Month-End Selling Keeps Rates Range-Bound
You’ve perhaps heard of month-end bond buying? How about month-end selling? We had some of the former earlier in the session with a reversal toward weaker levels at the 3pm CME close. PCE inflation data wasn’t traded this morning. Early cues came from overseas. Late cues look more position-driven. Even before that weakness, bonds rejected another opportunity to move below 3.72%, which increasingly looks like the bottom of the range unless next week’s data is convincingly downbeat.
Econ Data / Events
Core PCE y/y
4.9 vs 4.7 f’cast, 4.7 prev
Core PCE m/m
0.6 vs 0.5 f’cast
Headline PCE m/m
0.3 vs -0.1 f’cast
45.7 vs 51.8 f’cast, 52.2 prev
Consumer Sentiment (final)
58.6 vs 59.5 f’cast
Market Movement Recap
08:33 AM British Gilts rallied 20bps overnight, making the 6-8bp gain in US 10yr yields possible. 10s are now down 5.5bps now and MBS are up a quarter point.
11:06 AM 2-way volatility after AM data and now some organic weakness eroding the gains. 10yr down 3.7bps at 3.742. MBS up 7 ticks (.22).
01:43 PM More weakness now after UK bonds close for the day, but perhaps not because of it. Month-end tradeflows look to be hitting as well. 10yr up to 3.766. MBS down more than a quarter from the highs, but roughly unchanged on the day.
02:52 PM New Highs for 10yr yields ahead of month/quarter-end closing bell at 3pm. Now roughly unchanged at 3.778. MBS down 5 ticks (.16) on the day and 3/8ths of a point from the mid-day price plateau.