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Holding Gains Post-Data

US TSY FUTURES

Yield curves broadly flatter w/30Y bonds holding early session highs after big miss on Durables (+0.8% vs. +2.1% exp -- softened somewhat by upward revision for prior: +3.2% vs. 2.3%). Trading desks report carry-over buying in 2s-5s, two-way in 10s and more recently in 30s. Latest curve levels:

  • 3M10Y -5.026, 119.372 (L: 118.365 / H: 123.724)
  • 2Y10Y -5.456, 103.892 (L: 103.392 / H: 109.348)
  • 2Y30Y -5.494, 169.073 (L: 168.879 / H: 174.436)
  • 5Y30Y -1.65, 120.071 (L: 119.91 / H: 121.912)

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