Bonds Snap Back Into Holiday Mode

Wednesday's abrupt sell-off increasingly looks like the market's way of getting caught up after 2 days of holiday closures in London (when London is closed, cash Treasuries don't trade overnight during the European session).  Things were a bit touch and go this morning as yields rose back toward unchanged levels and MBS flirted with negative territory, but the PM hours have seen a return of calm, thinly traded movement.  It's a bonus that the movement happens to be in a friendly direction.  10yr yields hit the 3pm close down roughly 4bps.  MBS were nearly an eighth of a point higher at the same time.

Econ Data / Events

  • Fed MBS Buying 10am, 11:30am, 1pm

  • Jobless Claims 198k  vs 208k f'cast, 206k prev

  • Chicago PMI 63.1 vs 62.0 f'cast, 61.8 prev

Market Movement Recap
08:40 AM

Modest strength in Asia partially offset by modest weakness after 5am.  10yr yields still down 2.2bps at 1.534.  MBS up nearly an eighth.

10:34 AM

choppy 2-way trading gave way to a bit of weakness heading into 10am hour.  Treasuries and MBS both trying to bounce at their weakest levels of the day.  10yr still down roughly 2bps.  MBS 1-3 ticks (0.03-0.09) weaker depending on when you look at the screen.

01:38 PM

Bonds found footing heading into the PM hours and have been flat since then.  10yr down 3.5bps at 1.522.  MBS up 2 ticks (0.06).