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USDCAD TECHS

Watching The 50-Day EMA

AUDUSD TECHS

Bearish Focus

MONTH-END EXTENSIONS

Updated Barclays/Bbg Extension Estimates for US

US TSYS

Late Session Selling

US SWAPS
US SWAPS: *** Spds mixed by the bell, wings wider vs. tighter intermediate spds
on late supply hedge unwinds. US corporate, supra-sovereign and Tsy note supply
as well as some formosa issuance sources generated some decent hedging on
session, late $460M 2Y receiver at 1.56329%. Earlier 2-way in 2s and 5s. OTC and
exchange traded option vol weaker across the surface; decent volume, renewed
buying low delta puts on another sell-off in underlying. Latest spread levels:
* 2Y +1.25/23.25
* 5Y -0.38/7.00
* 10Y -0.31/-4.81
* 30Y +0.06/-35.12