*** Decent swappable corporate and.........>

US SWAPS: *** Decent swappable corporate and supra-sovereign issuance (>$10B

today), appears adding to/exacerbating the weeks funding concerns as swap spds

have reversed wider levels from the first half to broadly tighter across the

board, 2Y making new all-time inverted lows in late trade (-5.12 vs. -1.31

midmorning). Of note, the NYFR has NOT as yet announced a fourth consecutive

repurchase operation, but given increasing oversubscription last two sessions,

an annc may be imminent. Current spd levels:

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

1430        -1.25/-5.12    -0.88/-8.62   -1.06/-13.88   -0.31/-43.50

1200        +1.06/-2.81    +1.25/-6.50   +1.06/-11.75   +1.50/-41.69

1000        +2.56/-1.31    +1.75/-6.00   +1.38/-11.44   +1.56/-41.56

Thu Open    +1.88/-2.00    +1.25/-6.50   +0.81/-12.00   +1.38/-41.81

Thu 0745    +1.62/-2.25    +0.94/-6.81   +0.62/-12.19   +1.25/-41.94

Wed 1545    -3.62/-4.06    -2.06/-7.56   -1.25/-12.75   -1.12/-42.62