The cash Treasury market has........>

US TSYS SUMMARY: The cash Treasury market has resumed the downward drift that

began on a very illiquid Friday session. Interestingly, the TY future has not

reacted in any significant way to a rally in Bunds and then a sudden drop.

- Contract rolls are the order of the day with most contract rolls around 30-40%

complete as of Friday. First notice is on Thursday. There is some decent

movement on the 2Y note contract roll, which reached 6/32nds today.

- The Treasury curve has resumed its curve flattening with 2-5Y yields up

1.3-1.6bp but the 10Y movement is only 0.7bp higher at 2.35%. the 2-10Y spread

is 59.2bp today, just 1bp from a decade low.

- Today sees 2Y and 5Y note auctions squeezed into the same trading session and

the 7Y follows tomorrow. Short-maturity supply pressure is added to by the usual

3m and 6m bills. 

- However, the market is most concerned by Central Bank speakers this week and

particularly Jerome Powell's confirmation hearing tomorrow.