MNI ASIA OPEN: Tsys, Stocks Unwind Last Week's Selling

US TSYS Position Squaring Ahead Friday's August Employment data

Tsy futures look to finish the session near the top end of the range after see-sawing off overnight lows by midmorning. No data or headline driver, FI markets worked off last weeks lows with focus on this Friday's August employment report.
Pre-auction short selling on ample Treasury supply kept the front end anchored.
Tsy futures steady after the $45B 2Y note auction (91282CHV6) traded through: 5.024% high yield vs. 5.030% WI; 2.94x bid-to-cover vs. 2.86x prior.
Little reaction to the day's second note auction comes out on the screws: $46B 5Y note auction (91282CHX2): 4.400% high yield vs. 4.400% WI; 2.54x bid-to-cover vs. 2.60x in the prior month.
Treasury wraps up supply tomorrow with Tsy $36B 7Y Notes (91282CHW4).
Heavy overall volumes as Sep/Dec Treasury futures roll continued apace, percentage complete over 80% in late trade.
Looking ahead to Tuesday's data: FHFA House Price Index at 0900ET, JOLTS Job Openings and Conf. Board Consumer Confidence at 1000ET.

OVERNIGHT DATA

US AUG. DALLAS FED MANUFACTURING INDEX -17.2; EST. -19.0

MARKETS SNAPSHOT

Key late session market levels:

DJIA up 175.37 points (0.51%) at 34521.9
S&P E-Mini Future up 23.25 points (0.53%) at 4437.25
Nasdaq up 98.8 points (0.7%) at 13689.17
US 10-Yr yield is down 3.2 bps at 4.2039%
US Sep 10-Yr futures are up 8/32 at 109-22
EURUSD up 0.0017 (0.16%) at 1.0813
USDJPY up 0.04 (0.03%) at 146.48
WTI Crude Oil (front-month) up $0.31 (0.39%) at $80.13
Gold is up $5.31 (0.28%) at $1920.21

European bourses closing levels:

EuroStoxx 50 up 57.44 points (1.36%) at 4293.69
German DAX up 160.79 points (1.03%) at 15792.61
French CAC 40 up 95.11 points (1.32%) at 7324.71

US TREASURY FUTURES CLOSE

3M10Y -2.998, -129.865 (L: -132.847 / H: -125.409)
2Y10Y +0.086, -84.399 (L: -88.222 / H: -83.316)
2Y30Y +3.427, -76.576 (L: -83.885 / H: -76.033)
5Y30Y +3.571, -12.21 (L: -19.006 / H: -12.042)
Current futures levels:
Sep 2-Yr futures up 0.625/32 at 101-6.375 (L: 101-02.75 / H: 101-06.375)
Sep 5-Yr futures up 3.75/32 at 105-24.75 (L: 105-16.75 / H: 105-25.25)
Sep 10-Yr futures up 8/32 at 109-22 (L: 109-10 / H: 109-23.5)
Sep 30-Yr futures up 9/32 at 120-1 (L: 119-19 / H: 120-14)
Sep Ultra futures up 6/32 at 125-31 (L: 125-17 / H: 126-20)

US 10Y FUTURE TECHS: (U3) Trend Needle Points South

RES 4: 111-29 High Aug 10
RES 3: 111-11+ 50-day EMA
RES 2: 110-29 High Aug 11
RES 1: 110-06 20-day EMA
PRICE: 109-20 @ 1430 ET Aug 28
SUP 1: 108-28/26+ Low Aug 22 / Low Oct 21 2022 (cont)
SUP 2: 108-12 1.00 proj of the Jul 18 - Aug 4 - Aug 10 price swing
SUP 3: 107-22 2.0% 10-dma envelope
SUP 4: 107.17 1.236 proj of the Jul 18 - Aug 4 - Aug 10 price swing

The trend direction in Treasuries remains down and short-term gains are considered corrective. The recent break of 109.24, the Aug 4 low, confirmed a continuation of the downtrend. Note too that moving average studies are in a bear-mode position, highlighting current market sentiment. The focus is on 108.12, a Fibonacci projection. Firm resistance is 110-06, the 20-day EMA. Gains are considered corrective.

