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Gaining Ground

US TSY FUTURES

Futures trading firmer across the curve, long end rebounds from Mon's weakness, modest risk-on unwinds ahead month/quarter end with S&Ps little weaker (ESZ0 -5.0). Surge in data and event risk (presidential debate tonight, 2100-2230ET) as well as flurry of Fed speakers spurring unwinds. Additional overnight flow includes bank portfolio buying short end, deal-tied selling in intermediates, real$ buying long end. Yld curves running mildly flatter, update:

  • 3M10Y -0.265, 54.874 (L: 53.693 / H: 55.603)
  • 2Y10Y -0.491, 52.094 (L: 51.93 / H: 53.241)
  • 2Y30Y -0.839, 127.886 (L: 127.37 / H: 129.437)
  • 5Y30Y -0.839, 114.637 (L: 114.121 / H: 115.846)
  • Current futures levels:
  • Dec 2Y +0.12/32 at 110-15.25 (L: 110-15.125 / H: 110-15.5)
  • Dec 5Y up 1.25/32 at 126-3.25 (L: 126-02.25 / H: 126-03.5)
  • Dec 10Y up 3/32 at 139-23 (L: 139-20 / H: 139-23.5)
  • Dec 30Y up 11/32 at 177-6 (L: 176-27 / H: 177-08)
  • Dec Ultra 30Y up 24/32 at 223-22 (L: 222-28 / H: 223-26)

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