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Free Access*** Spds running wider across the board,...>
US SWAPS: *** Spds running wider across the board, intermediates rebound from
Wed's post FOMC narrowing (see recap for midweek spd volatility story). 3Y spd
anomaly, Bbg currently has >3.0bp tighter at 9.42 -- appr half that move is in
error, other platforms show midpoint around 11.12. Still significant divergence
from balance of spds. One desk points out "Jan 22s are cheap, so there is some
roll effect" contributing, in addition to sellers of cash 3s. Latest spds:
Time (ET) 2Y Swap/Mid 5Y Swap/Mid 10Y Swap/Mid 30Y Swap/Mid
Thu Open +1.81/14.31 +0.62/8.31 +0.69/2.69 +1.69/-11.81
Wed 3:00 +0.50/13.75 -1.00/7.75 -1.00/1.25 +0.56/-14.00
Wednesday recap: A lot of volatility for spds on the day, levels currently
mixed, well off second half wides to mildly wider in wings vs. tighter 5s-10s.
Spds gapped wider into midday. Move corresponded w/midday turn in rates, large
payer 2s at 2.79062% including decent selling in Eurodollar Reds (EDH0-EDZ0),
heavy flurry two-way fly trades: 2s6s7s payer, 2s5s6s receiver, 2-way 3s4s5s,
3s4s7s and 3s4s6s receiver, 5s6s7s receiver and 5s7s10s receiver flys.
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.