SOFR FUTURES CLOSE

Sep 23 -0.005 at 94.540
Dec 23 -0.005 at 94.505
Mar 24 steady00 at 94.645
Jun 24 -0.010 at 94.915
Red Pack (Sep 24-Jun 25) -0.015 to +0.045
Green Pack (Sep 25-Jun 26) +0.050 to +0.050
Blue Pack (Sep 26-Jun 27) +0.050 to +0.055
Gold Pack (Sep 27-Jun 28) +0.045 to +0.055

SHORT TERM RATES

SOFR Benchmark Settlements:

1M +0.00482 to 5.33365 (+.01456 total last wk)
3M +0.01355 to 5.41744 (+0.02072 total last wk)
6M +0.02548 to 5.49279 (+0.02277 total last wk)
12M +0.05466 to 5.46632 (+0.02828 total last wk)

STIR: FRBNY EFFR for prior session:

Daily Effective Fed Funds Rate: 5.33% volume: $103B
Daily Overnight Bank Funding Rate: 5.31% volume: $261B

US TSYS: Repo Reference Rates

Secured Overnight Financing Rate (SOFR): 5.30%, $1.344T
Broad General Collateral Rate (BGCR): 5.28%, $550B
Tri-Party General Collateral Rate (TGCR): 5.28%, $543B
(rate, volume levels reflect prior session)

FED REVERSE REPO OPERATION

NY Federal Reserve/MNI

Repo operation bounces to $1,708.605B w/97 counterparties, compared to $1,687.379B in the prior session - the lowest since early April 2022. The high for 2023 stands at $2,375.171B on Friday March 31, 2023; all-time record high of $2,553.716B reached December 30, 2022.

EGB Curves Bear Flatten Peripherals Outperform

Bund futures -15, major German cash benchmarks 1.5-3.5bp cheaper late in the day as the curve bear flattens.

Hawkish musings from ECB’s Lagarde (late Friday) & Holzmann allowed the front end of the curve to provide the weak point throughout the session.
Bund futures had a look below Friday’s low, but bears couldn’t make the move stick, running out of steam without forcing a test of key technical support.
Comments from Bundesbank President Nagel, playing down the need for pre-commitment at the ECB’s Sep meeting, helped Bunds to recover further from lows.
We then topped out again, with firmer natural gas and oil prices helping cap any rallies.
News of Germany mandating banks for a tap of its Aug-53 line helped the 5s30s German curve away from session flats, although it wasn’t a complete surprise, with some desks flagging the potential for such a move given already detailed German issuance intentions.
EU supply didn’t provide any notable headwinds for the market, seeing smooth enough, although not impressive, digestion.
Most EGB curves saw a bear flattening move, akin to Germany.
A bid in equities and slightly tighter CDS indices seemed to facilitate some light peripheral spread tightening vs. Bunds, while 10-Year core/semi-core was little changed vs. German 10s.
Liquidity was thinned by a holiday in London.

FOREX Bounce in Equities Tips USD/JPY to New Cycle High

After a more muted start to the day's trade, activity and price action picked up through the NY crossover, with a solid start for US equity markets helping tip USD/JPY to a new cycle high at 146.68. European markets and US futures got off to to a strong start, with US traders following on with strong buying evident from the off via a multi-week high reading for the NYSE Tick index at the open.
The modest risk-on backdrop pressured JPY to the bottom of the G10 pile, while SEK recovered alongside comments from Riksbank's Floden, who talked up the prospect of the Riksbank holding rates at high levels for an extended period, and stressed his conviction that the SEK would strengthen over time. SEK's outperformance ran counter to a poorer NOK, tipping NOK/SEK away from an early multi-week high of 1.0378.
Data releases pick up on Tuesday, with the release of JOLTS job openings data as well as the August consumer confidence figure. Markets expecting consumer confidence to fade by 1 point to 116.00. RBA's Bullock is set to speak as well as Fed's Barr, while the Bank of Finland hold a press conference on monetary policy.

