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Rates Treading Water, Focus on Friday Jobs Data

US TSYS
  • Treasury futures staying close to home overnight, levels marginally mixed, inside narrow range. Rather decent overnight volumes (TYU3>330k) despite London out on bank holiday today, elevated volumes due to Sep'23 option expiring and Sep/Dec rolls ahead Thursday's "First Notice" date where Dec'23 takes lead quarterly.
  • Curves flatter with bonds trading firmer: 3M10Y -2.588 at -129.455, 2Y10Y -2.141 at -86.626. Sep'23 10Y currently -1 at 109-12, yield 4.2315% -.0039.
  • Initial technical support for the Sep'23 10Y contract is 108-28/26+ Low Aug 22 / Low Oct 21 2022 (cont). On the flipside, Firm resistance is 110-08+, the 20-day EMA. Gains are considered corrective.
  • Economic data limited to Dallas Fed Mfg Activity (-20.0, -19) at 1030ET, focus on the latest employment data for August this Friday.
  • Scheduled Fed speak: Fed VC Barr on banking services, no text, Q&A at 1230ET.
  • STIR Update: Secured Overnight Financing Rate 3M futures are moving lower in the minutes after SOFR 3M rate settled +0.01355 to 5.41744 (+0.02072 total last wk).
  • Rate hike projections through year end are gaining: Sep 20 FOMC is 22.8% w/ implied rate change of +5.7bp to 5.386%. November cumulative of +16.8bp at 5.496, December cumulative of 16.4bp at 5.493%. Fed terminal climbs to 5.50% in Nov'23.

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