Bonds Rally on Month-End Trading and Friendly Inflation Data

Bonds began the day in unchanged territory and made cautious gains after reasonably friendly inflation data.  PCE was a bigger factor than the Consumer Sentiment inflation expectations, but both contributed.  Given our position on the calendar, we should also consider the impact of month/quarter-end positioning. It would help account for some of this week's resilience in US bond markets relative to the suggestion of equities markets or EU bonds.  

Econ Data / Events
    • Core PCE Inflation y/y
      • 4.6 vs 4.7 f'cast, 4.7 prev
    • Chicago PMI
      • 43.8 vs 43.4 f'cast, 43.6 prev
    • Consumer Sentiment
      • 62.0 vs 63.2 f'cast, 63.4 prev
    • 1yr inflation expectations
      • 3.6 vs 3.8 prev
    • 5yr inflation expectations
      • 2.9 vs 2.8 prev
Market Movement Recap
09:31 AM

Roughly unchanged overnight.  Moderately stronger after inflation data.  10yr down 3bps at 3.517.  MBS up 2 ticks (.06).

01:10 PM

Slow, steady gains all day.  Some month-end bond buying is likely contributing.  MBS up more than an eighth.  10yr down 4bps at 3.507

03:20 PM

Additional gains before and after the 3pm CME close.  10yr down 6bps at 3.486.  MBS up a quarter point.