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Spread and fly activity has dominated in...>

US SWAPS
US SWAPS: Spread and fly activity has dominated in terms of the larger clips put
through, with swap rates lower, led by the belly. Spds vs. Tsys are tighter from
4 years out.
Latest spd levels:
* 2Y +0.25/15.38 * 5Y -0.15/7.85
* 10Y +-0.29/2.51 * 30Y -0.25/-17.00
- Trades of note included:
- At 00:33GMT there appeared to be a 10Y-20Y-30Y Fly, paying the belly
- At 00:33GMT there appeared to be a USD51.5k DV01 10Y-30Y FLATTENER at 10.625bp
- At 00:45GMT there appeared to be a USD60mln payer of USD 4Y at 2.6103%
- At 00:47GMT there appeared to be a 3Y-4Y-5Y Fly, receiving the belly
- At 01:06GMT there appeared to be a USD210mln receiver of USD 2Y at 2.6813%
- At 01:21GMT there appeared to be a USD130mln payer of USD 2Y at 2.67113%
- At 01:25GMT there appeared to be a USD152.8k 10Y-20Y-30Y Fly, receiving the
belly
- At 02:22GMT there appeared to be a USD93.2k 3Y-4Y-5Y Fly, receiving the belly
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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