More Yield Curve Musings and Retail Sales Reaction

Retail Sales was today's big ticket data point and it came in quite a bit stronger than expected.  Bonds reacted about like you'd expect with yields rising immediately after the data.  MBS didn't get hit quite as hard.  Part of the reason was the shape of yield curve trading today.  There was also plenty of corporate issuance and a 20yr bond auction that weighed Treasuries down a bit compared to MBS.  Today's video discusses (and attempts to simplify, a bit...) the yield curve and some curve trading considerations.

Econ Data / Events
    • Retail Sales 
      • 3.0 vs -1.9 f'cast,-1.1 prev
    • NY Fed Manufacturing
      • -5.8 vs -18.0 f'cast, -32.9 prev
    • Industrial Production
      • 0.0 vs 0.5 f'cast, -1.0 prev
    • NAHB Builder Confidence
      • 42 vs 37 f'cast, 35 prev
Market Movement Recap
09:49 AM

Flat overnight, then logically weaker after data.  Some surprising resilience since then.  MBS unchanged and 10yr up less than 1bp at 3.761.

12:11 PM

Progressively weaker Treasuries with 10yr yields up 6bps at 3.81+.  MBS near lows, down 5 ticks (.16) on the day and 6 ticks (.19) versus the AM highs.

02:38 PM

Sideways volatility for Treasuries after the 20yr bond auction, but still near previous levels, with 10yr yields up 6bps at 3.814.  MBS down 5 ticks (.16).

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