Calm Waters Again, But Tomorrow Could Rock The Boat
Tue, Sep 12 2023, 4:59 PM
Much like yesterday (which saw the narrowest 10yr yield range in 2 years), today was exceptionally sideways. If it weren’t for a few minutes of highs in the early morning, or the extent of the afternoon rally, it would have been just as narrow. As such, it’s another day that adds to the sense of “bracing for impact” ahead of Wednesday’s CPI data. While it’s always possible that big ticket data will thread the needle and result in minimal movement, there’s little question that any big departure from expectations will rock the bond boat for better or worse.
09:00 AM
Sideways to slightly stronger overnight, but bouncing back toward unchanged. 10yr down 0.8bps at 4.288. MBS down 1 tick (.03).
12:11 PM
Still very flat/sideways despite some morning volatility. MBS down 1 tick (0.03). 10yr yield down 1bp at 4.284.
01:42 PM
no reaction to 10yr auction. 10yr down 1bp at 4.284. MBS down 2 ticks (0.06).
03:08 PM
Some late day gains in the long end of the curve. 10yr down 2.6bps at 4.268 and MBS roughly unchanged (occasionally showing a 2 tick loss due to illiquidity).
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