Sep/Dec Roll Volume Surge

Tsys were mostly weaker after the bell, near second half highs, yld curves steeper/off highs. Very heavy volumes for late summer trade due to ongoing surge in Sep/Dec rolling (2.8M TYU; TYU/TYZ >1.5M). Aside from rolls and hedging volume, trade has been largely two-way as participants continued to trade the summer range.

• Sep 10Y contract stalled last week at 139-23+, Aug 21 high; subsequent sharp sell-off suggests the recovery and corrective bounce between Aug 13 - 21 has run its course. Eurodollar options saw consistent put buying targeting Autumn 2022 rate hikes.
• Mixed midmorning data: big miss consumer confidence (84.8 vs 93.0 exp), Richmond Fed Index much stronger than expected (+18 vs +10 exp), New Home Sales much stronger than expected (901k vs 790k exp).
• Modest stop through, US Tsy $50B 2Y Note (91282CAG6): 0.155% rate (0.155% last month) vs. 0.157% WI, bid/cover 2.78 vs. 2.34 previous. The 2-Yr yield is up 0bps at 0.1514%, 5-Yr is up 1bps at 0.2915%, 10-Yr is up 2.8bps at 0.6818%, and 30-Yr is up 3.2bps at 1.3878%.