Almost non-stop strength for........>

US TSYS SUMMARY: Almost non-stop strength for Treasuries since the US market

went home. There is a decent risk-off wind blowing through the markets with

commodities, energy and equity markets trading lower.

- There is a very strong correlation between the yen and the 10Y Treasury yield

that has resumed this week.

- Currently, the 10Y yield is 3.4bp lower at 2.338%, although UST swap spreads

are fairly stable across the yield curve.

- Flows have seen a lot of flattener trades in the swap market, mostly at the

front end of the yield curve.

- The 2-10Y cash Treasury curve has also managed to achieve its flattest level

for a decade at 67.2bp, mostly because of the 2-5Y reaching a new low.

- US CPI is the big release for this week and will print at 0830 Eastern Time.

Given the attention upon core CPI weakness, there is ample space for a strong

market reaction to any surprise. Trump has also promised a big announcement,

which could potentially influence the risk trade.