- UST NY Recap: Treasuries closed the day significantly flatter across the curve again on Thursday with 2y and 5y yields 0.8bp and 1.1bp higher respectively, while 10y and 30y yields ended 6bp and 9.5bp lower.  Following initial weakness in the Asian session, Treasuries began to rally after London opened and we heard better overall buying by FM in TYM2 as well as good buying of the belly by RM and we also heard talk of Middle East buying in 2s. As the main session progressed, we heard more buying of the long end by RM, some of which was new positioning and some adding to longs. Ultras which had been lagging the rally, saw a 2k block trade bought at 165-00 which along with the lowest Philly Fed reading since Sep 2011 at -5.8 was the spur for the move higher. Later in the session, we heard more FM and RM buying of the long end as well as bullish option buying – the USN2 151/154 Call spread was bought for ’24 and ’25. TYM2 spiked to the highs of the day on mortgage related buying as well as a block buyer of 3k USM2 at 147-30. The TIPS auction went well, trading through by 5bp, but there was a block seller of 10k TYM2 at 133-19+ which saw Treasuries pull back and was quickly followed by news from Greece that the most recent poll had put the bail-out supporting New Democracy party in the lead. But a Fitch headline suggesting that it may cut all Eurozone sovereigns if a Greece exit from the Euro was near, helped Treasuries close at the highs with yields.

- FED Ops: The Fed are scheduled to buy $4.5-5.25bn in the 8-10y sector, covering the 08/20-05/22 maturity bucket. Analysts note that the fed have focussed on the low coupon 08/20s, 02/21s, 05/21s and 08/21s, with these four issues accounting for a significant majority of the purchases. Analysts also expect the Fed to purchase heavily in the 11/21s in addition to the other frequently purchased issues.

- USTs in Tokyo: The theme overnight has been better selling, we heard a Regional bank seller of bonds straight out of the gates and just as the market absorbed the flow, another larger bond seller emerged  (at least 250mm) which has 10s30s around 1bps steeper. We also heard some smaller RM selling in 10s and 30s. Front-end is slightly better bid, curve trades with a steepening bias.

- European Fixed Income: Bunds to open around 143.94. Fairly quiet day for scheduled events, with just one data release of note at 07:00BST, which is German Producer Prices for April where analysts forecast a m/m increase of 0.3% (vs 0.6% previously), citing that energy prices which are the main driver of PPI have not slowed.  There are some expiries today to be aware of: At 10:10-10:15BST May12 FTSE options expire, followed at 11:00BST when May12 Eurostoxx options expire, then at 12:00-12:05BST May12 Dax options expire and at 15:00BST May12 CAC40 futures and options expire.

- Speakers/Other Events :  At 10:00BST, ECB’s Gonzalez-Paramo (Middle) will  give a lecture on ‘Perspectives from the ECB’ in London.

 - UST NY Recap: Treasuries closed the day flatter across the curve on Wednesday with 2y and 5y yields 0.8bp and 1.0bp higher respectively, while 10y and 30y yields ended 0.5bp and 1.2bp lower.  The focus continued to remain on Greece with various headlines causing Treasuries to be whipped around. To highlight this, one newswire in the late morning, quoted sources as saying that the ECB had stopped monetary operations to some Greek banks which saw Treasuries recover most of the early losses. In the early London session, we heard RM and LM took profits, selling 10s and 30s into the highs, having followed Europe higher. The Treasury curve was at its steepest level as the main session opened, after which we heard very good selling of off the run 10s which was thought to be by Int’l RM. The market settled down after the London market closed, in anticipation of the FOMC’s April minutes which didn’t bring any real surprises and in fact was almost in line with one advisory report released yesterday. Treasuries reacted positively to the headline saying several participants said easing may be needed if the economy faltered, as opposed to ‘a couple’ of participants at the March meeting, as well as to another headline saying one participant said it would be appropriate to extend operation twist. This saw the curve flatten aggressively with 2s10s -1.5bp and 5s30s -2.5bp. We heard some selling of 7s after the release of the minutes, but traders reported the cash market was quiet.

- April FOMC Minutes Recap: The minutes, released on Wednesday showed the number of members supporting additional stimulus increased to “several” from a “couple.” Analysts suggest that considering the almost unchanged level of real yields since the release, they suggest the market is already pricing in a significant chance of further stimulus.

