Since the US market went home,......>

US TSYS SUMMARY: Since the US market went home, the TY contract has flat-lined

and net yield movements have been less than +0.5bp across the entire yield

curve. The yen and the usual risk-trade suspects have been eminently

directionless.

- The worst performing security on the day is the TUZ7 CTD, the Sep-19 with a

0.6bp rise in yield.

- It must be said that swap spreads, breakevens and cross currency basis swap

rates are all almost unchanged. Movements in EGB markets have also been quite

mild.

- Attention is on the $26bln 2Y note auction later today, which will come a few

hours before a Yellen speech in which she will outline views on inflation,

uncertainty and monetary policy. Regarding the 2Y auction, one trader pointed

out "The 2-Year note has already been hurt the most as its around the cheapest

levels since 2008".

- The data calendar is fairly light in the US today.