TUESDAY DATA CALENDAR

Date	GMT/Local	Impact	Period	Flag	Country	Release	Prior	Consensus
29/08/2023	2301/0001	*	Aug		UK	BRC Shop Price Index m/m	-0.1	--	%
29/08/2023	2301/0001	*	Aug		UK	BRC Shop Price Index y/y	7.6	--	%
29/08/2023	0600/0800	*	Aug		DE	GFK Consumer Climate	-25.2	--
29/08/2023	0600/0800	***	Q2		SE	GDP q/q	0.6	-1.2	%
29/08/2023	0600/0800	***	Q2		SE	GDP y/y	0.8	-1.1	%
29/08/2023	0600/0800	**	Jul		SE	Retail Sales y/y	-4.4	--	%
29/08/2023	0600/0800	*	Aug		DE	GFK Consumer Climate	-24.4	-24.5
29/08/2023	0645/0845	**	Aug		FR	Consumer Sentiment	85	85
29/08/2023	1255/0855	**	26-Aug		US	Redbook Retail Sales y/y (month)	--	--	%
29/08/2023	1255/0855	**	26-Aug		US	Redbook Retail Sales y/y (week)	2.9	--	%
29/08/2023	1300/0900	**	Jun		US	Case-Shiller Home Price Index	305.15	--
29/08/2023	1300/0900	**	Jun		US	FHFA Home Price Index m/m	0.7	--	%
29/08/2023	1300/0900	**	Jun		US	Prior Revised HPI % Chge mm SA	0.7	--	%
29/08/2023	1300/0900	**	Q2		US	FHFA Quarterly Home Prices q/q	0.5	--	%
29/08/2023	1300/0900	**	Jun		US	FHFA Home Price Index m/m	0.7	--	%
29/08/2023	1300/0900	**	Jun		US	Prior Revised HPI % Chge mm SA	0.7	--	%
29/08/2023	1300/0900	**	Q2		US	FHFA Quarterly Home Prices q/q	0.5	--	%
29/08/2023	1400/1000	***	Aug		US	Conference Board Confidence	117.0	116.4
29/08/2023	1400/1000	***	Aug		US	Previous Consumer Confidence Index Revised	110.1	--
29/08/2023	1400/1000	**	Jun		US	JOLTS job openings level	9582	--	(k)
29/08/2023	1400/1000	**	Jun		US	JOLTS quits rate	3.6	--	%
29/08/2023	1430/1030	**	Aug		US	Dallas Fed services index	-4.2	--
29/08/2023	1530/1130	*	01-Sep		US	Bid to Cover Ratio	--	--
29/08/2023	1700/1300	**	Aug		US	Bid to Cover Ratio	--	--

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US TSYS Position Squaring Ahead Friday's August Employment data

Tsy futures look to finish the session near the top end of the range after see-sawing off overnight lows by midmorning. No data or headline driver, FI markets worked off last weeks lows with focus on this Friday's August employment report.
Pre-auction short selling on ample Treasury supply kept the front end anchored.
Tsy futures steady after the $45B 2Y note auction (91282CHV6) traded through: 5.024% high yield vs. 5.030% WI; 2.94x bid-to-cover vs. 2.86x prior.
Little reaction to the day's second note auction comes out on the screws: $46B 5Y note auction (91282CHX2): 4.400% high yield vs. 4.400% WI; 2.54x bid-to-cover vs. 2.60x in the prior month.
Treasury wraps up supply tomorrow with Tsy $36B 7Y Notes (91282CHW4).
Heavy overall volumes as Sep/Dec Treasury futures roll continued apace, percentage complete over 80% in late trade.
Looking ahead to Tuesday's data: FHFA House Price Index at 0900ET, JOLTS Job Openings and Conf. Board Consumer Confidence at 1000ET.

OVERNIGHT DATA

US AUG. DALLAS FED MANUFACTURING INDEX -17.2; EST. -19.0

MARKETS SNAPSHOT

Key late session market levels:

DJIA up 175.37 points (0.51%) at 34521.9
S&P E-Mini Future up 23.25 points (0.53%) at 4437.25
Nasdaq up 98.8 points (0.7%) at 13689.17
US 10-Yr yield is down 3.2 bps at 4.2039%
US Sep 10-Yr futures are up 8/32 at 109-22
EURUSD up 0.0017 (0.16%) at 1.0813
USDJPY up 0.04 (0.03%) at 146.48
WTI Crude Oil (front-month) up $0.31 (0.39%) at $80.13
Gold is up $5.31 (0.28%) at $1920.21

European bourses closing levels:

EuroStoxx 50 up 57.44 points (1.36%) at 4293.69
German DAX up 160.79 points (1.03%) at 15792.61
French CAC 40 up 95.11 points (1.32%) at 7324.71

