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Risk-Off Momentum Ahead Fri's Aug NFP

US TSYS SUMMARY

Tsys well bid by the NY close -- heading into Fri's Aug NFP (+1.350M est) with strong risk-off tone as equity indexes tumbled, (emini -145.0 (-4.05%) at 3563.0; NDX -666.7 (-5.5%) at 12056.44; DJIA -950.68 (-3.27%) at 29100.5).

  • Choppy session all around: Tsys dipped after weekly claims, pre-/post-data flow includes real$ selling 10s and 30s, sporadic buying in 30s from leveraged$. Fast$ buying short end, swap-tied selling 5s.
  • Tsys surged after midmorning buy 5k TYZ Block, while broadly weaker equities helped risk-off tone accelerate ahead midday as sources reported large sell program helped trigger sharp sell-off in NASDAQ, near 1,900 (largest sale program since mid-June). Sources noted ongoing real$ buying in long end joined by bank portfolios.
  • Tsy pared gains (equities remained weaker) as Tsys drew some selling immediately after Fed buy op in 7s-20s.
  • The 2-Yr yield is down 0.8bps at 0.125%, 5-Yr is down 1.3bps at 0.239%, 10-Yr is down 2.4bps at 0.6234%, and 30-Yr is down 3.8bps at 1.3407%.
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