US Treasury prices have a habit.....>

US TSYS SUMMARY: US Treasury prices have a habit of doing very little in the

Asian and early European time zones and last night was no different. The 10Y UST

is 0.5bp lower at 2.383% with a small flattening of the yield curve; this move

is merely pulling back some of the big losses seen yesterday. Sub-1Y paper

appears weaker, perhaps being unloaded ahead of an expected hike in funding

costs by the Fed in 2 weeks.

- Leading into the Eurozone HICP release and immediately afterwards, the

Treasury market followed the EGB market higher. Some time before that at

0921GMT, there was a 2.5k TYH8 bought at 124-09 and there was also a flurry of

Bund blocks that ran through the market.

- The swap spread curve is moving today. At the front end, the 2Y spread is 1bp

wider at 18.9bp and while there is some flattening of the spread curve even the

10Y is 0.5bp wider although stopping just short of positive territory.

- Today is first notice period for the futures contracts, which in an upward

sloping yield curve prompts early rolls. As of yesterday, roll percentages were

close to 90% across all contracts, with the FV lagging at 88.5%.