Nice Bounce Back After a Bumpy Morning
All in all, today's trading range fell inside yesterday's and this week's trading range falls even more easily inside last week's. In other words, volatility has been decreasing and the range has been narrowing. Nonetheless, weakness is weakness and we had a moderate amount of it this morning. By mid-day, curve trading and Fed comments helped the short end of the curve recover significantly, with a decent amount of the gains spilling over to the long end.
Jobless Claims........244k vs 235k f'cast, 235k prev
Headline PPI m/m...1.1 vs 0.8 f'cast, 0.9 prev
Core PPI m/m.........0.4 vs 0.5 f'cast, 0.6 prev
Core Annual PPI......8.2 vs 8.1 f'cast 8.3 prev
Yields trending higher since 7:40am, now near overnight highs as 2.98% (up 4.3bps). MBS down 10 ticks (.31). No major impact from data (most of the weakness was intact before then).
Additional weakness into the first few minutes of the NYSE open. Yields topped out at 3.028 and are now back down to 2.987. MBS down just under half a point, now trading with better liquidity.
Friendly bounce after 10am on curve trading and then on Fed's Waller's comments (75bp still on the table for next Fed hike). But gains ran out of steam at noon. 10yr up 6bps at 2.997 and MBS down 3/8ths (outperforming thanks to short end of the curve outperforming)
Very flat all afternoon. MBS near highs, down only 6 ticks (.19). 10yr near lows, up only 2.2bps at 2.958.