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Receding, New Session Lows

US TSY FUTURES

Support in Tsy futures evaporating, but don't give move much credence as long end makes new session lows (still well off early overnight lows) as volumes remain very light (TYZ just over 310K). Light 2-way positioning and limited deal-tied hedging ahead FOMC policy annc at 1400ET and Fed Chair Powell at 1430ET. Yld curves running mildly mixed:

  • 3M10Y +0.107, 56.838 (L: 54.533 / H: 57.002)
  • 2Y10Y +0.146, 53.732 (L: 51.933 / H: 53.986)
  • 2Y30Y -0.302, 128.498 (L: 126.741 / H: 129.26)
  • 5Y30Y -0.626, 115.093 (L: 114.338 / H: 116.231)
  • Current futures levels:
  • Dec 2Y steady at 110-14.5 (L: 110-14.375 / H: 110-14.75)
  • Dec 5Y up 0.25/32 at 126-0.25 (L: 125-31.5 / H: 126-02)
  • Dec 10Y up 1/32 at 139-17 (L: 139-15 / H: 139-22)
  • Dec 30Y up 8/32 at 176-24 (L: 176-13 / H: 177-04)
  • Dec Ultra 30Y up 10/32 at 223-2 (L: 222-14 / H: 223-26)

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