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US TSYS SUMMARY: The Treasury market is much calmer today. US officials appeared
to be downplaying Trump's bombastic remarks but the financial markets have not
yet shifted to a risk-on approach.
- The S&P mini index points to a 0.4% decline at the US open and European
bourses are also down.
- Yesterday, saw a lot of buying activity in the Sep-17 TY calls and today that
buying activity appears to have shifted into the Oct-17 calls.
- The 10-Year May-27 (today's first old) yield is down 0.8bp at 2.24%. The other
10-Year issues are not performing quite as firmly, after yesterday's 10Y
refunding auction. Bunds have also been performing well as the risk-on trade
- Normalised swaption volatilities have picked up in the past few days (from
extremely low levels). 3m10Y levels reached 62.6 yesterday and remain close to
that level today.
- Short-dated swap spreads have remained well-bid and the 2Y spread hit 26.4bp,
the highest since May 9th.