Super Sideways Summertime Monday

Oddly enough, we find ourselves more likely to be discussing summertime trading patterns during summer months.  The weeks leading up to labor day are the prime examples and Mondays tend to be the most frequent offenders.  It was the 4th out of the past 5 Mondays with extremely low volume and a relatively narrow trading range falling well inside the previous week’s range.  MBS didn’t trade more than a tick (0.03) in either direction after 11am, but thankfully that occurred at slightly stronger levels vs Friday’s close.  We’ll get a better sense of how this trading week is going tomorrow and especially Wednesday.

Econ Data / Events

NY Fed Manufacturing

-31.3 vs 5.0 f’cast, 11.1 prev

NY Fed New Orders

-29.6  vs 6.2 prev

Market Movement Recap

09:04 AM Initially flat overnight.  Little-changed until early domestic trading.  Better buying since then with some help from weaker econ data at 8:30am.  10yr down 5bps at 2.795.  MBS up only a few ticks.

10:52 AM Illiquidity resulted in a big downtick in MBS prices a few minutes ago, but they’ve already bounced back (from down an eighth to up nearly an eighth in a few seconds). 

04:17 PM Excruciatingly flat all day, apart from the aforementioned illiquidity.  MBS have been within one tick (0.03) of 99-28 (99.875) ever since.  10yr yields have drifted up slightly but are still down more than 4bps on the day.
Source: Mortgage News Daily