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Post 5Y Auction Bid Evaporates

US TSY FUTURES

Futures remain modestly weaker across the curve after the strong 5Y note auction spurred brief flurry of buying. Yld curves inching steeper w/long end underperforming. Note, however, volumes pretty thin despite a strong start (TYZ only 687k at moment). Tsy auctions and high-grade corporate debt hedging is leavening any risk-off buying.

  • 3M10Y +1.314, 58.756 (L: 55.462 / H: 59.413)
  • 2Y10Y +0.961, 54.325 (L: 52.158 / H: 55.177)
  • 2Y30Y +1.401, 130.014 (L: 126.911 / H: 130.861)
  • 5Y30Y +1.274, 116.846 (L: 114.461 / H: 116.911)
  • Current futures levels:
  • Dec 2Y -0.5/32 at 110-14.5 (L: 110-14.375 / H: 110-15.25)
  • Dec 5Y -2.25/32 at 126-0 (L: 125-31 / H: 126-03)
  • Dec 10Y -5.5/32 at 139-14.5 (L: 139-12.5 / H: 139-21.5)
  • Dec 30Y -17/32 at 176-5 (L: 175-30 / H: 176-31)
  • Dec Ultra 30Y down 1-4/32 at 222-3 (L: 221-22 / H: 223-24)

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