- Supply: The Treasury will reopen the 10y TIP for $13bn. Analysts note that given the recent increased volatility in the marketplace, the risk appetite from tactical investors may be lower than usual. Dealers generally looking for further concession heading into the auction.

- FED Ops: The Fed are scheduled to buy $1.5-$2.0bn in the 24-30y sector, covering the 02/36-05/42 maturity bucket. Analysts note that this Thursday’s long end operation is the first to include the new bond, though it is clear the Fed have chosen not to focus on current issues in operation twist. Recent passes have seen the Fed focus on the 5/37s, 11/39s and the 5/41s.

- USTs in Tokyo: Tokyo opened weaker as we heard the good FM payer from in the 10-12y sector returned, as well as a large seller in the belly from the open, which had rates under pressure through the session (equities high on the back. S&P +7.6, EUR +25 pips). We also heard some light regional bank selling in the long-end.                                            

- European Fixed Income: Bunds to open around 143.20. Quiet day in terms of economic releases, with no key data of note due. It is also market holiday for Scandinavia and Switzerland for Christian Ascension day. Focus likely to be on Spanish supply this morning, as they return to market at 09:30BST to tap the 3y 4.40% 01/15 SPGB, the 3y 4.00% 07/15 SPGB and the 4y 3.25% 04/16 SPGB for a combined €1.5-2.0bn (equivalent to a combined 6k Bund futures). Despite the weakness of Spanish paper in recent weeks, analysts generally expecting the auction to go OK, given the small size to be sold and decent concession on most of the issues.

-Gilts: At 10:30BST, the UK reopens the 2y 5.00% 09/14 for £1.5bn via mini-tender (equivalent to 3k Gilt futures).

- UST NY Recap: Treasuries bull flattened beyond 5y on Monday with 2y yields rising 0.8bp and 5y, 10y, and 30y yields falling 2.7bp, 5.2bp and 6.2bp respectively. Treasuries were well supported on continuing uncertainty over the political situation in Greece with one final attempt to be made by the Greek President tomorrow. If the parties cannot reach a deal by this Thursday, then new elections will be called. Ahead of the main session, we heard Asian CB buying in the 10y sector and Japanese lifer buying 30y. At the start of the main session, we heard CB selling of the front end and some dealer selling of 3s, followed by continued CB buying of 10y as well as 7s. Later in the session, we heard CTA and system accounts adding to longs across FI futures, while we also heard Real Money stopped out of steepeners and more buying of 10s, this time by Int’l Real Money. Dealer talk suggested that this was the pain trade for these Real money accounts.

- US Fed Ops: At 11:00ET/16:00BST, The Fed is scheduled to sell $8.0-8.75bn In the 1.8-2.0y sector, covering the 02/14-05/14 maturity bucket. Previous bid/cover came in at 6.22x. As is usual with sale operations, the Fed tend to sell where there is demand, hence previous focus seems to have little impact on future operations. However, some desks note that in the last operation, the TUM and TUU CTDs both accounted for over a third of the operations, which suggests that dealers and FM accounts are long the TU basis.

- USTs in Tokyo: Some decent volumes overnight with two-way flows across the curve. We heard better buying of USTs in early Tokyo (after initially dipping on equity strength) with Asian RM buying otr10s and CB buying in 3s. From the highs, we heard flows skewed to better selling in 10s and 30s mainly from RM, as some shortening duration trades went through leaving the curve a touch steeper.

- European Fixed Income: No €-govie supply for the day, though we do note at 11:00BST the EFSF will tap the 5y 5.00% 05/17 Note for €1.0bn (equivalent to 6k Bund futures).

At 07:00BST, sees the German release of the flash GDP estimate for Q1 with analysts forecasting 0.1% q/q (vs -0.2% previously), suggesting a return to recession is unlikely following the positive industrial production data and the expansion of the average monthly nominal trade surplus.

Then at 10:00BST, the German ZEW survey is due for release, with analysts forecasting both the Current Situations and Economic Sentiment to drop to 39.0 (vs 40.7 previously) and 19.0 (vs 23.4 previously) respectively due to political instability in the Eurozone.  analysts forecasting 0.1% q/q (vs -0.2% previously), suggesting a return to recession is unlikely following the positive industrial production data and the expansion of the average monthly nominal trade surplus.

