Bonds were weaker overnight and the selling trend continued relatively steadily throughout the day. The only exception was a major rise in yields that coincided with (but not necessarily caused by) the EU close. It is noteworthy, however, that yields peaked just after the EU shutdown bell and have since moved sideways within a narrow range. Jargon terms like “position quaring” and “illliquidity” certainly cannot be ruled out here, but we cannot really act on such conclusions without seeing how bonds trade on Monday morning.

  • Fed MBS purchases 10 a.m., 11:30 a.m., 1 p.m.

  • Prices for core producers:
    (y / y) 6.7 vs 6.6 f’cast, 6.2 prev
    (m / m) 0.6 vs 0.5 f’cast, 1.0 prev

8:40 a.m.

Temporarily weaker overnight, with most of the movement happening at the start of the EU trading session. Slight recovery with the start of domestic trade. 10 years up 2.4 bps to 1.321. MBS is down by almost an eighth.

12:22 pm

After a fairly flat morning, bonds sold out fairly quickly, which was (but not necessarily because of) the EU shutdown. 10 year yields are now up nearly 5 basis points to 1.344 and MBS are down 6 ticks (0.19).

1:19 pm

Now back a little after the snowball sale at lunchtime. MBS outperformed with 2.0 coupons by a little more than an eighth. 10 year yield increases 4.6 basis points to 1.343.

3:59 pm

Drift mode activated, exactly at the same level as the last update. For all intents and purposes, the day is over.