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Note US Tsy futures continue to trade near midday highs, ignoring the rebound in equities currently showing modest gains (ESH1+3.0). No revelations are particular clarity on the first half surge in Tsy duration and volumes (though geopolitical, Covid numbers remain, fiscal stimulus remain the usual suspects) -- while support for equities seems questionable in comparison. General calm ensues in late session trade. Yield curves near lows:
- 3M10Y -5.259, 95.687 (L: 90.892 / H: 101.808)
- 2Y10Y -4.853, 91.199 (L: 91.199 / H: 97.591)
- 2Y30Y -5.4, 166.689 (L: 166.689 / H: 173.858)
- 5Y30Y -3.24, 138.078 (L: 138.056 / H: 142.3)
- Current futures levels:
- Mar 2Y steady at at 110-15.375 (L: 110-15.125 / H: 110-15.625)
- Mar 5Y up 4.5/32 at 125-31.5 (L: 125-26.25 / H: 126-00)
- Mar 10Y up 12/32 at 137-13 (L: 136-30 / H: 137-13.5)
- Mar 30Y up 1-8/32 at 170-4 (L: 168-19 / H: 170-05)
- Mar Ultra 30Y up 2-25/32 at 207-23 (L: 204-18 / H: 207-24)