Focus on Greece: There is €435m of redemptions due to be repaid by Greece today. With a lot of focus on this it’s worth noting that should they choose not to pay today, they will enter a grace period of 2 weeks, but this will only happen if they signal their intention to pay (usually via an official statement).  If they do not intend to pay then it would likely be considered a default.

- Gilts: At 10:30BST the UK will tap the 13y 5.00% 03/25 Gilt for £2.75bn (equivalent to 30k Gilt futures). Full preview to follow.

The UK Trade Balance follows at 09:30BST with analysts expecting the total balance for March to improve to -£2.9bn (vs -£3.4bn previously). The flash reading for Q1 GDP in the Eurozone is released at 10:00BST with analysts expecting -0.2% (vs -0.3% previously). They suggest that machinery and equipment investment will have been a drag again and destocking and net trade to have also contributed negatively, but consumer spending is expected to have grown due to Germany and France.

-Key Speakers/Events: Eco fin Council meeting starts at 06:45BST with the press conference expected at 12:00BST.

- UST NY Recap: Treasuries closed mixed on Wednesday as 5y yields closed unchanged, 10y fell by 0.5bps and 30y rose by 0.6bps. Early in the session we heard good buying from overseas RM. As peripherals widened, we heard LM stopping out of shorts in 10s and 30s as well as some accounts attempting to sell into the bid in the belly ahead of the supply.  We heard various RM accounts putting on 10s30s steepeners (likely supply related), which had the long-end lagging since NY walked in.  While other RM were good sellers of 3s in the morning. We also heard some outright selling of bonds from macro accts. Given the crowded 10s30s positioning, dealers expecting to see some considerable supply unwinds around the 30y supply which could see some flattening pressure on the curve. The 10y auction was a little soft, causing a small wobble in TY, which was quickly reversed (see pg. 3 for details). Post auction, we heard more RM accts scaling into 10s30s steepeners, though TY was knocked lower as headlines hit saying the EFSF have decided to pay Greece the €5.2bn tranche of aid. Fairly quiet into the close, except for a package of block trades which went through, selling FV and TY vs. TU and US (TU +9k at 110-09, US +5k at 144-12 vs.  FV -9k at 124-01.75 and TY -9k at 132-28+).

- US 30yr Auction today: At 13:00ET/18:00BST, the Treasury will auction $16bn in new 30y bonds. Recent auction statistics indicate weakening demand for the 30y sector. While the b/c has stuck in a fairly tight range, two of the last auctions have tailed, with the latest stopping on the screws. Analysts also note that auctions in refunding months have typically faired much worse at auction. Dealers expecting a bit more concession heading into the supply, particularly given the fairly soft 10y auctions results yesterday.

- Fed Ops: At 11:00ET/16:00BST, The Fed are scheduled to sell $8.0-8.75bn in the 1.4-1.7y sector, covering the 10/13-01/14 maturity bucket. As usual with sale operations, the Fed tend to sell where there is demand, hence previous focus seems to have little impact on future operations. Previous bid/cover came in at 6.8x.

- USTs in Tokyo: Fairly quiet session in Asia, after trading higher initially we heard Intl RM sellers in 10y and 4y paper, plus other accts buying new CT10s vs. old 10s. Aussie unemployment showed a decent drop (4.9% vs. 5.3% f/c), which did weigh on TY.  Also heard some CTA algo selling of futures, as S&P bounced off the 100-day MA. Dealers expecting pressure on the curve heading into the supply given equities in small positive as accounts look to sell any upticks.

- European Fixed Income: Bunds to open around 142.71 (-9). At 09:00BST, the ECB publishes its monthly report for May. Data is focused on the UK with the release of Industrial Production for March at 09:30BST and analysts forecasting m/m -0.3% (vs 0.4% previously) and citing the gas leak in the North Sea in the final week of March as having reduced extraction output, as well as unusually warm weather which will have lowered energy output. Also at 09:30BST, sees the release of Manufacturing Production for March with analysts forecasting m/m 0.5% (vs -1.0% previously).

- Gilts: Key focus will likely to be on The Bank of England rate decision at 12:00BST. Analysts forecasting the rate to be left unchanged at 0.50%, and QE to kept unchanged at £325bn. However, expectations are not so clear cut with a small camp of economists led by Citi expecting an additional £25-50bn of QE to be announced.

