Abnormally Uneventful Friday For Bonds

Whether we're talking about actual Fridays or Thursdays that fall before 3-day weekends, the last trading day of each of the past 4 weeks has not been great for the bond market.  One of them marked an abrupt reversal of our best shot at consolidation, and the other three took rates rapidly up to new long-term highs.  Today was great by comparison with Treasury yields falling modestly and MBS holding mostly steady with minimal losses.  

Econ Data / Events

  • Fed MBS Buying 10am, 11:30am, 1pm

  • Markit PMI Services 54.7 vs 58.0 f'cast
    Markit PMI Manufacturing 59.7 vs 58.2 f'cast
    Markit Services Prices 73.3 vs 67.8 prev
    Markit Manufacturing Prices 78.4 vs 69.7 prev

Market Movement Recap
09:19 AM

Slightly weaker overnight despite a few attempts to bounce.  MBS underperforming just a bit with 4.0 coupon down a quarter point vs Treasuries down 5-6 ticks (.16-.19 in price).  Yields are up 2bps in 10s at 2.926%

01:11 PM

Some strength after the 9:30am NYSE open, but it didn't last long.  Treasuries drifted back to unchanged levels, and MBS are settling in with about an eighth of a point of weakness. 

02:35 PM

Sliding sideways now with traders seemingly most interested in finding the exit with minimal drama.  Levels right in line with the last update.

03:23 PM

Slight gains after 3pm CME close and some relatively balanced comments from Fed's Mester (i.e. no need for 75bp hike.  no need to "shock" the market).  10yr down 1.1bps at 2.897 and MBS somewhere between -3 ticks (-0.09) and unchanged (moving target due to illiquidity).