y -0.06/-34.31