- Speakers/Other Events :  At 09:00BST ECB’s Praet (Leaning Dove) speaks on ‘European Monetary Union: Lessons from the Debt Crisis’ in Vienna. At 11:00BST BUBA’s Dombret speaks at the same conference on ‘How to manage financial crises from a systemic viewpoint’.

- UST NY Recap: Treasuries bull flattened on Tuesday as 5y, 10y and 30y yields fell by 2bps, 4bps and 4bps, respectively. Ahead of the US open we heard some MBS related buying CT5s and CT10s as RM accts covered TBA’s (‘to be announced pools’- MBS). Flows overall through the session were light, with the deterioration of risk appetite on the back ongoing European political concerns driving priced action, forcing new all-time highs in bunds . TY followed bunds higher on comments from Greek Left Coalition leader Tsipras’ that Greece’s bailout pledges are null and void, though we actually heard better RM selling into the rally. Heading into the buyback, TY squeezed higher as the Fed purchased nearly the whole amount in the 1.25 04/19s, which caused a pop higher in TY, taking out stops through 133-00 as over 25k traded in just two minutes through the level. The market was quiet heading into the 3y supply, which was fairly uneventful and met with good demand. Though following the auction, we heard a decent RM seller emerge in 5s, which weighed on the curve. Heading into the close, treasuries traded heavy which dealers suggested this was down to deal pricing, in particularly the multi-tranche Berkshire Hathaway (5y, 10y and 30y).

- US Fed Ops: the Fed is scheduled to purchase $1.00-1.50bn in the TIPS sector

- US 10yr Auction today: the Treasury is scheduled to auction $24bn in 10s. Although auction performance remains robust, there are signs of weakening demand in the sector. None of the previous five auctions has tailed, but the extent by which they have come through has declined steadily, with the one in April clearing at WI levels. The bid-cover ratio has also declined since the beginning of the year.

- USTs in Tokyo: Another quiet session. No notable flows. US 144.17 +2, TY 132.31 +1 1/2, FV 124.02+ +3/4, TU 110.09 unch, SP 1352.60 -5.90, Eur 1.2976 -34

- European Fixed Income: Bunds to open around 142.54 (-1). At 10:30BST, Germany will sell a new 5y 0.50% 04/17 Bobl for 5.0bn (equivalent to 22k Bund futures). Overall, desks are mixed on the reception of this new issue, while the extreme richness of the issues both outright and on the 2s5s10s fly may deter some investors, the on-going safe haven demand which has benefitted bunds of late continues to be a positive factor. Also at 10:30BST, the UK DMO will tap the 30y 4.50% 12/42 for £2.0bn (equivalent to 37k Gilt futures).

- Euribor & OTC: At 10:00BST, the ECB will announce its 7-day USD allotment, which sees $0.5bn maturing. A new 35 Day ECB reserve period begins today.

Economic Releases:  At 00:01BST, sees the release of UK BRC sales Like-for-Like (y/y) with analysts forecasting 0.6% (vs 1.3% previously). At 07:00BST, there’s a flurry of German data starting with March Exports with analysts forecasting -0.5% (vs 1.5% previously) and March Imports expected at 1.0% (vs 3.6% previously). The March Current Account is forecast at 18.0bn (vs 11.1bn previously) and the March Trade Balance at ?14.3bn (vs 14.7bn previously). Analysts note that weaker demand from Europe has been offset by stronger – demand from elsewhere which should have helped to stabilise the trade balance surplus.

- Speakers/Other Events :  At 08:30BST, ECB’s Constancio (Dove) speaks on ‘The Eurozone Crisis and EU Institutions: What is the Optimal Design?’ in Florence. At 13:15BST, ECB’s Weidmann (Hawk) speaks on ‘The Crisis and its Consequences – where do we stand?’ in Dresden.

- UST NY Recap: After initially gapping higher and rallying in the Asia session, Treasuries steadily sold off once London stepped in to end the day broadly unchanged and slightly flatter as 5y, 10y and 30y yields fell by 0.3bps, 0.2bps and 0.5bps respectively.   Asia saw a RM block seller of CT10s heading into London which initially knocked USTs lower.  TY made fresh session lows late morning as attention on an MNI piece looking at BoAML raising their S&P target to 1450 by year-end took FI lower, however some suggested the move was purely positioning.  We then heard of CTA buyers stepping in on the UST pull-back, suspected to be adding to longs.  Flow-wise, we also heard of some accounts selling bonds and putting on steepeners (buying 7s).  Heading into a quiet afternoon, we had just one data point which saw March consumer credit rise more than expected to $21.4B and little else to note in what proved to be a tight range bound session.

