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Extending Highs

US TSY FUTURES

Futures making new session highs after strong 7Y auction
stopped 4bps through (0.446% award rate vs. 0.450% WI).
Yld curves continue to flatten out. Update:

  • 3M10Y -4.627, 46.743 (L: 46.415 / H: 51.027)
  • 2Y10Y -2.526, 43.638 (L: 43.474 / H: 48.248)
  • 2Y30Y -3.056, 107.603 (L: 107.549 / H: 113.43)
  • 5Y30Y -2.039, 95.29 (L: 95.034 / H: 99.35)
  • Current futures levels:
  • Sep 2Y up 0.75/32 at 110-13.75 (L: 110-12.875 / H: 110-13.875)
  • Sep 5Y up 4/32 at 125-27.75 (L: 125-22.5 / H: 125-28.25)
  • Sep 10Y up 6.5/32 at 139-21.5 (L: 139-08 / H: 139-22.5)
  • Sep 30Y up 26/32 at 181-15 (L: 179-30 / H: 181-17)
  • Sep Ultra 30Y up 49/32 at 226-23 (L: 223-21 / H: 226-27)

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