The US Treasury market has mostly...>

US TSYS SUMMARY: The US Treasury market has mostly traded sideways since the US

market closed. The 10Y yield is 0.5bp lower than yesterday's close at 2.47%,

with a small flattening of the yield curve. the 10-30Y spread is 0.5bp flatter

today to 34.3bp. This spread is 1bp above the decade low.

- Interestingly, the fund flow into Proshares UltraShort 20Y+ Treasury ETF (a

fund that has double leveraged short 20Y+ Treasuries) has been negative in the

past few weeks; indicative of shorts being covered in the long end of the curve.

- There remains a lot of jostling in value amongst short-dated bills linked to

year end repo pressures and the ongoing debt ceiling issues. One-month bill

rates have leapt 4bp to 1.22%, yet remaining well below the 1.53% GCF repo rate

as investors pin themselves in issues that are perceived as safe.

- There are 2Y FRN and 5Y note auctions due today, which settle on January 22.

- Datawise, the conference board consumer confidence index for Dec and pending

home sales represent the only releases.