Cheaper In Asia As Region Sets Up For Jackson Hole

Fairly skittish Tsy trade was observed in the final Asia-Pac session of the week, with most participants seemingly happy to sit on the sidelines ahead of Fed Chair Powell’s Friday address.

• That has made for narrow ranges, with TYU2 last -0-06+ at 117-28+, 0-00+ off the recently registered session low, while ~50% of that contract’s 78K volume is attributable to quarterly roll activity. Cash Tsys run 1.0-3.5bp cheaper across the curve, with the space unwinding some of Thursday’s richening as 7s lead the weakness.
• Market participants continue to assess the potential for a Powell pivot, although the recent rounds of Fed messaging seem to have played down the chances of an outright dovish swing (the Fed has already noted that it will slow the pace of tightening at some point, in addition to some expressing worry re: over-tightening via FOMC meeting minutes).
• The full Jackson Hole symposium schedule is available here.
• Also be on the lookout for various Fed speakers appearing across the usual TV networks throughout the day, in addition to July PCE data and the final UoM survey for August.