Weaker Data Offset by European Tapering Fears

Bonds improved after weaker economic data this morning.  Traders keyed in on internal components of the Chicago PMI report and concluded some labor market weakness could spill over to the week's forthcoming employment reports.  But hawkishness from the European Central Bank pushed bonds back into weaker territory.  All of the above takes place inside the same sideways range that's been intact for more than 3 weeks now.

Econ Data / Events

  • Fed MBS Buying 10am, 1130am, 1pm

  • FHFA Home Prices (June, y/y)  18.8 vs 18.0 prev
    Case Shiller Home Prices         19.1 vs  17.1 prev

  • Chicago PMI 66.8 vs 68.0 f'cast, 73.4 prev

  • Consumer Confidence 113.8 vs 124.0 f'cast, 125.1 prev

Market Movement Recap
09:35 AM

Bonds were flat to stronger early in the overnight session, but began losing some ground in Europe in response to multiple reports showing higher inflation.  US 10yr up only 1bp so far at 1.289.  UMBS 2.0 down  ticks (0.06) at 101-16 (101.5).

12:13 PM

Volatility has gone both ways this morning, with moderate gains after Chicago PMI followed by slightly bigger losses following taper talk from an European Central Bank Official.  10yr now up 3bps at 1.31% and MBS down more than an eighth of a point.

03:27 PM

Bonds made it through the 3pm CME close without any additional fanfare.  10yr yield up 2.4bps at 1.302% and MBS still down about an eighth of a point.