Big Nasty Sell-Off Sends a Message About The Range

Steady selling in the morning followed by heavy selling after the catastrophically bad 30yr bond auction.  While trading levels managed to recover from their weakest levels, significant weakness remains--especially in MBS which are more in tune with the belly of the yield curve (and that's the worst performer in the Treasury complex).  Taken together with yesterday's weak 10yr auction, and we're left with the impression that bonds have spoken up to define the lower boundary of the current trading range.

Econ Data / Events

  • Fed MBS Buying 10am & 1130am

  • Core Annual CPI 4.6 vs 4.3 f'cast, 4.0 prev

Market Movement Recap
08:38 AM

Weaker overnight with additional losses after hotter CPI data.  10yr up 4.6bps at 1.483 and 2.5 UMBS down just over a quarter point.

10:24 AM

A bit of back and forth after the CPI data, but it gave way to additional weakness after the 9:30am NYSE open.  10yr up 6bps at 1.498 and 2.5 UMBS down 3/8ths of a point

01:08 PM

HEAVY selling both before and after 30yr auction (but especially after).  10yr up 14bps to 1.57+.  MBS down more than half a point, and that's after a bit of a bounce.

03:17 PM

Fairly flat since the last update, and now moving into the less consequential post-3pm ET hours (not reading much into any additional weakness from here).