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Post-Data

US TSY FUTURES

Futures holding modest gains on post-data chop, yld curves marginally flatter. Muted react to the slightly higher than expected weekly claims (1.006M vs.1.0M exp), GDP -31.7%. Focus more on Jackson Hole symposium, Fed Chair Powell expected at 0915ET.

  • 3M10Y -0.469, 58.226 (L: 55.798 / H: 58.389)
  • 2Y10Y -0.389, 53.207 (L: 52.359 / H: 54.153)
  • 2Y30Y -0.25, 125.794 (L: 124.378 / H: 126.44)
  • 5Y30Y -0.247, 112.361 (L: 111.234 / H: 112.77)
  • Current futures levels:
  • Sep 2Y up 0.25/32 at 110-12.75 (L: 110-12.5 / H: 110-13.12)
  • Sep 5Y up 1.25/32 at 125-25.25 (L: 125-24 / H: 125-26.25)
  • Sep 10Y up 2.5/32 at 139-12.5 (L: 139-09 / H: 139-14)
  • Sep 30Y up 3/32 at 178-8 (L: 178-01 / H: 178-16)
  • Sep Ultra 30Y down 1/32 at 219-3 (L: 218-23 / H: 219-20)

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