COMMENTS

EUR SWAPS
Pretty subdued mkt yest after last week's volatile session. Better receiving
in 5yr sector took swap spreads narrower by 1.5bps & brought 10yr and 30yrs
in heading for 1bps too. With the 5yr sector underperforming again on the
curve yest in both swaps and cash, 2-5's steepened 1.5bps, 5-10's flattened
1bps & the 2-5-10's fly retracted up to 8bps again. The only major swap flow
was 400mln 7yrs on an o'right basis, Japanese payer and looked to be related
to an option structure. Cedulas Cajas 2.5bn 7yr due to be priced today, do
expect to be swapped, although how much will be bought on asset swap so
offsetting that flow. This morning, broadly quiet, 2yr and 5yr outperforming
led by futures, swap spreads uo to 0.75bps wider in both & 10yr unch so far.


GOVT ISSUANCE
Date 		Day		 Issue 			Size
22-Nov-01 	Thursday 	France 5-Year BTAN 	3.50 Expected
				Reverse Auction 		2.00 Maximum
27-Nov-01 	Tuesday	Greece 10-Year GGB 	1.50 Expected
29-Nov-01 	Thursday 	Italy 3-Year BTP 		1.00
Expected
				10-Year BTP 		2.00 Expected
05-Dec-01	Wednesday 	Spain 5-Year Bono 	1.00 Expected
				15-Year Bono 		0.50 Expected
06-Dec-01 	Thursday 	France 10-Year OAT 	2.00 Expected
				15/30-Year OAT 		0.75 Expected
07-Dec-01 	Friday 	Spain 10-Year Bono 	1.00 Expected
Over the past week, government issuance has totalled about Eur14.8bn; it has
been concentrated in the five-year sector (about Eur11bn), with the
reopening of the Bobl138 and a large five-year reopening in Italy. This
week, supply will be lighter, with only the launch of the new five-year BTAN
3.75% Jan 2007 in France (Eur3.5bn expected). On top of this, France will
proceed to another round of buy-backs: in the reverse auction, the OATs 4%
April 2009, 4% of October 2009, and 5.5% April 2010 will be bought back for
a maximum total amount of Eur2bn. The following week, auctions are scheduled
in Greece and Italy (Eur4.5bn expected).

LEVELS (close to close, ex basis)

SWAP CURVE
GBP/EUR(EUR convention)
	      today 	  t-1
5y5y		 -22		 -24 
15y15y	 -147		 -148
10/30?	 -39.0	 -40.0
10/30E       +45.5	 +45.1	 

EUR SWAP SPREADS
5y:  Bobl 138	25.6  1.6 narrower
10y: Jan 11 bund	33.8  0.8 narrower
30y: Jan 31 bund	22.2	0.9 narrower

GBP SWAP SPREADS
5y:	8h Dec 05   54.0  unchd
10y:	9 Sep 11	48.0	1.0 narrower
30y:	6 Dec 28	34.0	3.0 narrower

EUR SWAP VOLATILITY
3m into 10yr	14.3 	0.5 higher
1y into 10yr	12.9 	0.4 higher
2y into 10y		12.4 	0.1 higher
5y into 5y		12.2	0.1 higher
5y into 25y		10.3	0.1 higher	
10y into 20y	9.7	0.2 higher
5y5y swaption/5x10 cap spread	2.5

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