There was a flurry of activity......>

US TSYS SUMMARY: There was a flurry of activity toward the end of US trading as

heightened roll activity combined with a decent month-end extension. Treasuries

performed strongly and have largely nursed those gains as they sailed through

Asia and early European trade. 

- Over the month-end, repo rates naturally spiked to their highest since the end

of June but are dropping back. 

- The net change in the whole yield curve is tiny today.

- Flows have been fairly limited. At 10:00BST there appeared to be a USD200mln

receiver of USD 3Y at 1.62%, but could well be a dealer hedge trade in reaction

to a 2Y1Y receiver in 500mln+ just 3mins before. Looks like a soft payroll AHE

trade.

- Clearly, the market is biding its time ahead of the big payroll release in

just a few hours time. ISM manufacturing follows soon after.