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Where'd the Yield Go?

US TSY FUTURES

Futures trading steady to mildly higher ahead the NY open, volumes exceptionally light on the shortened final session of 2020. 30YY currently at 1.6603% compares to 2.3896% 2019 EOY; 10YY at 0.9232% vs. 1.9175% 2019 EOY. Current levels:

  • 3M10Y +0.766, 84.203 (L: 83.276 / H: 84.703)
  • 2Y10Y +0.397, 80.012 (L: 79.649 / H: 80.679)
  • 2Y30Y +0.861, 153.655 (L: 152.857 / H: 154.459)
  • 5Y30Y +0.787, 129.317 (L: 128.648 / H: 129.986)
  • Current futures levels:
  • Mar 2Y up 0.25/32 at 110-15.5 (L: 110-15.25 / H: 110-15.5)
  • Mar 5Y up 1/32 at 126-4.75 (L: 126-03.25 / H: 126-04.75)
  • Mar 10Y up 0.5/32 at 137-31.5 (L: 137-29.5 / H: 138-00)
  • Mar 30Y steady at at 172-27 (L: 172-22 / H: 172-30)
  • Mar Ultra 30Y steady at at 212-26 (L: 212-09 / H: 212-30)

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