US TREASURY FUTURES CLOSE

3M10Y -2.998, -129.865 (L: -132.847 / H: -125.409)
2Y10Y +0.086, -84.399 (L: -88.222 / H: -83.316)
2Y30Y +3.427, -76.576 (L: -83.885 / H: -76.033)
5Y30Y +3.571, -12.21 (L: -19.006 / H: -12.042)
Current futures levels:
Sep 2-Yr futures up 0.625/32 at 101-6.375 (L: 101-02.75 / H: 101-06.375)
Sep 5-Yr futures up 3.75/32 at 105-24.75 (L: 105-16.75 / H: 105-25.25)
Sep 10-Yr futures up 8/32 at 109-22 (L: 109-10 / H: 109-23.5)
Sep 30-Yr futures up 9/32 at 120-1 (L: 119-19 / H: 120-14)
Sep Ultra futures up 6/32 at 125-31 (L: 125-17 / H: 126-20)

US 10Y FUTURE TECHS: (U3) Trend Needle Points South

RES 4: 111-29 High Aug 10
RES 3: 111-11+ 50-day EMA
RES 2: 110-29 High Aug 11
RES 1: 110-06 20-day EMA
PRICE: 109-20 @ 1430 ET Aug 28
SUP 1: 108-28/26+ Low Aug 22 / Low Oct 21 2022 (cont)
SUP 2: 108-12 1.00 proj of the Jul 18 - Aug 4 - Aug 10 price swing
SUP 3: 107-22 2.0% 10-dma envelope
SUP 4: 107.17 1.236 proj of the Jul 18 - Aug 4 - Aug 10 price swing

SOFR FUTURES CLOSE

Sep 23 -0.005 at 94.540
Dec 23 -0.005 at 94.505
Mar 24 steady00 at 94.645
Jun 24 -0.010 at 94.915
Red Pack (Sep 24-Jun 25) -0.015 to +0.045
Green Pack (Sep 25-Jun 26) +0.050 to +0.050
Blue Pack (Sep 26-Jun 27) +0.050 to +0.055
Gold Pack (Sep 27-Jun 28) +0.045 to +0.055

SHORT TERM RATES

SOFR Benchmark Settlements:

1M +0.00482 to 5.33365 (+.01456 total last wk)
3M +0.01355 to 5.41744 (+0.02072 total last wk)
6M +0.02548 to 5.49279 (+0.02277 total last wk)
12M +0.05466 to 5.46632 (+0.02828 total last wk)

STIR: FRBNY EFFR for prior session:

Daily Effective Fed Funds Rate: 5.33% volume: $103B
Daily Overnight Bank Funding Rate: 5.31% volume: $261B

US TSYS: Repo Reference Rates

Secured Overnight Financing Rate (SOFR): 5.30%, $1.344T
Broad General Collateral Rate (BGCR): 5.28%, $550B
Tri-Party General Collateral Rate (TGCR): 5.28%, $543B
(rate, volume levels reflect prior session)

FED REVERSE REPO OPERATION

NY Federal Reserve/MNI

EGB Curves Bear Flatten Peripherals Outperform

Bund futures -15, major German cash benchmarks 1.5-3.5bp cheaper late in the day as the curve bear flattens.

Hawkish musings from ECB’s Lagarde (late Friday) & Holzmann allowed the front end of the curve to provide the weak point throughout the session.
Bund futures had a look below Friday’s low, but bears couldn’t make the move stick, running out of steam without forcing a test of key technical support.
Comments from Bundesbank President Nagel, playing down the need for pre-commitment at the ECB’s Sep meeting, helped Bunds to recover further from lows.
We then topped out again, with firmer natural gas and oil prices helping cap any rallies.
News of Germany mandating banks for a tap of its Aug-53 line helped the 5s30s German curve away from session flats, although it wasn’t a complete surprise, with some desks flagging the potential for such a move given already detailed German issuance intentions.
EU supply didn’t provide any notable headwinds for the market, seeing smooth enough, although not impressive, digestion.
Most EGB curves saw a bear flattening move, akin to Germany.
A bid in equities and slightly tighter CDS indices seemed to facilitate some light peripheral spread tightening vs. Bunds, while 10-Year core/semi-core was little changed vs. German 10s.
Liquidity was thinned by a holiday in London.