- US Fed Ops: the Fed will purchase $4.25-5.00bn in the 6-8y sector. 1.375% Nov 18s, 1.75% Oct 18s, 1.375% Sep 19s, 1.5% Aug 18s, and 2.25% Jul 18s look cheap

- US 3yr Auction: the Treasury is scheduled to auction $32bn in 3s.

- USTs in Tokyo: Some selling of 10s from the get-go today. We’ve since ground higher on weak Equities. US 143.26 (+2), TY 132.22+ (+2), FV 123.31 3/4 (+1), TU 110.09 (+00 1/4), SP 1364.50 (-1.30), Eur 1.3033 (-28)

- European Fixed Income: Bunds to open around 141.94 (+12).

- EGB Supply: At 09.00BST, The Netherlands will reopen the DSL July 22s (issue confirmed, size 2-3bn, equivalent to 25k Bund futures). In terms of market impact, desks expect at least part of this issue to be swapped in order for the Netherlands to achieve their portfolio duration target. At 10.00BST, Austria issues RAGB 3.2% 2017 and 3.4% 2022 (issue confirmed, max size 1.21bn, equivalent to 8k Bund futures)

- Economic Data: Economists expect the UK RICS price balance (00.01BST) to fall to -11 from -10, reversing some of the improvement in the balance reported the previous month, in line with the Nationwide and Halifax house price surveys. German March Industrial production (11.00BST) is expected to see production recover from cold weather-related slump in February. Analysts expect +0.8% mom vs -1.3% last

- Speakers:

12:30BST: Executive Praet and Coeuré speaks at IMF/SNB conference in Zurich

13:30BST: ECB President Draghi speaks on Eurosystem and CSDs (Central Security Depositories) in Frankfurt

14:00BST: ECB Praet speaks on Eurosystem and CSDs in Frankfurt

- UST NY Recap: Treasuries closed flat Thursday with 5y, 10y and 30y yields all broadly unchanged. Economic releases were mixed and  dictated the price action as Initial claims fell to 365k (vs. 379k f/c) which knocked TY lower, this was followed by ISM non-mfg which was considerably softer than expected, falling to 53.5 (vs. 55.3 f/c), which lifted treasuries higher. There was better flattener interest overnight from RM and HFs buying in 30s, which had the long-end performing as NY walked in. We heard two-way in 7s from RM and some CB selling in the front-end. Following the strong Initial claims data, we heard some good selling from FM selling in 10s and other FM paying in swaps. We heard LM buying of TY from post-claims lows, just before popping higher on the ISM print. From here the session was very quiet given the payroll release tomorrow, as we heard some options related buying of TY (gamma hedge) and a couple of rate lock unwinds which helped TY higher, though little else of note.

- US Fed Ops: scheduled to sell $1.50-2.00bn in the Aug12-Feb13 sector today.- largest holdings in the SOMA portfolio in the bucket are 1.75% Aug12s, 1.375% Feb13s and 4.125% Aug12s.

- European Fixed Income: Bunds to open around 141.71 (unch). There is no bond supply today. At 11:00BST, the UK will sell 1, 3 and 6 month Bills for a combined £3.0bn~

- Euribor & OTC: There is no data of note.

- Economic Releases:  Halifax House prices for April are released at 08:00BST, with analysts forecasting -0.8% m/m (vs 2.2% previously) and 0.4% y/y (vs -0.6% previously). At 08:53BST sees the final release for German PMI Services for April with analysts forecasting an unchanged reading of 52.6. This is followed at 08:58BST with the final release for Eurozone PMI Services and Composite for April, with analysts forecasting unchanged prints of 47.9 and 47.4 respectively. Analysts note that the business expectations component fell for the first time in 5 months, while the flash reading for new business was very low. Eurozone Retail Sales for March follow at 10:00BST with analysts forecasting 0.0% m/m (vs -0.2% previously) suggesting that strong data expected from Germany could offset weakness in other parts of the Eurozone.

- Speakers/Other Events :  There are no speakers/events of note.

