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Tsy Duration Extension: 0.16Y, Largest Since 2009

US TSY FUTURES CLOSE

Mixed after the bell, yld curves steeper with long end failing to maintain first half support. Volume relatively muted, especially when taking the final dregs of Sep/Dec rolling into account, Dec takes lead quarterly Monday. Note, BBg/Barclays month end Tsy extension at 0.16y largest since 2009. Update:

  • 3M10Y -1.288, 63.281 (L: 60.988 / H: 67.438)
  • 2Y10Y +0.553, 59.748 (L: 57.751 / H: 62.495)
  • 2Y30Y +3.347, 138.282 (L: 134.317 / H: 141.226)
  • 5Y30Y +4.626, 124.122 (L: 120.314 / H: 125.035)
  • Current futures levels:
  • Sep 2Y up 1.3/32 at 110-13.375 (L: 110-11.625 / H: 110-14.12)
  • Sep 5Y up 5.25/32 at 125-26.75 (L: 125-18 / H: 125-28.7)
  • Sep 10Y up 7/32 at 139-6 (L: 138-23 / H: 139-11.5)
  • Sep 30Y down 6/32 at 176-7 (L: 175-05 / H: 176-28)
  • Sep Ultra 30Y down 16/32 at 214-30 (L: 212-14 / H: 216-08)
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