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FOREX

FX OPTION EXPIRY (for Monday)

BTP

Underperforms in EGBs

US TSY FUTURES

Yld Curves Extend Steeper

US SWAPS
US SWAPS: Spds hold mixed levels by the bell, spd curve flatter/near lows. Mid-
to late-day flow includes decent paying in 2s at 2.825%, two-way in 10s after
decent round of paying at 2.952-2.956%, 6s10s curve steepener and 4s6s10s fly,
receiving the belly. First half flow included rate paying in 3s, 4s and 5s (appr
$750M nominal) after receiving in 2s (2.83%) and 5s (2.8925%) faded move coming
into the session. Latest spd levels:
* 2Y  +1.06/23.38
* 5Y  +0.06/14.75
* 10Y -0.62/6.25
* 30Y -1.62/-6.25