- UST NY Recap: Treasuries bull flattened on Wednesday as 5y, 10y and 30y yields fell by 1bps, 2bps and 3bps, respectively. Economic data came in mixed as ADP was much weaker at 119k (vs. 170k f/c), while Factory Orders fell by just 1.5% m/m (vs. 1.7% expected). TY popped higher over the early ADP print as some very good buying went through on the screens, some 25k in TYM2 just after. As the treasuries rallied and the curve flattened we heard some very good RM selling in 5s and 7s, and other RM put on long-end flatteners. As the session progressed, there were another few waves of RM selling the belly, looking for steepening and some macro selling in TY. The afternoon was very quiet as the new corporate issuance cause a few small moves on the curve, with little other flows of note.

- US Fed Ops: The Fed is scheduled to purchase $1.50-2.00bn in the 20-30y sector  today

- In the quarterly refunding statement released on Wednesday, the Treasury noted that it will announce its conclusion about issuance of FRNs at a later date. While the Treasury repeated that there were benefits to issuing floating-rate notes, it remains undecided on what index to use; four TBAC members voted for T-bills, two for GC rate, and six for the effective fed funds rate

- European Fixed Income: Bunds to open around 141.71 (-2). All eyes on SPGB supply at 09.30BST.

- Supply:  At 09:30BST, Spain will tap the 3y 4.0 07/15 Bono, the 5y 3.8 01/17 Bono and reopen the 5y 5.5 07/17 Bono for a combined size of 1.5-2.5bn (equivalent to combined 8k Bund futures). This is followed at 09:50BST by France which will tap the 5y 4.25 10/17 OAT, the 9y 3.25 10/21 OAT, the 10y 3.0 04/22 OAT and reopen the 13y 6.0 10/25 OAT for a combined 6.5-7.5bn (equivalent to combined 56k Bund futures). Finally at 10:30BST, the UK will tap the 22y 0.75 03/34 Gilt Linker for £1.2bn (equivalent to 12k Gilt futures).

- Euribor & OTC: There is no data of note.

- Economic Releases:  At 07:00BST sees the release of Nationwide House Prices for April with analysts forecasting 0.5% m/m (vs -1.0% previously). This is followed at 09:28BST with UK PMI Services for April with analysts expecting a decline to 54.1 (vs 55.3previously) due to worse weather conditions in April. At 10:00BST, Eurozone PPI for March is due, with analysts forecasting 0.6% m/m (vs 0.6% previously). At 12:45BST, the ECB announces its interest rate decision, with analysts expecting rates to be left unchanged and no additional non-standard measures. See attached PDF for full ECB preview.

- Speakers/Other Events :  At 13:30BST ECB President Draghi (Middle) is scheduled to hold his regular monthly press conference with analysts expecting slightly dovish rhetoric.

- UST NY Recap: Treasuries bear steepened on Tuesday, as 5y, 10y and 30y yields rose by 3bps, 4bps and 5bps, respectively. The was the result of stronger economic data came as ISM Manufacturing rose to 54.8 (vs. 53.0 f/c) and prices paid jumped to 61.0 (vs. 59.0 f/c), the data knocked TY sharply lower given the strong employment and the rise in new orders  minus inventories to 9.7. It was a quiet session overall given the European holiday. Heading into NY we heard some better RM buying in the belly and one macro block seller of TY (2.7k at 132-07). Just as NY came in, a decent RM seller of bonds hit the street knocking treasuries lower/the curve a touch steeper, we heard some better buying from various accts from the lows as dealers looked to set-up for the buyback (full details below), there was also some good buying on the screens in TY as we broke through earlier highs. Following the post-ISM sell-off we heard some very good RM selling in the belly, a consistent theme through the afternoon, and large volumes in TY including a 5k block sale at 132-06. We heard accounts looking at both 10s30s flatteners and steepeners given the key levels being tested (steepest since the announcement of Twist), we heard some RM placing flatteners, expecting this level to cap while other accts look to target the pre-twist level at 130bps. Extremely quiet session into the close.

- US Fed Ops: the Fed is scheduled to sell $1.00-1.50bn in TIPS.

