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Spds running tighter on very light.........>

US SWAPS
US SWAPS: Spds running tighter on very light volume: $152.6k 2Y-3Y-4Y Fly,
paying the belly and $76.3k DV01 2Y-4Y STEEPENER noted earlier. Latest spread
levels:
* 2Y  -0.94/19.81
* 5Y  -0.19/4.31
* 10Y -0.19/-2.44
* 30Y -0.38/-22.38
Friday recap: Spds mostly tighter by the early close, spd curve flatter heading
into the extended holiday weekend. Earlier flow included $200M payer in 5s
around 2.2974-2.29232% and $301.4k 4Y-5Y-10Y Fly, paying the belly. Coming into
the session, spds were running marginally mixed in the short end to steady out
the curve on light curve flow, 4s5s and 7s10s steepeners. OTC vol steady/firmer
into extended holiday weekend, gamma outperforming.

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