MBS RECAP: Data Driven Reversal Delivers on Volatility Expections

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Posted To: MBS Commentary

Today was fairly straightforward by the time the 10am ISM Manufacturing data came out. It was significantly weaker than expected (worst since 2009) and resulted in a fast bond rally with high volumes. We had been expecting this week to bring increased volatility because it contains the month's most action-packed economic calendar during a time frame where we know the Fed is watching the data more closely than normal (because they said so at the last meeting 2 weeks ago). Before the ISM report, bonds were in weaker territory after overnight developments in Japan–a weak bond auction and, to a lesser extent, an operational change at the world's biggest pension fund that. The pension fund news is nuanced, but the short version is that it fired a shot across the bow of negative interest…(read more)

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