*** Wow- some really volatile moves for....>

US SWAPS: *** Wow- some really volatile moves for swap spds as they collapsed

sharply across the curve about 90 minutes ago, just as Tsys were coming off

morning highs. Spds currently inverted across the curve: huge round trip in

short end w/2Y mid spd around 19.5 on Monday to near -2.0 now. Current spd

levels:

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

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

Tuesday recap: Spd collapse directional with rise in Tsy ylds Tuesday,

accelerated into the close w/2Y inverting vs. the 5Y spd. Carry-over fast$

receivers in short end early, better real$ receiving in 5s-10s, bank portfolio

receiving in 30s.