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Support Evaporates Ahead Noon

US TSY FUTURES
Heavy roll-driven volumes obscure fact -- market depth very thin due to late summer malaise (TYU/TYZ>516k; TYU 1.045M). Futures just now extend past pre-open lows while equities drift near all-time highs in eminis (3424.0). Pick-up in corporate issuance, rate-lock hedging contributing to reversal into midday. Yld curves rebound. Update:
  • 3M10Y +2.036, 54.972 (L: 50.583 / H: 54.972)
  • 2Y10Y +0.969, 49.27 (L: 47.286 / H: 49.676)
  • 2Y30Y +0.388, 119.938 (L: 117.768 / H: 120.661)
  • 5Y30Y -0.173, 107.305 (L: 106.027 / H: 107.88)
  • Current futures levels:
  • Sep 2Y down 0.5/32 at 110-12.625 (L: 110-12.5 / H: 110-13.375)
  • Sep 5Y down 1.5/32 at 125-25.5 (L: 125-25.5 / H: 125-28.75)
  • Sep 10Y down 2.5/32 at 139-15.5 (L: 139-15.5 / H: 139-23)
  • Sep 30Y down 8/32 at 179-11 (L: 179-10 / H: 180-02)
  • Sep Ultra 30Y down 3/32 at 221-18 (L: 221-15 / H: 222-25)

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