If you're tuning in to this recap to find out if something interesting happened today or if something is worth discussing with colleagues or clients, let's get this out of the way right up front: nothing interesting happened today--at least not as far as interest rate momentum is concerned.  There was no significant economic data and bond markets, once again, demonstrated that liquidity is king as the various times of day that hold the biggest surges in liquidity also saw the biggest movement in volume and prices.

Is that more about the liquidity during those times (European open, CME open, etc) or is it more to do with how very little was happening away from those times?  Certainly, a bit of both, but I will say that the differences didn't use to be so reliably stark in the past when traders knew there would be decent liquidity throughout the day (as opposed to simply during these busier times).

In other words, the times of day that we're discussing have become a dinner bell of sorts.  If you have trades that you really want to (or HAVE to) make today, there are only so many times of day where you can be assured of sufficient counterparty participation.

In today's example, the European hours hurt bond markets overnight and the onset of domestic trading helped rein in the weakness.  MBS outperformed from the outset, but Treasuries also ended up in positive territory.  The gains were modest and left 10yr yields perfectly in line with the most equivocal middle ground discussed in this morning's commentary (1.93).