The 10Y US Treasury contract........>

US TSYS SUMMARY: The 10Y US Treasury contract remains choppy in London trading

with the 10Y Treasury yield trading lower by 1bp at 2.450%. The yield curve has

flattened. 

- Thursday`s trading session was weak, despite a pretty significant rally in the

Bund contract after the ECB meeting. The market then ran into a so-so 7Y note

auction but with supply closed, the situation have changed. 

- The market is now looking forward to the month-end extension that is

admittedly a modest 0.07 years. There is also uncertainty leading into the

weekend provided by Spain and so there is a natural desire to buy Treasuries in

case worst-fears materialise.

- Short dated-swap spreads have continued to narrow, possibly still suffering

from the very heavy short-dated high grade issuance this week.

- In the betting, Taylor`s probabilities have dropped back slightly and this

naturally helps Treasuries do well.

- The 2Y yield is trading at 1.619%, the 10Y yield at 2.450% and the 30Y at

2.953%. The swap spreads are also coming in.