More Resilient Today, But It’s Still All About Data

The bond market is still searching for its identity in the wake of last week’s Fed announcement.  Monday and Tuesday saw relatively big volatility in the morning with calmer, stronger afternoons–something that fueled hopes that the post-Fed correction was over.  Wednesday saw overnight losses with more weakness throughout the day, thus suggesting the post-Fed correction could still be alive. Thursday had a bit of everything: gains overnight, early losses and a decent afternoon recovery.  The only constant has been the ability of relevant econ data to set the trading tone.

Econ Data / Events

Jobless Claims

218k vs 225k f’cast, 219k prev

Durable Goods

0.0 vs -2.6 f’cast, 9.8 prev

Core Durable Goods

0.2 vs 0.0 f’cast, -0.2 prev

GDP (Q2, revision)

3.0 vs 3.0 prev

Market Movement Recap

09:39 AM Stronger overnight, weaker after data and now back near unchanged.  

10:28 AM Back to weakest levels now.  10yr up 2.5bps at 3.81 and MBS down an eighth. 

01:31 PM modest friendly bounce just before and after the 7yr auction (not necessarily because of it). 10yr up 1.2bps at 3.797 and MBS unchanged. 

04:12 PM No major changes since the last update.  MBS down 1 tick (0.03) and 10yr up 1bp at 3.794