MBS & US Treasury Markets
11/1 1:17:20AM EST : Delayed Data

If it weren't for the surge of volume in Treasuries lining up perfectly with economic report release times, one might wonder if traders even care that much about economic data right now.  That would be quite the anomaly considering NFP week is traditionally the most reliable time to see data impact bonds.  The counterpoint is that today's data wasn't resoundingly stronger than expected.  Jobless Claims were back in line with trend levels, as expected, and monthly core PCE came in right in line with expectations (arguably a bit lower, considering the unrounded number was as low as it possibly could have been without being rounded down to 0.2% vs the 0.3% forecast).  Lesser headlines were weaker than expected, but didn't help bonds.  Instead, most of this morning's cues have come from overseas, of all places (thanks for nothing, U.K.). 

The following chart has the same 20bps of y-axis space for both UK and US 10yr yields.  This illustrates where the bond market drama is today, and helps us understand why we're seeing a late-morning recovery.

20241031 open1.png

Bonus charts just to keep tabs on the evolution of jobless claims data:

20241031 open.png

20241031 continuing claims.png

09:40 AM

sideways to slightly stronger overnight and a bit weaker after data.  MBS down 2 ticks (.06) and 10yr up 0.7bps at 4.307

10:12 AM

More weakness now with US bonds potentially taking some cues from a big UK sell-off.  MBS down 3 ticks (.09) and 10yr up 1.5bps at 4.314

12:23 PM

Bouncing back a bit now as U.K. bonds recover.  MBS unchanged and 10yr down 1.3bps at 4.286

03:07 PM

Slightly better recovery.  MBS up 1 tick (.03) and 10yr down 2bps at 4.279