Some Month-End Volatility Late in The Day

Yields were near 2 week lows 2 hours before the final trades of the day, but rose several bps after that.  The initial gains were driven mainly be economic data (Chicago PMI and Consumer Inflation Expectations), but the month-end trading environment is always a wild card on month-end days.  If month-end buying was a factor, it would make sense to see some pull back when monthly closing levels were marked at 1pm ET.  That’s exactly what we saw.  Fortunately, it wasn’t a big deal for bonds or mortgage lenders. In fact, the entire week was distinctly lacking in volatility. Next week is a different animal thanks to big ticket econ data on 4 out of 5 days.

Econ Data / Events

Q4 Final GDP

3.4 vs 3.2 f’cast, 4.9 prev
PCE prices 2.0 vs 2.1 f’cast
Final sales 3.9 vs 3.5 f’cast

Jobless Claims

210k vs 215k f’cast, 212k prev

Continued Claims

1819k vs 1807k prev

Chicago PMI

41.4 vs 46.0 f’cast, 44.0 prev

Market Movement Recap

09:44 AM Two way trading after 8:30am data, and now a decent response to Chicago PMI.  10yr up 2bps at 4.208.  MBS down an eighth. 

12:38 PM Solid gains into the noon hour.  10yr nearly unchanged at 4.192.  MBS down 2 ticks (.06).

01:33 PM Well off the highs in after hours trading.  MBS down 6 ticks (.19).  10yr up 1.8bps at 4.206.