At about 1615GMT yesterday, bonds...>

US TSYS SUMMARY: At about 1615GMT yesterday, bonds prices stopped going down at

the same time as equities and concluded it was time to shift from a QE unwind

trade to a risk-trade. As such, for the past 18 hours Treasury prices and

equities have largely moved in opposing directions.

- As a result, the Treasury market rally seen in late US trade and Asia came to

a halt as the major equity market rout came to a halt at around 0500GMT. We

heard that dynamic-hedging of the VIX was responsible for quite dramatic equity

market conditions close to the US close. Asian trade in Treasuries was described

as like playing pinball. Since then the S&P mini index future has gained 3.7%

and at one point the 10Y yield has risen 13bp from its lows. Some of that yield

rise has since been taken back.

- Naturally, the big market movements prompted some large block trades and there

was a 10,475 TYH8 contract purchase against 4499 RXH8 (duration-weighted). Swap

market volumes were modest although many old trades were cut.

- There are no significant data releases today aside, just trade balance and

JOLTS. However, the quarterly refunding gets underway with E26bln of 3Y notes.