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Month-End Shenanigans

US TSY FUTURES CLOSE

After climbing steadily all session, Tsys pared back gains late, sources widely citing month end related flow or headline driven: "GERMANY EXPECTS 2020 CONTRACTION WON'T BE AS DEEP AS FORECAST" Bbg.

  • Month end duration extension surged right on the close with futures gapping off late reversal lows and extended session highs (equities stayed close to home, emini +.75); yld curves extended session lows.
  • No fooling around -- HEAVY volume in Dec 10Y on the move: appr 450k traded from 1452-1513ET, Vwap 139-08, high volume price 107k at 139-09 (139-10 session high).
  • The ride continued, futures see-sawed back off highs yet again after the NY close on another 70,000 TYZ.
  • Except for late month end swings, Mon was relatively quiet w/London banks closed for holiday, no pertinent data w/ many sidelined ahead headline employ data Friday. The 2-Yr yield is up 0.6bps at 0.1328%, 5-Yr is up 0.2bps at 0.2705%, 10-Yr is down 0.8bps at 0.713%, and 30-Yr is down 1.8bps at 1.4832%.
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