FOREX Bounce in Equities Tips USD/JPY to New Cycle High

After a more muted start to the day's trade, activity and price action picked up through the NY crossover, with a solid start for US equity markets helping tip USD/JPY to a new cycle high at 146.68. European markets and US futures got off to to a strong start, with US traders following on with strong buying evident from the off via a multi-week high reading for the NYSE Tick index at the open.
The modest risk-on backdrop pressured JPY to the bottom of the G10 pile, while SEK recovered alongside comments from Riksbank's Floden, who talked up the prospect of the Riksbank holding rates at high levels for an extended period, and stressed his conviction that the SEK would strengthen over time. SEK's outperformance ran counter to a poorer NOK, tipping NOK/SEK away from an early multi-week high of 1.0378.
Data releases pick up on Tuesday, with the release of JOLTS job openings data as well as the August consumer confidence figure. Markets expecting consumer confidence to fade by 1 point to 116.00. RBA's Bullock is set to speak as well as Fed's Barr, while the Bank of Finland hold a press conference on monetary policy.

TUESDAY DATA CALENDAR

Date	GMT/Local	Impact	Period	Flag	Country	Release	Prior	Consensus
29/08/2023	2301/0001	*	Aug		UK	BRC Shop Price Index m/m	-0.1	--	%
29/08/2023	2301/0001	*	Aug		UK	BRC Shop Price Index y/y	7.6	--	%
29/08/2023	0600/0800	*	Aug		DE	GFK Consumer Climate	-25.2	--
29/08/2023	0600/0800	***	Q2		SE	GDP q/q	0.6	-1.2	%
29/08/2023	0600/0800	***	Q2		SE	GDP y/y	0.8	-1.1	%
29/08/2023	0600/0800	**	Jul		SE	Retail Sales y/y	-4.4	--	%
29/08/2023	0600/0800	*	Aug		DE	GFK Consumer Climate	-24.4	-24.5
29/08/2023	0645/0845	**	Aug		FR	Consumer Sentiment	85	85
29/08/2023	1255/0855	**	26-Aug		US	Redbook Retail Sales y/y (month)	--	--	%
29/08/2023	1255/0855	**	26-Aug		US	Redbook Retail Sales y/y (week)	2.9	--	%
29/08/2023	1300/0900	**	Jun		US	Case-Shiller Home Price Index	305.15	--
29/08/2023	1300/0900	**	Jun		US	FHFA Home Price Index m/m	0.7	--	%
29/08/2023	1300/0900	**	Jun		US	Prior Revised HPI % Chge mm SA	0.7	--	%
29/08/2023	1300/0900	**	Q2		US	FHFA Quarterly Home Prices q/q	0.5	--	%
29/08/2023	1300/0900	**	Jun		US	FHFA Home Price Index m/m	0.7	--	%
29/08/2023	1300/0900	**	Jun		US	Prior Revised HPI % Chge mm SA	0.7	--	%
29/08/2023	1300/0900	**	Q2		US	FHFA Quarterly Home Prices q/q	0.5	--	%
29/08/2023	1400/1000	***	Aug		US	Conference Board Confidence	117.0	116.4
29/08/2023	1400/1000	***	Aug		US	Previous Consumer Confidence Index Revised	110.1	--
29/08/2023	1400/1000	**	Jun		US	JOLTS job openings level	9582	--	(k)
29/08/2023	1400/1000	**	Jun		US	JOLTS quits rate	3.6	--	%
29/08/2023	1430/1030	**	Aug		US	Dallas Fed services index	-4.2	--
29/08/2023	1530/1130	*	01-Sep		US	Bid to Cover Ratio	--	--
29/08/2023	1700/1300	**	Aug		US	Bid to Cover Ratio	--	--

Real-time Actionable Insight

MNI ASIA OPEN: Tsys, Stocks Unwind Last Week's Selling

OVERNIGHT DATA

MARKETS SNAPSHOT

US TREASURY FUTURES CLOSE

SOFR FUTURES CLOSE

SHORT TERM RATES

FED REVERSE REPO OPERATION

TUESDAY DATA CALENDAR

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OVERNIGHT DATA

MARKETS SNAPSHOT

US TREASURY FUTURES CLOSE

SOFR FUTURES CLOSE

SHORT TERM RATES

FED REVERSE REPO OPERATION

TUESDAY DATA CALENDAR

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