What to Watch: Carry-Over Policy Repricing

Tsys weaker at the opening bell, gradually drifting off overnight lows on more moderate volumes (TYU2>385k) with London out for bank holiday.

• Yield curves remain mixed (2s10s +1.969 at -34.222, 5s30s -0.341 at -1.986) as markets continue to digest hawkish policy messaging from Jackson Hole eco-summit. Chances of 75bp hike on Sep 21 back climbed back to 50%, while higher for longer tone sees chances of rate cut in late 2023 evaporate.
• Sep/Dec Tsy futures roll winding down ahead Wed's First Notice when Dec futures take lead quarterly position (Sep futures won't expire until next month: 10s, 30s and Ultras on September 21, September 30 for 2s and 5s).
• Economic data limited to:
  • Dallas Fed Manf. Activity (-22.6 prior, -12.2 estimate) at 1030ET
    
• US Tsy Auctions:
  • US Tsy $54B 13W, $42B 26W bill auctions at 1130ET
• Fed Speak:
  • Fed VC Brainard Chicago FedNow Workshop, text, no Q&A at 1415ET