*** Not surprisingly, spds running.........>

US SWAPS: *** Not surprisingly, spds running tighter w/long end on lows

(inverted) after gapping tighter on Tsy record refunding annc includes larger

than exp $20B 20Y. 10Y spds back to late March levels now. Short end resisting

move with focus more on long end supply -- some desks had expected more bill

supply, likely factor contributing to current support in Eurodollar Whites

(EDM0-EDH1) and Fed Funds futures. That said -- many had est increased bill

supply would help put brakes on drop in 3M LIBOR (-0.0263 to 0.4477%,

-0.0932/wk). Expect further declines in short term. Latest spd levels:

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

1100      -0.62/+11.44   -1.50/+2.75    -3.00/-3.75    -3.75/-50.75

0900      -0.31/+11.75   -0.75/+3.50    -2.25/-3.00    -2.75/-49.75

Wed Open  -0.06/+12.00   -0.25/+4.00    +0.00/-0.75    +0.25/-46.75

Wed 0700  +0.00/+12.06   -0.50/+3.75    +0.00/-0.75    +0.00/-47.00

Tue 1545  -0.88/+12.25   +0.62/+4.38    +0.00/-0.50    -0.25/-47.00