Bond market weakness was the theme of the day, and it was pervasive--even if relatively mild--right from the start of the overnight session.  German Bunds were responsible for most any noise in overnight charts and that lasted into the early domestic session.  MBS attempted to hold on to yesterday afternoon's 'ledge' at 101-24 until the Fed's daily buying operation in 10yr Treasuries from 10:15-11am.  A few big block trades were coming through the CME at the same time, apparently adding to weakness.

MBS retreated further into yesterday's range and underperformed Treasuries.  Fed speakers may have been an ancillary consideration into the afternoon, but the real story (not much of a story at all) was the algorithmic trading activity and position-squaring playing out against a low volume backdrop heading into the notoriously algo-heavy 2pm time frame.  This simply means that computer-driven trading coincided with traders squaring positions ahead of a big day tomorrow, and it made for a slightly brisker bit of selling than we'd seen until that point.  It was ultimately reined in by 4pm and the trajectory of losses fell back in line with the trends implied by morning hours.