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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.

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