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Swap spreads are trading modestly..........>

US SWAPS
US SWAPS: Swap spreads are trading modestly tighter, with flows seen lower than
yesterday so far today. Main highlights overnight have been a 2Y-10Y flattener
in USD60.7k DV01 and a payer of a $210mln 2Y swap. While there appeared to be a
payer in the belly of a 9Y-10Y-12Y swap fly for $231.2k DV01. Latest spread
levels:
* 2Y -0.18/25.70
* 5Y -0.41/7.65
* 10Y -0.32/-4.51
* 30Y -0.44/-32.88
Thursday recap: Swap spreads traded wider at the bell with the exception of the
2-year which was slightly tighter. Main takeaway; there were a number of USD
swap curve flatteners seen in 3-5Y and one large 5-10Y flattener during London
session. While During NY hours there appeared to be a payer in the belly of a
USD163.2k DV01 8Y-9Y-10Y swap fly.

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