Treasury prices drifted lower overnight in a follow-through to Friday’s post-jobs activity, but prices are little changed this morning on light volumes. Asian equity markets posted decent gains today, but European equities and S&P 500 futures are mixed at the moment. The U.N. Security Council voted unanimously to impose unprecedentedly severe sanctions against North Korea for its recent missile tests, and China’s participation/support in the sanctions will likely ease tensions between the U.S. and China, particularly as it relates to the White House pursuing trade actions against China. This week’s data calendar is headlined by the July CPI report on Friday, and we will hear from a handful of Fed leaders this week, most notably Vice Chair Bill Dudley on Thursday.
Agency MBS prepayments fell 8% in July, largely in line with expectations and largely attributable to a 10% decline in day count from the prior month. Fannie Mae 30-year speeds fell 1 CPR (8% m/m) to 11.6 CPR in aggregate, and Fannie 15-year prepays also fell 1 CPR from the prior month to 10.4 CPR in aggregate. Overall, mortgage prepayments remain very benign, and the prepayment curve is relatively flat (i.e., relatively small increase in prepayment speeds as you move along the coupon stack). Additionally, turnover-related prepayments remain relatively robust, as evidenced by moderately seasoned 30-year 2.5% pools (close to 100 bps out of the money to refi) averaging 8 CPR in July.
Jason Haley
Managing Director, Investment Management Group
Indicators
| Date | Time | Event | Survey | Actual | Prior | Revised | |
|---|---|---|---|---|---|---|---|
| 08/07/2017 | 15:00 | Consumer Credit | Jun | $15.750b | — | $18.410b | — |
| 08/08/2017 | 06:00 | NFIB Small Business Optimism | Jul | 103.5 | — | 103.6 | — |
| 08/08/2017 | 10:00 | JOLTS Job Openings | Jun | 5700 | — | 5666 | — |
| 08/09/2017 | 07:00 | MBA Mortgage Applications | 04-Aug | — | — | -2.80% | — |
| 08/09/2017 | 08:30 | Nonfarm Productivity | 2Q P | 0.70% | — | 0.00% | — |
| 08/09/2017 | 08:30 | Unit Labor Costs | 2Q P | 1.10% | — | 2.20% | — |
| 08/09/2017 | 10:00 | Wholesale Trade Sales MoM | Jun | 0.00% | — | -0.50% | — |
| 08/09/2017 | 10:00 | Wholesale Inventories MoM | Jun F | 0.60% | — | 0.60% | — |
| 08/10/2017 | 08:30 | Initial Jobless Claims | 05-Aug | 240k | — | 240k | — |
| 08/10/2017 | 08:30 | Continuing Claims | 29-Jul | 1960k | — | 1968k | — |
| 08/10/2017 | 08:30 | PPI Final Demand MoM | Jul | 0.10% | — | 0.10% | — |
| 08/10/2017 | 08:30 | PPI Ex Food and Energy MoM | Jul | 0.20% | — | 0.10% | — |
| 08/10/2017 | 08:30 | PPI Ex Food, Energy, Trade MoM | Jul | 0.20% | — | 0.20% | — |
| 08/10/2017 | 08:30 | PPI Final Demand YoY | Jul | 2.20% | — | 2.00% | — |
| 08/10/2017 | 08:30 | PPI Ex Food and Energy YoY | Jul | 2.10% | — | 1.90% | — |
| 08/10/2017 | 08:30 | PPI Ex Food, Energy, Trade YoY | Jul | — | — | 2.00% | — |
| 08/10/2017 | 09:45 | Bloomberg Consumer Comfort | 06-Aug | — | — | 49.6 | — |
| 08/10/2017 | 14:00 | Monthly Budget Statement | Jul | -$54.0b | — | -$90.2b | — |
| 08/11/2017 | 08:30 | CPI MoM | Jul | 0.20% | — | 0.00% | — |
| 08/11/2017 | 08:30 | CPI Ex Food and Energy MoM | Jul | 0.20% | — | 0.10% | — |
| 08/11/2017 | 08:30 | CPI YoY | Jul | 1.80% | — | 1.60% | — |
| 08/11/2017 | 08:30 | CPI Ex Food and Energy YoY | Jul | 1.70% | — | 1.70% | — |
| 08/11/2017 | 08:30 | CPI Core Index SA | Jul | — | — | 251.627 | — |
| 08/11/2017 | 08:30 | CPI Index NSA | Jul | 244.934 | — | 244.955 | — |
| 08/11/2017 | 08:30 | Real Avg Weekly Earnings YoY | Jul | — | — | 1.10% | 1.20% |
| 08/11/2017 | 08:30 | Real Avg Hourly Earning YoY | Jul | — | — | 0.80% | 0.90% |