MBS RECAP: Big Month/Quarter-End Volume, And Nothing To Show For It


Heading into the 1pm early close of the CME pit, selling ramped up aggressively in Treasury futures, but without serious volume. Even though this was only good for just over a bp of movement in actual yields, it brought 10’s back to their highest levels since the 8:30am economic data and put a slight amount of pressure on MBS.

Right at the close, big month-end buying came in just before the buzzer, signaling to markets that the selling was a positioning push to pave the way for the buying and 10’s were free to maintain the existing micro-range between 1.85 and 1.862. And so they have. In other words, the brief move weaker heading into 1pm was a “false alarm” of sorts, and we can log another vote in favor of “sideways.”

MBS bounced in their micro range of 103-02+ to 103-05 and are currently 103-04. Very uneventful month/quarter-end day so far, and only 40 minutes left before the early close for the rest of the bond market.

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