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Extending Duration

US TSY FUTURES

Yld curves flattening out as long end continued to inch higher (10YY 0.9132%, 30YY 1.6449%). Month/year end buying, carry-over program driven support noted around midday this week. Update:

  • 3M10Y +0.108, 83.545 (L: 83.276 / H: 85.876)
  • 2Y10Y -0.768, 78.847 (L: 78.847 / H: 80.982)
  • 2Y30Y -0.674, 152.12 (L: 152.054 / H: 154.799)
  • 5Y30Y -0.025, 128.505 (L: 128.381 / H: 129.986)
  • Current futures levels:
  • Mar 2Y up 0.25/32 at 110-15.5 (L: 110-15.25 / H: 110-15.625)
  • Mar 5Y up 1.5/32 at 126-5.25 (L: 126-03.25 / H: 126-05.5)
  • Mar 10Y up 3/32 at 138-2 (L: 137-28.5 / H: 138-02)
  • Mar 30Y up 9/32 at 173-4 (L: 172-18 / H: 173-05)
  • Mar Ultra 30Y up 20/32 at 213-14 (L: 212-08 / H: 213-16)

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