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Long End Remains Strong

US TSY FUTURES CLOSE

Yield curves continued to flatten Wed, 5s30s appr 12.0bp flatter from Tue's high around 124.06, as long end continued to march higher (30YY -.0443 at 1.3756%). Rates surged around midmorning just as NDX erased gains on rotation out of tech names into financials. Weaker OTC shares didn't last long, rebounding and making new highs even as Tsys traded sideways near highs for the last five hours. Update:

  • 3M10Y -1.627, 54.584 (L: 52.845 / H: 58.17)
  • 2Y10Y -1.825, 51.583 (L: 50.837 / H: 55.299)
  • 2Y30Y -4.438, 124.076 (L: 123.565 / H: 130.783)
  • 5Y30Y -4.557, 111.966 (L: 111.456 / H: 118.097)
  • Current futures levels:
  • Dec 2Y -0.375/32 at 110-14.625 (L: 110-14.25 / H: 110-15)
  • Dec 5Y -0.75/32 at 126-1.5 (L: 125-31.75 / H: 126-02.75)
  • Dec 10Y up 3/32 at 139-17 (L: 139-09 / H: 139-19.5)
  • Dec 30Y up 25/32 at 177-4 (L: 175-28 / H: 177-10)
  • Dec Ultra 30Y up 2-2/32 at 224-7 (L: 221-08 / H: 224-16)

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