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).
Managing Director, Investment Management Group
|8/6/2019||JOLTS Job Openings||7326||—||7323||—|
|8/7/2019||MBA Mortgage Applications||—||—||-1.40%||—|
|8/8/2019||Initial Jobless Claims||215k||—||215k||—|
|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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