Where We Are, Where We Might Be Going, And How We Might Get There

The first day of September found a way to be just as terrible as the last day of August--something we were certainly hoping to avoid given the consistent selling pressure in August.  Domestic traders were calm at first, but then began to unload a few minutes before the 8:20am CME open.  Upbeat labor market data added to the weakness more than it otherwise would due to the proximity of tomorrow's NFP as well as the generally elevated importance of employment metrics when it comes to shaping the Fed policy outlook.

Econ Data / Events
    • ISM Manufacturing 
      • 52.8 vs 52.0 f'cast, 52.8 prev
    • ISM Employment 
      • 54.2 vs 49.9 prev, highest since March
    • ISM Prices 
      • 52.5 vs 55.5 f'cast, 60.0 prev
Market Movement Recap
09:18 AM

Slightly weaker at first in the overnight session, but heavier selling from domestic traders starting at 8:13am, then exacerbated by Claims data at 8:30.  10yr up 6.1bps at 3.257 and MBS down 10 ticks (.31).

10:10 AM

Additional weakness after ISM with 10yr briefly up to 3.28 (now back down to 3.26, which is still 6+ bps higher on the day).  MBS down 3/8ths on the day and 7 ticks (.22) from the AM highs.

01:11 PM

Decent bounce since 11am.  Still much lower on the day with 4.5 UMBS down 10 ticks (.31) at 99-00.  10yr yields up 6.5bps at 3.261 vs intraday highs of 3.297.

04:19 PM

10yr yields have been flat all afternoon, right in line with the previous update.  MBS have picked up a few more ticks, still down a quarter point on the day, but up at least that much from the lows.

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