MBS RECAP: Bonds Hint at an Ominous Floor as Sell-Off Intensifies

Posted To: MBS Commentary

If you read anything I write today, make it The Day Ahead: The Death of a Long Term Trend; A Definitive Assessment . If you want to read more, here’s a recap of today’s action. This wasn’t the typical “day-after-Fed” trading day for US bond markets, nor was it a typical mid-december day. In December 2015, Fed day (when they last hiked) saw just over 1 million Treasury futures contracts and slightly less the following day. This time around, Fed day saw over 1.7 million contracts and today’s sell-off saw volume swell to over 2 million contracts. The volume spike adds gravity to the situation. Data was ignored. Stable CPI and a balmy Philly Fed report would have made for weakness on an average day. But bonds were already at the day’s weakest levels heading into the…(read more)

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