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Mildly Weaker Across Curve

US TSY FUTURES

Still holding narrow, weaker channel for last four hours, no react as yet to reversal in eminis (ESZ0 -8.0). Decent volumes continue (TYZ>400k), as pick-up in corporate issuance generates hedging/sales in short end to intermediates; pre-auction short sets ahead sizable bill and note auctions today. Yld curves running mixed:

  • 3M10Y +0.166, 57.608 (L: 55.462 / H: 58.428)
  • 2Y10Y +0.204, 53.568 (L: 52.158 / H: 54.388)
  • 2Y30Y -0.156, 128.457 (L: 126.911 / H: 129.495)
  • 5Y30Y -0.514, 115.058 (L: 114.461 / H: 116.025)
  • Current futures levels:
  • Dec 2Y -0.25/32 at 110-14.75 (L: 110-14.625 / H: 110-15.25)
  • Dec 5Y -1.75/32 at 126-0.5 (L: 125-31.75 / H: 126-03)
  • Dec 10Y -3.5/32 at 139-16.5 (L: 139-14.5 / H: 139-21.5)
  • Dec 30Y -5/32 at 176-17 (L: 176-10 / H: 176-31)
  • Dec Ultra 30Y -12/32 at 222-27 (L: 222-12 / H: 223-24)

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