MBS Live Recap: Failed Breakout Puts More Emphasis on End-of-Week Events

Notice that the headline didn't invoke "the jobs report" for the 17th time this week.  The fact that we've been this focused for this long is either a sign that trading is panning out as expected (i.e. sideways between jobs reports or Fed meetings and trending immediately thereafter) or misplaced analysis in a summertime market who's default state is "sideways until proven otherwise."  Either way, 10yr yields did attempt to break below 1.44 today.  Their resounding defeat only adds to the sideways vibes and increases focus on end-of-week events.  Of course the jobs report is the headliner in that regard, but tomorrow marks the beginning of trading for a new month and that can be a source of inspiration regardless of surrounding data.

Econ Data / Events
  • Fed MBS Buying 10am, 1130am, 1pm

  • ADP Employment 692k vs 600k f'cast, 886k prev

  • Chicago PMI 66.1 vs 70.0 f'cast, 75.2 prev

  • Pending Home Sales +8.0 vs -0.8 f'cast, -4.4 prev

Market Movement Recap
11:20 AM

After a flat start in Asia, bonds made small gains during European hours and have continued into moderately stronger territory during the domestic session.  ADP and Chi PMI both helped, as did the 9:30am NYSE Open.  10yr challenging 1.44%.  MBS up more than an eighth (2.0 coupons). 

01:35 PM

Several bounces later and 10yr yields remain unable to break through 1.44% in any meaningful way.  That said, they remain close at 1.446%.  UMBS 2.0 coupons are off their highs, but still up 3 ticks (0.09). 

03:51 PM

No significant volatility after the 3pm CME close (which is sometimes a thing on 'month-end' trading days).  Levels are right in line with the last update and movement has been sideways since then.

04:09 PM

The market gods were angry about the last update and subsequently delivered some volatility at the 4pm NYSE close.  Yields and volumes spiked fairly quickly (relative to the previous flatness).  10s moved up to 1.46 and 2.0 UMBS gave up the last of the day's gains (now unchanged at 101.00).  

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