The last trading day of the month has managed to be a total let-down to anyone looking for excitement. In terms of doing no further harm, it's been just fine though--at least through mid-day.
That wasn't necessarily looking like the case overnight. European data and the resulting bond market weakness carried 10yr yields up to 2.052, but they saw solid support there and ultimately made it back to positive territory as the domestic session got underway.
GDP data was a non-event, either because markets weren't interested or because it was right in line with the forecast (2.2 vs 2.1). Chicago PMI data was significantly weaker than expected. While that had a more noticeable effect, bonds nonetheless ran into resistance without gaining too much ground. The magic number for 10yr yields looks to be 2.00 as far as resistance is concerned, but they've also remained well supported under 2.05.
MBS are outperforming a bit, and have been able to carve out additional gains despite Treasury stagnation. It's not much of an outperformance, but it leaves Fannie 3.0s at 101-26, just 1 tick off the highs of the day.
Keep in mind that volatility can pick up in the late afternoon on 'month-end' trading days without warning or overt justification.
MBS | FNMA 3.0 101-26 : +0-07 | FNMA 3.5 104-24 : +0-06 | FNMA 4.0 106-26 : +0-03 |
Treasuries | 2 YR 0.6340 : -0.0200 | 10 YR 2.0210 : -0.0100 | 30 YR 2.6325 : +0.0005 |
Pricing as of 2/27/15 1:05PMEST |