Today looked like it would be all about waiting for the Fed Minutes to see if there were any surprises.  That plan began in fairly good shape, with only a mild rally following weaker residential construction data.  By mid-day, bonds were staging near their stronger levels from yesterday's domestic session.  Then the weird stuff started happening.

Big trades (purchases) slammed into the bond complex--far too big to be accounted for by anything random.  At the same time, movement in stocks and $/Yen told us that something was going on, but it took a few minutes before any likely suspects were found at the scene.

The first (and ultimately, the "only") suspect popped up several minutes after the initial move.  It came in the form of a tweet from Trump, saying that he was disbanding his council of CEOs.  Twitter began crediting the tweet for the market move and I immediately took exception, saying it couldn't possibly be the source of the movement because--well... look at the damn timestamp!  It was so obvious, after all.

It's bound to happen a few times a year.  I'll definitively reject a hypothesis for seemingly cut-and-dried reasons only to find out that I was hasty in hindsight.  I'll be the first to tell you today was one of those days (and the first to point out my chat in MBS Live about the news possibly leaking out before the tweet).  That was indeed the case.  Upon further investigation, several traders said it had popped up as early as 12:50pm, but that they didn't think much of it until the bigger moves closer to the time of the tweet.  

In fact, it wasn't until the tweet came out that market participants began putting 2 and 2 together.  But clearly, some very deep-pocketed traders knew exactly what was going to happen more than 20 minutes before it actually happened (there were smaller volume spikes at 12:50pm, and then the biggest trades that preceded the tweet itself by a few minutes).

After the tweet, we had some actual momentum in bonds, although it was merely moving yields from one end of their micro-range to the other.  It paused in order to see if the Fed had anything interesting to say in the Minutes.  They didn't, and so the rally resumed after the Fed Minutes, ultimately hitting 2.2202% in 10yr yields.  MBS had a smaller version of the same move, with Fannie 3.5 coupons rising 6/32nds of a point to 103-07.


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.5
103-07 : +0-06
Treasuries
10 YR
2.2255 : -0.0405
Pricing as of 8/16/17 5:27PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
2:11PM  :  FOMC Minutes Merely a Recap of What We've Already Heard
1:28PM  :  Abrupt Improvement Just Now
11:21AM  :  Nice Bounce (Relatively) Driven By Techs and Summertime Caution
8:42AM  :  Bonds Little-Changed After Weaker Data

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Matthew Graham  :  "RTRS - POLICYMAKERS AGREED A FALL IN LONGER-TERM INFLATION EXPECTATIONS WOULD BE UNDESIRABLE"
Matthew Graham  :  "RTRS - VOTING POLICYMAKERS WERE CONCERNED ABOUT SLOWDOWN IN INFLATION AND AGREED TO MONITOR PRICES CLOSELY"
Matthew Graham  :  "RTRS- SOME VOTING POLICYMAKERS SAID FURTHER INTEREST RATE HIKES SHOULD WAIT UNTIL THERE WERE SIGNS INFLATION WOULD RISE TO FED'S 2 PCT TARGET"
Matthew Graham  :  "RTRS- FED POLICYMAKERS HELD WIDE-RANGING DEBATES OVER INFLATION OUTLOOK, STOCK PRICES AND FINANCIAL STABILITY - JULY 25-26 POLICY MEETING MINUTES"
Matthew Graham  :  "the council is the news. people were starting to leave because of yesterday's press conference and Trump disbanded it."
John Tassios  :  "there's talk of economic CEO council disbanding, plus news that Cohn was not comfortable with news conf the other day."
Matthew Graham  :  "no, it was definitely "something." Maybe the Trump news hit somewhere other than twitter 3 minutes earlier."
John Tassios  :  "maybe sensing more dovish minutes?"
Matthew Graham  :  "yeah, saw that, but what does that even mean? it looked like twitter went looking for a scapegoat"
Scott Valins  :  "trump just ended the Manufacturing Council"
Matthew Graham  :  "part of the issue is the narrow range making things look bigger, but there was still definitely a spike at 1:11pm. So far, all we have is the volume and the move (no underlying headlines). That said, there is likely an underlying headline, given that stocks are moving lower as well."
Oliver Orlicki  :  "whats with the spike"

Economic Calendar
Time Event Period Actual Forecast Prior
Wednesday, Aug 16
7:00 Mortgage Market Index w/e 419.1 418.7
8:30 Housing starts number mm (ml)* Jul 1.155 1.220 1.215
8:30 Building permits: number (ml)* Jul 1.223 1.250 1.275
14:00 FOMC Minutes *
Thursday, Aug 17
8:30 Philly Fed Business Index * Aug 18.5 19.5
8:30 Initial Jobless Claims (k) w/e 240 244
9:15 Industrial Production (%)* Jul 0.3 0.4
9:15 Capacity Utilization (%) Jul 76.7 76.6