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Quiet Positioning Ahead Next Week's Sep Employ Data

US TSYS SUMMARY

Quiet end to the week, Tsys trading mixed after the bell, long end reversing gains/trading mildly weaker in second half vs. mildly higher 2s-10s, light volumes, TYZ under 685k; equities continuing to climb off midweek lows, ESZ0 +56.0.

  • Tsy futures held near early session highs after Aug Durable Goods miss +0.4% vs. +1.4% est. Early flow included light two-way trade in 30s from prop accts, mild carry-over bank portfolio selling in intermediates.
  • Modest positioning ensued, accts squaring up ahead of next week's employment data, Sep nonfarm payrolls current estimate +865k vs. +1.371M prior (private jobs +965k vs. +1.027M prior).
  • Salient Eurodollar futures trade: Late Block sale EDV serial futures 99.777; +29,000 Red Dec'21/Mar'22 spds, -0.010, goes bid there. Chatter for past couple weeks that a minority of algos driving volumes in spds including large two-way in Dec'20/Mar'21 this week. Recent Green pack Block (EDZ2-EDU3) most likely swap-related.
  • The 2-Yr yield is down 0.4bps at 0.1289%, 5-Yr is down 1.1bps at 0.2642%, 10-Yr is down 0.7bps at 0.6593%, and 30-Yr is down 0.2bps at 1.4058%.

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