Spds running tighter by the bell,..........>

US SWAPS: Spds running tighter by the bell, directional w/ Tsy ylds, spds are

at/near lows w/2s-5s extending move late. moderate flow includes spec acct payer

unwinds in 2s-5s in second half, limited deal-related flow as issuers ply the

sidelines on risk-off move in rates. Current levels:

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

Mon 1500    -1.25/+4.50    -1.25/-0.75   -0.69/-5.75    -1.12/-32.38

1400        -1.06/+4.69    -0.88/-0.38   -0.69/-5.75    -1.12/-32.38

1200        -0.81/+4.94    -0.88/-0.38   -0.38/-5.44    -1.00/-32.25

1000        -0.50/+5.25    -0.62/-0.12   -0.25/-5.31    -0.94/-32.19

Mon Open    -0.75/+5.00    -1.00/-0.50   -1.19/-6.25    -1.25/-32.50

Mon 0715    -0.50/+5.25    -0.75/-0.25   -0.94/-6.00    -1.00/-32.25

Fri 1500    -0.25/+5.88    -0.62/+0.00   -0.75/-5.75    -0.38/-31.75

Friday recap: Spds tighter all day after steady/mixed open, waves of two-way

swap-tied flow in 2s and 5s leaned towards better receivers in first half, prop

and real$ receivers in 5s and 10s later in session.