Treasuries hit their highest yields since the beginning of July today, although they'd already begun to calm down by the start of the domestic session.  Still, multi-month highs at any point in the day are not the sort of things that allow us to make a compelling case for a supportive bounce.  True, bonds did make it back to unchanged levels by the afternoon, but  those levels remain above a few key pivot points, including 2.28% and yesterday's highs just over 2.31%.  We'd need to see much more in order to bank on the return of strong buying demand in bonds.

The morning data did nothing to help or hurt, nor would we expect it to.  Final GDP numbers are so stale by the time they come out (last month fueling Q2 GDP data was JUNE, after all) that they don't tend to move markets anyway.  Jobless Claims haven't been relevant for several years now, but even then, today's were in line with expectations at 272k vs 270k.

The only apparent market mover from a scheduled event perspective was the 7yr Treasury auction.  Bonds rallied in the run up to the auction and extended the gains afterward.  The 1pm auction time also saw the heaviest volume of the day--yet another piece of evidence for the "positional" aspect to the volatility this week. MBS Live subscribers can hear a lot more about that in the attached video.

One unequivocal positive of the past few days is the fact that MBS are definitely outperforming 10yr Treasuries. This is to be expected given the curve steepening in Treasuries (longer-term Treasuries moving higher in yield relative to shorter term Treasuries).  The average mortgage doesn't last as long as a 10yr Treasury note.


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
103-06 : +0-02
Treasuries
10 YR
2.3103 : +0.0013
Pricing as of 9/28/17 4:39PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
1:07PM  :  Strong 7yr Auction Validates Mid-Day Rally; Anything More?
1:00PM  :  MBS Turn Green Ahead of Treasury Auction
9:22AM  :  Bonds Weaker Overnight, but Now Near Today's Better Levels

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Sung Kim  :  "$83/mo will pay for the .25% increase in interest rate we are getting because of that..."
Matthew Graham  :  "RTRS- WHITE HOUSE ECONOMIC ADVISER COHN SAYS UNDER TRUMP'S PROPOSED TAX PLAN, A TYPICAL FAMILY WITH TWO KIDS, EARNING $100,000, CAN EXPECT A TAX CUT OF $1,000"
Matthew Graham  :  "But I would say that it's been more heavily weighted in the short-end of the curve (obviously, based on the green in the shorter-term coupons and the outperformance yesterday). There was generally a positional imbalance where the long-end of the curve got a bit too much love. Part of the selling over the past 2 days has been a correction of that imbalance as well."
Matthew Graham  :  "Month-end buying is sort of an ongoing thing that ramps up heading into the final biz day of the month. So with today being the 2nd to last, guaranteed it's having an impact."
jamie Fitz-Gerald  :  "MG- has month end buying taken place yet?"