Holiday mode is impossible to clearly define when it comes to its impact on the bond market. We know it when we see it, and we saw it today. Bonds paid no attention to econ data no matter how much it may seem that the 10am Consumer Sentiment numbers had an impact. Movement was minimal and not visibly tied to any other motivation. And as we already discussed this morning, Japan's rate hike was a non-event. Holiday trading randomness will get worse over the next 2 weeks before it improves in early January.
Sideways at modestly weaker levels. MBS down 2 ticks (.06) and 10yr up 2.1bps at 4.143
12:15 PM
Decent recovery into 11am, but fading a bit now. MBS down 3 ticks (.09) and 01yr up 2.7bps at 4.148
Lock / Float Considerations
We're now entering peak holiday mode for bond markets. This means a wider range of movement that can happen for no apparent reason even though the average year sees rates drift aimlessly sideways in the 2nd half of December. The next risk for consequential volatility from scheduled events won't be until the first week of January.
