Wednesday turned out to be the tamest day of the week for bond markets as production MBS not only traded inside Tuesday's range, but Monday's as well.  After having bounced soundly near 1.40% early Monday morning, 10yr yields bounced in similar territory on Tuesday and then again yesterday (twice!).  If we're following the bouncing ball in bond markets, it's definitely bouncing on 1.40% (to be precise, it was as low as 1.381 yesterday, a new record low).

In case you missed it, yes, we just casually slipped in the fact that 10yr yields hit new record lows yesterday because frankly, it all felt like a very casual process.  This is getting to be a more common occurrence--this phenomenon of record-breaking trading levels occurring against the backdrop of average volume and extremely light volatility.

Take the last major break to record low yields in 10yr Notes on June 1st.  That session saw 1.57% as the high and 1.442% as the low--almost a 13bp swing!  In a slightly broader context, yields were at a shocking 1.741 only two days earlier, making for a 30bp swing in 3 sessions.  THAT'S what hitting all-time record levels USED TO feel like. 

Contrast that to yesterday...  Even when we consider the lower yields seen in the overnight session, the absolute range was a mere 1.436 to 1.381, or 5.5bps.  Rather than falling from some epic 30bp cliff like the previous run, this record only moved down from a high of 1.448 two days ago!  That's a 6.7bp slide on the week, or about HALF of what the previous record experienced in one day and less than 25% of the 3-day run leading into the last record.  Times are changing...or perhaps have changed already depending on your perspective.

One way that times are changing is that there's a slight renewed importance in top shelf domestic data OTHER than NFP.  The reason seems obvious in that we have yet another shot to hear the Fed sing a QE tune next week, or some rendition of it, and there's a perceived link between the crappiness of the data and the possibilities of QE.  Markets tend to pay more attention to said link when the Fed meeting draws closer, and especially when there's not much else to talk about.

But there will be a bit more to talk about in terms of domestic data this morning than on previous days this week.  8:30 sees both the standard-issue weekly Jobless Claims report as well as Durable Goods for June.  Claims are seen ebbing to 380k after last week's 386k and Durables are similarly forecast to be tamer at +0.4 vs +1.3 previously.  The last of the week's note auctions--7yrs this time--comes in at 1pm.  But if yesterday's 5's were any indication, no one may care.

MBS Live Econ Calendar:
Week Of Mon, Jul 23 2012 - Fri, Jul 27 2012