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 +0.0024 to 1.9172% (+0.0037/wk)

* 1 Month -0.0052 to 2.0716% (+0.0026/wk)

* 3 Month +0.0020 to 2.3388% (-0.0027/wk)

* 6 Month +0.0061 to 2.5286% (+0.0044/wk)

* 1 Year +0.0089 to 2.8166% (+0.0150/wk)

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

Thu Open    +0.50/19.75   -0.25/14.50    +0.12/5.38     +0.06/-7.00

Thu 7:30    +0.86/20.12   -0.25/14.50    +0.12/5.38     +0.06/-7.00

Wed 3:00    -0.69/19.25   -0.62/13.00    -0.31/5.25     -0.12/-7.00

Wed Open    -0.19/19.88   -0.33/13.27    -0.25/5.31     +0.31/-6.56

Tue 3:00    -0.19/21.44   +0.12/13.50    +0.31/5.44     +0.75/-7.00

Tue Open    -0.19/21.44   -0.31/13.06    -0.38/4.75     -0.38/-8.12

Mon 3:00    -0.95/22.65   -0.94/13.69    -0.69/5.56     -1.06/-7.44

Mon Open    -0.47/23.12   -0.25/14.38    -0.12/6.12     -0.12/-6.50

Fri 3:00    +1.06/23.38   +0.06/14.75    -0.62/6.25     -1.62/-6.25

Fri Open    +0.62/23.88   +0.06/14.75    -0.19/6.69     -0.62/-5.25

Thu 3:00    +0.62/23.25   +0.44/14.56    +0.12/6.81     -0.25/-4.62

Thu Open    +0.25/22.88   +0.09/14.19    +0.00/6.69     -0.12/-4.50

Spds running mostly wider bank portfolio 2-way in front end, payer in 2s at

2.86375%, receiver in 5s at 2.9675%, 2s3s steepener, 2s3s5s and 2s3s7s

flys/receiving belly. Latest spd levels:

* 2Y  +0.50/19.75

* 5Y  -0.25/14.50

* 10Y +0.12/5.38

* 30Y +0.06/-7.00

Wednesday recap: Spds running modestly tighter by the bell, at/near low end

narrow range. Light deal-tied hedging on day added to flow along w/two-way in

2s-5s, late rate payer in 2s at 2.8485%, and 2s3s5s fly/receiving belly. 

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$]