Intraday Volatility But Mostly For Treasuries; Fed On Deck

Bonds began the day trading right in line with yesterday afternoon's higher yields (or lower prices).  The first two hours saw a decent rally with trading levels nearly returning to yesterday's stronger range.  A bounce in stocks just after 10am made things a bit tougher for bonds.  Granted, stocks aren't the only game in town when it comes to inspiring the bond market, but bonds are content to take cues for range-bound volatility while they wait for Wednesday's Fed announcement.  Treasuries experienced most of that volatility while 3.0 UMBS were especially calm and sideways from 10am on.

Econ Data / Events

  • Fed MBS Buying 10am, 11:30am, 1pm

  • FHFA Home Prices Nov y/y.............. 17.5 vs 17.4 prev
    Case Shiller Home Prices Nov y/y..... 18.8 vs 18.5 prev

Market Movement Recap
09:05 AM

Initially weaker in the overnight session with 10yr yields as high as 1.797.  Better buying into the domestic session, now back down to 1.75%.  MBS are 3 ticks higher (0.09) to start.

11:33 AM

Gains into the 10am hour, then a bounce with stocks just after 10am.  10yr still down 1.4bps, but back up to 1.762%.  MBS up only 2 ticks (0.06) on the day now.

01:07 PM

Gains resuming after strong 5yr Treasury auction.  3.0 UMBS up 6 ticks (.19) at 100-02 (100.06).  10yr less responsive, but still slightly stronger, down 2.5bps on the day at 1.751.