US Swaps:

By William Sokolis

     CHICAGO (MNI) - U.S. dollar swap spreads

Ahead midday, the 2-year spread was 1.38 basis points (bps) wider at 25.88, the

5-year 0.88 bps wider at +4.12, the 10-year 0.88 bps wider at -14.88, the

30-year 0.38 bps wider at -54.62, levels via Bloomberg.

US DOLLAR LIBOR: Latest settles, 

* O/N -0.0013 to 1.9337% (+0.0057/wk)

* 1 Month -0.0083 to 2.0935% (-0.0042/wk)

* 3 Month -0.0013 to 2.3343% (-0.0045/wk)

* 6 Month -0.0019 to 2.5006% (-0.0069/wk)

* 1 Year -0.0081 to 2.7628% (-0.0140/wk)

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

3:00        +0.07/25.64    +0.50/15.38    +0.00/+7.31     +0.63/-5.93

1:00        +0.05/25.62    +0.12/15.00    -0.31/+7.00     +0.25/-6.31

11:00       +0.06/25.19    +0.06/14.94    -0.31/+7.00     +0.62/-5.94

Wed Open    +0.31/25.44    +0.00/14.88    -0.25/+7.06     +0.06/-6.50

Wed 7:00    +0.44/25.56    +0.19/15.06    +0.00/+7.31     +0.00/-6.56

Tue 3:00    -0.31/25.88    +0.00/14.62    -0.12/+6.62     +0.06/-7.12

Tue Open    -0.44/25.75    -0.12/14.50    -0.25/+6.50     -0.31/-7.50

Mon 3:00    -0.38/26.31    -0.06/14.69    +0.00/+6.75     -0.25/-7.31

Mon Open    -0.88/25.75    -0.50/14.25    -0.31/+6.44     -0.69/-7.75

Fri 3:00    -0.38/26.44    +0.00/14.62    +0.00/+6.50     -0.19/-7.62

Fri Open    -0.12/26.69    -0.12/14.50    -0.31/+6.19     -0.19/-7.62

Thu 3:00    +1.25/26.94    +0.62/14.62    +0.31/+6.44     -0.50/-7.50

Thu Open    +0.62/26.31    +0.50/14.50    +0.38/+6.50     +0.00/-7.00

Wed 3:00    +0.44/25.81    -0.31/14.12    -0.81/+6.00     -0.81/-6.88

Wed Open    +0.06/25.44    -0.12/14.25    -0.31/+6.50     -0.19/-6.25

Spds currently mildly wider in short end to steady out the curve, short end

wider (quoted over new issue), 

Latest spd levels:

* 2Y  -0.31/25.88

* 5Y  +0.00/14.62

* 10Y -0.12/6.62

* 30Y +0.06/-7.12

Tuesday recap: Spds turn steady/mixed in late trade, unwinding earlier narrowing

on decent two-way flow: rate paying in 2s (2.7925%), 3s (2.8602%), 5s (2.894%)

and 6s (2.8975%); receivers in 4s (2.8775%) and 10s (2.93894%); spd curve

steepeners in  2s3s, 3s10s and 5s10s, flatteners in 2s4s. Earlier flow includes

2-way 3s4s curve action, 2s3s steepener and decent rate receiving in 1s and 5s. 

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

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