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Hawkish Fed Speakers Have Say Ahead Fed Chair Powell on Friday

US TSYS
Rates trading near late session lows after one of the busiest late summer sessions in a long while. Heavy Tsy futures volumes a little deceiving as most tied to the surge in quarterly futures from Sep to Dec ahead first notice on Aug 31. Sep 10Y futures trade over 2.8M by the close, over 1.5M tied to rolls. Even 5s saw over 1.89M by the close -- percentage complete at or near 50%.
  • Ongoing mkt risk tied to covid (EU WILL DISCUSS THURSDAY REIMPOSING TRAVEL RESTRICTIONS ON U.S., Bbg) and Afghan pullout persist, so why the continued risk-on tone as equities made new highs (ESU1 4497.25)?
  • Possibly do to speculation over the KC Fed hosted Jackson Hole eco-symposium scheduled for Friday. Deemed a non-event by some even before it was annc will be remote -- is now generating a lot of buzz with multiple Fed speakers doing interviews on Bbg and CNBC starting Thu morning (KC Fed George kicks things off at 0730ET. Nine hawkish leaning to one degree or another will speak before Fed chair Powell formally gives his presentation at 1000ET Fri (no Q&A).
  • Midmorning sell-off accelerated as 10s broke through first support: 133-20: 50D EMA. Aside from the block sales in 5s, 10Y ultras and 30s, sell-side desks report fast$ accts selling in 5s ahead $61B note auction and swap-tied selling in the intermediates. Talk of sell-stops from weak longs and insurance portfolio selling in the long end.
  • Tsy futures holding near session lows, little react after $61B 5Y note (91282CCW9) auction tails slightly: .03bp w/ high yield of 0.831% vs. 0.828% WI.
  • The 2-Yr yield is up 1.8bps at 0.2406%, 5-Yr is up 1.8bps at 0.8145%, 10-Yr is up 4.4bps at 1.3373%, and 30-Yr is up 3.9bps at 1.955%.
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