Have Bonds Lost Enough Ground to Imply Some Relief?

Rates are as high as they’ve been in 14 years and have moved relentlessly higher since August 2nd.  Is it enough weakness to hope for a technical bounce ahead of the Fed?  Spoiler alert: while that could happen, it doesn’t make much sense to count on anything until we actually see what the Fed has to say.

Econ Data / Events

Jobless Claims

213k vs 226k f’cast

Philly Fed Index

-9.9 vs 2.8 f’cast, 6.2 prev

Retail Sales

0.3 vs 0.0 f’cast
prev month revised down -0.4

NY Fed Manufacturing

-1.5 vs -13.0 f’cast, -31.3 prev

Market Movement Recap

08:54 AM Methodical, mechanical, linear selling pressure throughout the overnight session.  Bouncing back a bit after data (mostly thanks to Philly Fed -9.9 vs +2.8 f’cast).  10yr yield up 2.3bps at 3.424 and UMBS 4.5 coupons down 7 ticks (.22) at 98-00. 

11:32 AM Nice bounce back early this morning, but it was over just after 9am.  Sideways and volatile after that, but now back near the day’s weakest levels.  MBS down .31 and 10yr up 6bps at 3.457.

01:32 PM Decent bounce in MBS, mostly due to improved liquidity.  After being as low as 97-18 (97.56), 4.5 coupons are back up to 97-28 (97.875).  10yr yields up 4.7 on the day at 3.451.

03:52 PM Bounce topped out just before 2pm and prices have been drifting sideway to slightly lower since then.  MBS down about half a point.  10yr yields are up 5.4bps at 3.459.  
Source: Mortgage News Daily