Financial markets are taking a breather following a three-day risk off trade that sent Treasury yields 30 bps lower. S&P 500 futures are up 88 bps, and Treasury yields are higher across the curve. As expected, the Trump administration retaliated to China’s actions yesterday, but it wasn’t the worst-case scenario from a market perspective. After yesterday’s market close, the Treasury Department formally labeled China a currency manipulator, which is more symbolic than substantive, and a more punitive response would have been an increase in the recently announced 10% tariffs to 25%. Not surprisingly, the strong rally in rates has had a significant impact on mortgage-backed securities (MBS) valuations. The ICE BofAML Fannie Mae 30-year MBS Index generated 62 bps of excess return versus Treasuries in July, it’s best month in nearly 2 years, but it gave all of that excess return back in the first 3 days of August with risk-adjusted spreads 11 bps wider. In the high yield space, the ICE BofAML 1-5yr High Yield Index (corporate debt) underperformed Treasuries by 148 bps to begin the month of August (spreads 63 bps wider).
Jason Haley
Managing Director, Investment Management Group
Date | Event | Survey | Actual | Prior | Revised |
8/6/2019 | JOLTS Job Openings | 7326 | — | 7323 | — |
8/7/2019 | MBA Mortgage Applications | — | — | -1.40% | — |
8/7/2019 | Consumer Credit | $16.100b | — | $17.086b | — |
8/8/2019 | Initial Jobless Claims | 215k | — | 215k | — |
8/8/2019 | Continuing Claims | 1690k | — | 1699k | — |
8/8/2019 | Bloomberg Aug. United States Economic Survey | ||||
8/8/2019 | Bloomberg Consumer Comfort | — | — | 64.7 | — |
8/8/2019 | Wholesale Trade Sales MoM | 0.20% | — | 0.10% | — |
8/8/2019 | Wholesale Inventories MoM | 0.20% | — | 0.20% | — |
8/9/2019 | PPI Final Demand MoM | 0.20% | — | 0.10% | — |
8/9/2019 | PPI Ex Food and Energy MoM | 0.20% | — | 0.30% | — |
8/9/2019 | PPI Ex Food, Energy, Trade MoM | 0.20% | — | 0.00% | — |
8/9/2019 | PPI Final Demand YoY | 1.70% | — | 1.70% | — |
8/9/2019 | PPI Ex Food and Energy YoY | 2.30% | — | 2.30% | — |
8/9/2019 | PPI Ex Food, Energy, Trade YoY | — | — | 2.10% | — |
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