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Selling Off

US TSY FUTURES

Long end extends overnight lows last few minutes, equities bounce (ESZ0 +2.0). Yld curves reverse earlier flattening, adding to Mon's bear steepening. Decent volumes, TYZ0 >375k. While headlines have tended to be the underlying driver of late, not seeing trigger at the moment. 10Y traders eying key support of 138-18.5, Aug 28 low. Overnight trade included deal-tied selling in short end, bank portfolio buying in 7s and 10s earlier, swap-tied selling in long end.

  • 3M10Y -0.224, 68.542 (L: 65.543 / H: 68.708)
  • 2Y10Y +0.594, 63.701 (L: 61.406 / H: 63.867)
  • 2Y30Y +1.34, 145.267 (L: 141.873 / H: 145.335)
  • 5Y30Y +1.38, 126.67 (L: 124.347 / H: 126.67)
  • Current futures levels:
  • Dec 2Y steady at 110-13.625 (L: 110-13.37 / H: 110-14)
  • Dec 5Y down 0.75/32 at 125-23.5 (L: 125-22.25 / H: 125-25.5)
  • Dec 10Y down 4.5/32 at 138-25 (L: 138-24 / H: 138-30.5)
  • Dec 30Y down 21/32 at 173-18 (L: 173-16 / H: 174-08)
  • Dec Ultra 30Y down 1-12/32 at 215-22 (L: 215-19 / H: 217-05)

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