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OPTIONS

Larger FX Option Pipeline

PIPELINE

$3.75B Chile 3Pt Lead Thu's Issuance

MEXICO

May Retail Sales Slightly Ahead Of Estimates

US SWAPS
US SWAPS: *** Spds running steady/mixed after the bell, holding a narrow range
all session amid modest two-way flow in the 5s and 10s.. Earlier mixed flow
included insurance portfolio paying in the intermediates, fast$ spd curve
steepeners (5s vs, 10s and 30s) and asset manager receiving 2s5s10s spd fly.
Desks stymied by absence of seasonal narrowing (supply based) and Tsy curve
steepening in the last couple weeks. While corp issuance has been healthy (appr
$110B total) last two weeks, a majority has proved unswapped, one desk said.
Quiet start for the week, desks plying sidelines into Wed's FOMC annc. OTC and
exchange traded option vol steady to mildly firmer in the short end. Latest
spread levels:
* 2Y +0.25/25.88
* 5Y +0.00/8.50
* 10Y +0.12/-3.06
* 30Y -0.25/-33.31