Marginally Cheaper In Asia

Cash Tsys sit 0.5-1.5bp cheaper across the curve with a slight steepening bias apparent, while T-Notes print -0-03+ at 134-03+, operating within a 0-04 range in Asia. Headline and market flow remain light, with a couple of pockets of TY futures sales witnessed since the re-open. The uptick in e-minis and the major Asia-Pac equity indices is applying some modest pressure to the space, with the overarching themes in the observed headline flow offering little new.

• To recap, yields were mixed across the curve on Monday, with the 2- to 10-Year sector of the curve unchanged to ~1.5bp richer, while longer dated paper was marginally cheaper on the day. It proved to be a volume-light session for Tsys as participants looked ahead to the annual (online) Jackson Hole Symposium, while the S&P 500 marched to another fresh all-time high. Themes of discussion continued to centre on Afghanistan & the Delta strain of COVID, but these didn't trigger much in the way of market reaction. An 11K block buy of FVU1 futures (~$561K DV01) headlined on the flow side, lodged around midday in NY. Local data saw stronger than expected readings for existing home sales and the Chicago Fed national activity index, while the flash Markit PMI readings missed consensus. These netted out and had little ultimate impact on broader price action.
• Looking ahead to Tuesday's NY docket, we will see the latest round of new home sales data, the Richmond Fed manufacturing index reading & 2-Year Tsy supply.