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Weaker Open

US TSY FUTURES

Choppy open for futures, weaker across the curve after breaking lower a couple hours ago. Moderate volumes with March taking lead quarterly (still some Dec/Mar rolls occurring). Sources reported prop and deal-tied selling in shorts to intermediates, bank portfolio buying in belly to long end overnight. Yld curves mostly steeper:

  • 3M10Y +2.308, 77.232 (L: 74.087 / H: 77.56)
  • 2Y10Y +1.403, 69.535 (L: 67.472 / H: 70.223)
  • 2Y30Y +1.104, 142.659 (L: 140.511 / H: 143.64)
  • 5Y30Y +0.553, 120.832 (L: 119.536 / H: 121.459)
  • Current futures levels:
  • Mar 2Y -0.25/32 at 110-12.875 (L: 110-12.75 / H: 110-13.25)
  • Mar 5Y -1.5/32 at 125-30.5 (L: 125-30 / H: 126-00.5)
  • Mar 10Y -3.5/32 at 138-2.5 (L: 138-01.5 / H: 138-08)
  • Mar 30Y -10/32 at 174-23 (L: 174-18 / H: 175-10)
  • Mar Ultra 30Y -13/32 at 215-19 (L: 215-08 / H: 216-20)

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