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 -0.0009 to 2.1763% (+0.0070/wk) 

* 1 Month -0.0024 to 2.2871% (+0.0074/wk) 

* 3 Month -0.0043 to 2.4445% (+0.0081/wk) 

* 6 Month +0.0038 to 2.6575% (+0.0054/wk) 

* 1 Year +0.0003 to 2.9671% (+0.0038/wk)

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

Tue 3:00    -0.50/19.12   +0.31/13.25    +0.81/5.88    +1.25/-8.50

1:45        -0.31/19.31   +0.25/13.19    +0.69/5.75    +1.06/-8.69

11:00       -0.12/19.50   +0.06/13.00    +0.62/5.69    +0.88/-8.88

9:45        -0.25/19.38   +0.12/13.06    +0.44/5.50    +0.69/-9.06

Tue Open    -0.12/19.50   +0.00/12.94    +0.31/5.38    +0.50/-9.25

Tue 7:30    +0.19/19.81   -0.19/12.75    +0.19/5.25    +0.19/-9.56

Mon 3:00    +1.19/19.88   +0.56/12.56    +0.50/4.75    +0.25/-10.00

Mon Open    +0.81/19.50   +0.25/12.25    -0.12/4.12    -0.31/-10.56

Fri 3:00    -0.25/18.94   -0.44/12.44    -0.62/4.25    -0.25/-10.12

Fri Open    -0.25/18.94   -0.38/12.50    -0.31/4.56    -0.06/-9.94

Thu 3:00    +0.38/18.88   +0.25/12.88    +0.69/5.00    +1.06/-9.94

Thu Open    +1.00/19.50   +0.38/13.00    +0.12/4.44    +0.00/-11.00

Wed 3:00    +0.38/18.62   +0.19/12.69    -0.38/4.41    -1.25/-11.00

Wed 1:00    +0.33/18.56   +0.06/12.56    +0.00/4.79    +0.11/-9.62

Tue 3:00    +0.31/18.00   +1.00/12.50    +0.75/4.75    +1.00/-10.00

Tue Open    +1.12/18.81   +0.56/12.06    +0.06/4.06    -0.38/-11.38

Spds mostly wider by the close, spd curve steeper w/long end leading as opposed

to Mon's front end lead flattening. Deal-tied flow in the mix, rate paying in

intermediates to long end, fast$ and prop acct payer unwinds in short end.

Latest spd levels:

* 2Y +1.19/19.88

* 5Y +0.56/12.56

* 10Y +0.50/4.75

* 30Y +0.25/-10.00

Monday recap: Spds wider across the board, spd curve flatter all day w/short end

leading since 3M FRA/OIS widened out ahead of 3M LIBOR fix (+0.0124 to 2.4488%).

Incoming swappable supply (+$7B Conagra 7-tranche, $1.7B RBC, $1.25B FedEx rate

lock/paying added to move. Overnight flow includes real$ receiving in 7s and

3s5s spd curve flatteners, mild deal-tied paying in the mix. 

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

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