By their very nature, snowball movements in markets are usually unexpected. Today was downright surprising, largely because the extent of the “miss” in consumer sentiment data was equally surprising. This is not a report that is usually responsible for so much exercise. Even in today’s case, it was only worth a 3 basis point improvement on 10-year returns. However, those 3 basis points were enough to set off short coverage and technical triggers that caused bonds to drop a few more basis points by the end of the day.

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

  • Import prices 0.3 vs. 0.6 f’cast
    Export prices 1.3 vs 0.8 f’cast

  • Consumer sentiment 70.2 vs 81.2 f’cast / prev
    (lowest value since 2011)

09:32 am

Slightly stronger overnight as European bonds slump just before the domestic market opens and are now moving back into positive territory. Treasuries followed to some extent, declining 2.4bps over 10 years to 1.337 and MBS an eighth.

10:11 am

Additional gains after a shockingly weak consumer sentiment report (lowest since 2011). 10s down 4+ bps and MBS up 6 ticks (0.19).

12:08 pm

Small volume, low liquidity mini snowball rally 10 test 1.30% lower bound, currently down 6.6 basis points at 1.295. MBS is up a quarter point.

4:20 pm

Another basis point lower from the last update as trades slow down to a trickle over the course of the week. 10-year yields fell 7.6 basis points to 1.285. MBS prices are up 10 ticks, or 0.30.