*** Very volatile moves for swap spds as...>

US SWAPS: *** Very volatile moves for swap spds as they collapsed sharply across

the curve late morning, just as Tsys were coming off morning highs (amid chatter

of forced unwinds as a fund blows out). Spds currently inverted across the

curve: huge round trip in short end w/2Y mid spd around 19.5 on Monday to near

-6.0 in second half. Intermediate spds off narrows late. Current spd levels:

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

Wed 1600   -4.19/-1.25    -2.75/+1.50   -2.88/-0.12    -4.88/-47.88

1330       -5.44/-2.50    -5.56/-1.31   -4.25/-1.50    -5.00/-48.00

1230       -4.88/-1.94    -6.12/-1.88   -4.88/-2.12    -6.12/-49.12

1100       -3.06/-0.12    -1.19/+3.06   -1.00/+1.75    -3.25/-46.25

1000       +0.38/+3.31    +1.19/+5.44   +0.00/+2.75    -2.12/-45.12

0900       +0.81/+3.75    +1.06/+5.38   -0.25/+2.50    -1.88/-44.88

Wed Open   +0.12/+3.06    +0.88/+5.12   -0.25/+2.50    -1.12/-44.12

Tue 1500   -3.75/+5.00    -2.44/+5.81   -4.00/+4.00    -6.00/-40.50