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Extends Sell-Off Post Data

US TSY FUTURES

Already weaker, Tsy futures extend early session lows after durable goods data exceeded est (+11.2% vs. +4.7%). Yld curves steeper, 2s10s back to last Wed lvls. Early flow includes two-way in short end, fast$ bought 5s, carry-over selling from Asian bank in 10s and 30s, real$ selling long end; pre-auction short-sets in 5s. Ongoing Sep/Dec rolling continues to drive overall volumes. Update:

  • 3M10Y +3.683, 61.633 (L: 57.443 / H: 61.797)
  • 2Y10Y +2.974, 55.98 (L: 52.397 / H: 56.143)
  • 2Y30Y +3.772, 127.787 (L: 123.149 / H: 127.787)
  • 5Y30Y +2.46, 112.341 (L: 109.465 / H: 112.341)
  • Current futures levels:
  • Sep 2Y down 0.625/32 at 110-12.125 (L: 110-11.75 / H: 110-12.625)
  • Sep 5Y down 3/32 at 125-21 (L: 125-19.75 / H: 125-23.75)
  • Sep 10Y down 8/32 at 139-2 (L: 139-00.5 / H: 139-09)
  • Sep 30Y down 1-1/32 at 177-16 (L: 177-15 / H: 178-15)
  • Sep Ultra 30Y down 2-3/32 at 217-30 (L: 217-28 / H: 219-25)

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