Spds wider by the bell, unwinding appr.....>

US SWAPS: Spds wider by the bell, unwinding appr half Mon's sharp

collapse/inversion extension that leaked back into the short end. Short end

reversed earlier widening, making new all-time inverted low. Decent two-way flow

on net aside from rate locks and pre-auction short sets includes: rate and spd

paying in 2s, 3s, 4s, 5s and 10s earlier, receiving in 3s, 4s, 5s and 7s more

recently, 3s/4s/5s receiver fly in the mix. Latest spd levels (Net change/Mid

lvl):

Time (ET)   2Y Swap/Mid    5Y Swap/Mid   10Y Swap/Mid   30Y Swap/Mid

Tue 1500    +0.92/0.20     +2.12/-5.22   +2.25/-9.90    +2.88/-38.97

1200        -0.55/-1.27    +0.97/-6.38   +1.17/-10.97   +1.42/-40.42

1100        +0.35/-0.38    +1.10/-6.25   +1.17/-10.97   +1.22/-40.62

0930        +0.91/0.18     +1.05/-6.30   +1.14/-10.94   +0.43/-41.42

Tue Open    +1.38/0.65     +1.32/-6.02   +1.40/-10.75   +0.65/-41.20

Mon 1530    -2.81/-0.25    -3.06/-6.50   -3.94/-11.69   -4.88/-42.38