Big Intraday Round Trip For Bonds; Williams Helped

Bonds spent the first half of the day pressing into even weaker levels in spite of a respectable drop in oil prices. Data and headlines had little to no bearing on the selling. If anything, the biggest scapegoat is the combination of bearish momentum and quarter-end trading (something we're extrapolating from the mirror-image correlation between stocks and bond yields). 10yr yields crested 5.29% at their weakest levels--right in line with the only obvious nearby technical level from 2007. Bearishness reversed at 2pm when Fed Gov Williams said he didn't see a need for urgency after the September rate hike. Fed Funds Futures rallied quickly and the entire yield curve (apart from 30yr bonds) ended up making it back to positive territory by the close. 

Econ Data / Events
    • Case Shiller Home Prices-20 y/y (Jul)
      • 2.5% vs 2.2% f'cast, 2.1% prev
    • FHFA Home Price Index m/m (Jul)
      • 0.3% vs 0.1% f'cast, 0% prev
    • CB Consumer Confidence (Sep)
      • 81.9 vs 89.2 f'cast, 89.4 prev
    • USA JOLTS Job Openings (Aug)
      • 7.079M vs 7.23M f'cast, 7.271M prev
Market Movement Recap
08:58 AM

MBS up 2 ticks (.06) and 10yr down less than 1bp at 5.231

10:05 AM

Heavy selling between 9:30am and 10am. Bouncing modestly after 10am data. MBS down over an eighth and 10yr up 1.1bps at 5.25

02:26 PM

MBS down a quarter point, but well off the weakest levels after Williams' comments implying no urgent need for additional rate hikes. 10yr still up 2.6bps at 4.267