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Tsy futures just extended overnight highs last couple minutes, rather muted volumes (TYH1 just over 280k) as mkts await flood of data (see 0626ET bullet). Early overnight bid from Japanese accts in intermediates to long end. Two-way through London session giving way to better prop and real$ buying last couple hours. Underlying interest in steepeners remains despite current flattening:
- 3M10Y -3.718, 101.342 (L: 101.172 / H: 104.466)
- 2Y10Y -3.02, 95.601 (L: 95.261 / H: 98.28)
- 2Y30Y -3.124, 169.768 (L: 169.346 / H: 172.396)
- 5Y30Y -1.094, 137.581 (L: 137.153 / H: 138.819)
- Current futures levels:
- Mar 2Y up 0.375/32 at 110-14.125 (L: 110-13.75 / H: 110-14.25)
- Mar 5Y up 3/32 at 125-21.5 (L: 125-18.25 / H: 125-22)
- Mar 10Y up 7.5/32 at 136-25.5 (L: 136-16.5 / H: 136-26)
- Mar 30Y up 24/32 at 168-31 (L: 168-03 / H: 169-02)
- Mar Ultra 30Y up 1-14/32 at 205-26 (L: 204-07 / H: 205-30)