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US SWAPS: Spds running wider, short end leading move amid rather disappointing
late week action. No deal-tied hedging (incoming supply expected to remain muted
next week, partially due to shortened Easter holiday week, but more due to issue
blackout into latest earnings cycle). Light two-way flow, modest fly interest
includes 2s3s10s payer and 5s6s7s receiver. Latest spd levels:
Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid
1:30        +1.25/10.12   +0.19/3.12     +0.19/-1.44   +0.31/-24.94
12:00       +1.12/10.00   +0.00/2.94     +0.12/-1.50   +0.19/-25.06
10:30       +1.06/9.94    +0.06/3.00     +0.06/-1.56   +0.31/-24.94
Fri Open    +1.12/10.00   +0.56/3.50     +0.62/-1.00   +0.62/-24.62
Thu 3:00    -0.12/9.25    +0.00/3.12     +0.50/-1.50   +0.50/-24.75
Thursday recap: Spds still running steady/mixed, narrow range w/long end off
midday wides by the bell. Light/mixed second half flow includes payers in 2s at
2.4475%, receivers in 4s and 5s; 3s4s5s and 3s5s10s receiver flys, 2s3s10,
4s5s6s and 5s7s10s payer flys. Earlier, front end inched off marginally tighter
levels amid rate payers in 2s around 2.4325%, receivers in 10s at 2.4575%.
MNI Chicago Bureau | +1 312-431-0089 |