Bond markets were slightly weaker to start the session, but soon found some support from a European bond market rally. Even after the European close, the tone remained supportive in the domestic session.  There wasn't the characteristic weakness in the run up to the 10yr Treasury auction.  And the auction itself was fairly strong.

The caveat to all of the the above is that volume and participation were much lighter than normal (2nd quietest day of the year so far).  That point was driven home by the bigger moves at 2pm--something we only tend to see on quieter days as it's a peak time of day for short-term trades to be closed out.  That 2pm-3pm trading impact tends to get lost in the shuffle on busier day, but it inspired the biggest shifts in prices and yields today.

In terms of bond markets reacting to data and events, tomorrow should be "business as usual" to a much higher degree.  The key event--or rather, the event with the biggest potential reaction--is the 8:30am release of the Consumer Price Index (CPI).  The median forecast call for core CPI to remain unchanged on an annual basis (1.8%).  Based on recent examples, a mere 0.1% in one direction or the other could have a noticeable effect on bonds for better or worse.


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
99-22 : +0-08
Treasuries
10 YR
2.8663 : -0.0277
Pricing as of 3/12/18 5:22PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
1:11PM  :  Decent Auction Confirms Decent Trading Range
10:31AM  :  Europe Driving Modest Gains; What's Up With MBS Prices Today?

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
John Tassios  :  "tomorrow will be big movement day - post CPI release"
Matthew Graham  :  "A-"
Matthew Graham  :  "RTRS - PRIMARY DEALERS TAKE 27.29 PCT OF U.S. 9-YEAR 11-MONTH NOTES SALE, DIRECT 6.48 PCT AND INDIRECT 66.23 PCT"
Matthew Graham  :  "RTRS - U.S. 9-YR 11-MO NOTES BID-TO-COVER RATIO 2.50, NON-COMP BIDS $16.25 MLN"
Matthew Graham  :  "RTRS - U.S. SELLS $21 BLN 9-YR 11-MO NOTES AT HIGH YIELD 2.889 PCT, AWARDS 43.16 PCT OF BIDS AT HIGH"
Matthew Graham  :  "Today's auction is a reopening, which tend to have stronger stats. Average bid-to-cover has been 2.48. Average high yield has been 0.3bps over the 1pm When-issued yield. Current when-issued yield is 2.892. Indirects have averaged 64%."
Matthew Graham  :  "10yr auction preview to follow. Use this primer to make sense of any confusing jargon I'm about to type: Treasury Auction Jargon, Definition, and Significance "