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Off Late Lows, Boston Fed Rosengren Favors Longer Duration

US TSY FUTURES CLOSE

Futures bouncing off session lows just after the bell, apparently in reaction to Boston Fed Pres Rosengren comments preferring lengthening of duration after the bell. Volumes heavy again, TYZ>1.925M. Yield curves mostly steeper, update:

  • 3M10Y +3.512, 85.978 (L: 80.257 / H: 87.517)
  • 2Y10Y +2.249, 77.14 (L: 73.332 / H: 78.879)
  • 2Y30Y +2.306, 155.538 (L: 149.997 / H: 157.59)
  • 5Y30Y +0.697, 128.626 (L: 124.773 / H: 130.085)
  • Current futures levels:
  • Dec 2Y down 0.25/32 at 110-11.125 (L: 110-11 / H: 110-12)
  • Dec 5Y down 1.25/32 at 125-7.5 (L: 125-06.25 / H: 125-12.75)
  • Dec 10Y down 2/32 at 137-16.5 (L: 137-13.5 / H: 137-29.5)
  • Dec 30Y up 4/32 at 170-10 (L: 169-30 / H: 171-14)
  • Dec Ultra 30Y up 14/32 at 211-4 (L: 210-12 / H: 213-17)

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