Month-end index rebalancing—in which bonds sold during the month are added and some older ones drop out—also contributed to Friday’s sell-off in US Treasuries, cutting short what was set to be the biggest monthly bond rally of the year. US 10-year yields fell 15 basis points in June, following a drop of 17 basis points in May. However, despite the volatility in yields, the latest US data remain consistent with an economy headed for a soft landing, with the Federal Reserve’s favored inflation gauge—the core personal consumption expenditure (PCE) price index—decelerating further in May. We see evidence that continues ... (full story)