Wednesday offered a much needed opportunity for bond markets to work through last-minute October business and gear up for an extremely busy last two days of the week.  Some volatility was to be expected for reasons noted in yesterday's post.  Despite the choppiness, month-end buying provided a steady backdrop for MBS markets to work through a good amount of supply without seeing more than a hiccup in the afternoon.  In other words, MBS prices stayed in positive territory for the balance of the session.

Whereas Wednesday had little by way of data and domestic market headlines, Thursday is crowded with reports as some of the data normally scheduled for earlier in the week will instead be reported today.  It's hard to say which among these will be the biggest market mover, but the earliest opportunity goes to the ADP Private Payrolls numbers scheduled for 8:15am.  This is the first official release since the series was re-tooled in a collaborative effort with Moody's. 

Part of the ADP numbers are already out, after the mock-up for the new format "accidentally" provided an early look at revisions from the past two months (read more).  Coincidentally this seems to hype the importance of today's numbers as the revisions were actually much closer to NFP revisions, alluding to a better predictive ability.  That said, it should be noted that ADP aims to improve accuracy for the NFP REVISIONS which often deviate from the initial headline.  Long story short, we wouldn't be surprised to see a more pronounced reaction to this one, but think that many will be waiting to see how the correlation plays out in the coming months.

From there, things get hectic with two meaningful reports at 8:30am (Jobless Claims and Q3 Productivity), the uniquely-timestamped Markit PMI in the middle at 8:58am, and three more reports at 10am (Construction Spending, ISM Manufacturing, and the rescheduled Consumer Confidence).