Unsurprisingly, there is not a lot going on today for bond markets and MBS. The light volume means that anyone left trading now comprises a bigger piece of the overall market, thus making it easier to push prices around. That’s resulted in losses so far today.
Essentially nothing happened for Treasuries throughout the overnight session. After closing at 2.74 (10yr yields) on Wednesday, they traded between there and 2.76 overnight. Right around 8:30am, a larger block sale came through in Treasuries futures, kicking off a run to 2.766.
Such a market mover would be counted in the category we refer to as “tradeflow considerations.” Every time the end of the month rolls around, various accounts are compelled to buy and sell certain amounts of certain securities to meet month-end portfolio requirements. There’s no special list that tells us how much of that has already happened, but observation and logic suggest “more than usual” for the last day of the month. The net effect is that we’re missing out on the mild, persistent, supportive buying that we sometimes see. It’s possible some of that is waiting in the wings for later in the morning, but we won’t know unless/until it happens.
MBS aren’t much worse for the wear, only down 2 ticks in Fannie 3.5s to 100-26. Fannie 4.0s are down 104-09. There are no relevant headline or data considerations on the calendar for the rest of the day, and bond markets close early at 2pm.