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US TSY FUTURES: Tsys jump last couple minutes, correlation break w/ similar jump
in US$ (DXY +.587, 94.756; US$/Yen +1.12, 112.12). EM under pressure --
providing a risk-off bid? More like very thin participation, lack of offers as
England plays Croatia. Current cash 10Y 100-09 (2.840%) vs. 100-01.5 (2.853%)
late Tuesday. Curves moving flatter:
* 2s10s -1.882, 25.869 (25.869L/28.109H);
* 2s30s -2.043, 36.136 (36.163L/38.815H);
* 5s30s -0.441, 20.263 (18.997L/21.086H);
Current futures levels:
* Sep Ultra bonds up 27/32 at 160-21 (160-03L/160-30H)
* Sep 30-yr Bond futures up 17/32 at 145-17 (145-03L/145-24H)
* Sep 10-yr futures up 8/32 at 120-08.5 (120-02.5L/120-13H)
* Sep 5-yr futures up 5.25/32 at 113-18.25 (113-13.75L/113-20.75H)
* Sep 2-yr futures up 1/32 at 105-26.5 (105-25.5L/105-28.25H)