Posted To: MBS Commentary
Nice Recovery as Month-End Trades Roll In Month-end trading isn’t always helpful for bonds. Indeed, that’s why our knowledge base entry on the topic is titled “month-end positioning.” There was plenty of positioning and repositioning today as traders initially jumped on the bandwagon of a flatter yield curve and then began to exit those trades after 10:30am ET. The flattener exit trades proved helpful for MBS with 2.5 coupons able to recover more than 3/8ths of a point, trough to peak. 10yr yields were down just over 2bps by the 3pm CME close. Econ Data / Events Fed MBS Buying 10am & 1130am Core PCE Inflation 3.6 vs 3.7 f’cast, 3.6 prev Market Movement Recap 08:51 AM No initial reaction to PCE data despite overnight weakness. Now seeing risk parity trades pulling money…(read more)
