As a quarterly report with monthly updates, GDP releases are slightly different from month to month.  The order is: advance, preliminary, and final.  This can be somewhat confusing because every GDP report includes components with the "final" label, such as "final goods and service" or "final sales." 

There are different schools of thought as to which iteration of GDP matters the most from a market-moving perspective.  There's little case to be made for the preliminary reading as it's in the middle.  The final reading is next most tenuous as markets have already gotten two tastes of the data.  That leaves the advance reading as having the biggest potential shock value (after all, the subsequent two reports are essentially just revisions).

Today's iteration of GDP is the "advance" variety, meaning it's the first look we get at first quarter GDP.  From a final reading of 2.7% in Q4, today's reading on Q1 is expected to be quite a bit lower.  The consensus among economists surveyed by Reuters is 1.2%, ostensibly a reflection of the extra wintry winter in some parts of the country. This whole "weather" business definitely raises the bar for GDP to help bond markets. 

Reason being, if it's weaker than expected (within reason), the weakness can be explained away with a "wow... I guess the weather really took a toll.  Oh well.. I guess we'll keep waiting for the data to confirm that..."  And if it's stronger than expected, that would have a negative implication for bond markets anyway.

The bottom line is that it will need to be extra weak, or have surprisingly bad internal components if it's to make for a meaningful push toward the lower end of the rate range.  The range in question is the ongoing, EXTREMELY flat and contained trading that's taken place between 2.60 and 2.80% in 10yr Treasury yields in the past 3 months.  The flatness of the 6-month moving average in the top section of the chart below illustrates this, though the lower part of the chart offers a slightly different longer term perspective.

In addition to GDP, there are several other events with market moving potential.  The first arrives 15 minutes before GDP with the ADP Employment Report.  Markets have a love-hate relationship with ADP.  At times, it's demonized for being an inaccurate predictor of the Nonfarm Payrolls data that arrives 2 days later, but for much of 2013, it did a historically excellent job of capturing the direction of job growth.  Unfortunately, it has fallen off the wagon again in 2014, so it's unclear how much markets will be willing to react, especially with other important data soon to follow.

After GDP, there's Chicago PMI at 9:45am.  This report always has market-moving potential.  Today's prospects will depend on how much effect is already being seen after GDP as well as the hesitation to stray much from the middle path until markets see what comes out of the FOMC Policy Announcement in the afternoon (no surprises expected).  Friday's NFP remains the most important consideration when it comes to such 'straying' (i.e. no one wants to be too far on the wrong side of the post-NFP trading momentum, and that limits the impact of the week's preceding data). 

With 10yr yields ending Tuesday VERY close to dead center in that range, it's more than reasonable to say any break of 2.6 or 2.8 would be quite significant, although equally as unlikely.  The analogous levels in Fannie 4.0 MBS would be in the upper middle 103's on the low end and close to 105-00 on the high end.