US Treasuries are modestly weaker...>

US TSYS SUMMARY: US Treasuries are modestly weaker in Thursday European late

morning trade, however the majority of the move lower came during Asia hours,

while in Europe they have pretty much been treading water.

- 5-yr, 10-yr and 30-yr US Treasuries are in the region of 1.3bp higher while

the 2-yr is fairing a little better and is only 0.4bp higher.

- Swap rates are 1.3-2bp higher across the curve but volumes going through the

swap markets are fairly low. There looks to have been some paying in 5Y swaps in

the region of $300mln, while a little earlier there appeared to be what looked

like a 10Y/12Y/15Y butterfly swap in $120mln+.

- There is some weakness in Eurodollars with the back-end of white contracts the

worst performer so far. Volumes has been very thin though and markets look to NY

open to given them direction.

- The Treasury market is spared any issuance today and must instead look forward

to a month-end extension of a decent 0.11 years according to the

Bloomberg-Barclays index.