Volatility remains low

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Published Date 3/27/2024

Markets started the day fractionally better, the 10 year note at 8 am ET 4.22% -1 bp, early MBS prices +5 bps from yesterday. So far this week rates across the curve have been confined to very narrow ranges, positioning for Friday’s February PCE inflation release when markets will be closed.

The only scheduled news today, weekly MBA mortgage applications. Weekly apps last week down 0.7% from the previous week that was down 1.6% from the week before that. Purchase applications -0.2% after slipping 1.2% prior while re-finances fell 1.6% from -2.5% the week before.

At 9:30 am the DJIA opened +237, NASDAQ +96, S&P +29. Stock indexes since last Friday have been trending down, based on the open today may break the decline although there isn’t any direct news for the better open. The 10 year note at 9:30 am 4.23% down 1 bps. FNMA 6.0 30 year coupon at 9:30 am unchanged from yesterday’s close and +8 bps from 9:30 am yesterday.

At 1 pm Treasury will complete this week’s borrowing with $43B 7 year note auction. Monday’s 2 year auction was soft, yesterday’s 5 year auction saw good bidding.

This week hasn’t had any key market-moving data but that will change tomorrow and Friday. Tomorrow weekly jobless claims thought to be 213K up from 210K, claims have settled into a narrow range the last month, that should continue. The University of Michigan consumer sentiment index, yesterday the consumer sentiment index was weaker than forecasts, the present conditions index increased but the expectations based on consumers’ short-term outlook for income, business, and labor market conditions—fell to 73.8, down from 76.3 last month. An Expectations Index reading below 80 often signals a forthcoming recession.

Friday is the day for key data, all we can do is watch because the bond market is scheduled to close Thursday at 2 pm for the rest of the week. The PCE inflation data on Friday; month/month +0.4% from +0.3%, year/year +2.5% from 2.4% but looking at the core as Powell does month/month +0.3% from +0.4%, year/year unchanged at +2.8%.

Source: TBWS

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