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Short-Lived Strength After Jobless Claims; Liquidity Problems
Posted to: Micro News
Thursday, October 03, 2013 9:27 AM
Even now, 45 minutes after Jobless Claims, we've still seen less volume in Treasuries than we usually see by 8am on busy days. MBS have been even more plagued by illiquidity, with bid and ask quotes coming across infrequently and farther apart than normal. When we're watching a single line for price indications, this can make for some bumpy movements and we've seen this so far this morning. Most recently 3.5's ratcheted down a quick 3 ticks to 101-20 from 101-23, but they may ratchet back up just as abruptly.
10yr yields fell to 2.625 from 2.635 after the Jobless Claims data, but were unable to make it any lower since then. They're currently back up to 2.63 in very quiet trading.
Before that, the overnight session was similarly uneventful, though not without some movement. Bond markets generally weakened until 5:40am when 10's hit 2.65, and have generally strengthened since then. All told, none of the movement has violated yesterday's highs or lows--not even close. So we continue waiting for inspiration.
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