- US Supply: The Treasury will announce sizes for the upcoming 3y, 10y and 30y auctions at 9am on Wednesday. Dealers expect unchanged sizes at $32bn, $24bn and $16bn and the respective rolls to open at 1.25-1.5bp, 3.75-4bp and 1-1.25bp

- USTs in Tokyo: after seeing a flurry of MBS buying of USTs from the get-go in Tokyo, we’ve settled down as flows dried up to now trade close to opening Tokyo levels. US 142.07 +4, TY 132.00+ +1 1/2, FV 123.22 3/4 +3/4, Tu 110.08+ +1/4, SP 1402.40 +2, Eur 1.3227 +0.05

- European Fixed Income: Bunds to open around 140.97 (-12)

- EGB Supply:  There is no bond supply scheduled for today. At 10:30BST Portugal will issue 7 and 12 month Bills for a combined €1.25-1.5bn. SPGB supply tomorrow

- Gilts: At 14:45BST, the BoE will be buying in the 7-15y bucket for £1.6bn. The previous sub/cover came in at 2.19x, and the BoE paid a premium of 2-9p with the most bought bond was the longest maturity.

- Euribor & OTC: At 10:00BST, the ECB will announce its 7-day USD allotment, which sees $1.1bn maturing.

- Economic Releases:  A heavy day for data starting with German Unemployment for April at 08:53BST, with analysts expecting the improvement in the labour to continue and forecasting -10k (vs -18k previously) and an unchanged rate of 6.7%, but note the employment component of the Composite PMI fell below 50 in April.

At 08:58BST, the final release of Eurozone PMI Manufacturing for April, with analysts forecasting an unchanged 46.0 from the flash reading which had falled 1.7. UK Consumer Credit follows at 09:30BST with analysts forecasting £0.3bn (vs £0.4bn previously) citing the BoE’s Q1 credit conditions survey suggesting demand is still mixed and lending criteria have become more severe.

Also at 09:30BST, sees the release of UK Mortgage Approvals for March with analysts forecasting 48k (vs 49k previously) suggesting a similar fall to the BBA’s data.

Finally at 10:00BST, the Eurozone’s Unemployment Rate for March is scheduled for release with analysts expecting an increase to 10.9% (vs 10.8% previously) with the recent trend for increases to continue and weak demand to weigh on hiring.

- Speakers/Other Events: At 21:00BST, BoE Governor Mervyn King (Middle) delivers the 2012 BBC Today lecture.

- USTs and Swaps in Tokyo/London: Cash and Swaps were closed in Tokyo (Golden week). Futures are unch/slightly lower.  Further small steepening further out the curve- Dealers continue to like 10s30s Treasury curve steepeners, as the odds of an extension of Operation Twist have declined. In the near term, the auction concession’s shift to the long end ahead of the refunding also argues for a steeper curve.

- US Supply: The week sees no new Treasury supply. Net cash-flow for the week is positive, though we note that the $66.26bn in coupons and redemptions due to be repaid falls on the settlement date of the prior week’s auctions (coupons $4.87bn and redemptions $61.39bn). On Monday, the Fed release the schedule for their latest round of operations.

- European Fixed Income: Bunds opened lower with UST futures, but remain underpinned by today’s large month-end index extension (some were done on Friday). Today brings Spanish coups/redemptions for 15.98bn- these  re-investment cash flows may be supportive of Spain’s auctions on Thursday- SPGB 4 7/15, SPGB 3.8 1/17 and SPGB 5.5 7/17s. Italy will return EUR4.24bn and EUR12.27bn. Lots of event risk this week- Sarkozy/Hollande debate is on Wednesday night, elections on Sunday. We get the Ecofin meeting on Wednesday, ECB on Thursday- no change expected on rate and ops, although comments from Draghi maybe suggest more caution on growth.

- EGB Supply:  The week sees estimated €-govie supply of €12.0bn / Approx 72k bund futures equivalent of supply from Spain (3y, 5y, 5y) and France (5y, 9y, 10y, 13y). Net cash-flow for the week is positive with coupons and redemptions due for a combined €19.72bn from Spain (coupons €4.04bn and redemptions €11.94bn) and Italy (coupons €3.74bn).

- Gilt supply: The week sees the UK reopen the 7y Gilt for £3.75bn and tap the 22y Gilt linker for £1.2bn (comb. gilt futures equivalent 35k). Cash-flow for the week is negative with no coupons or redemptions due to be repaid. The BoE continue their QE operations this week, where they will purchase in the 3-7y, 15y+ and 7-15y sectors, each for £1.6bn.