Late Day Volatility Surrounding Month-End and Corporate Issuance

Abstract

Late Day Volatility Surrounding Month-End and Corporate Issuance The day got off to a slow start with bonds trading almost perfectly flat after losing ground modestly in the overnight hours. Some combination of corporate debt issuance and month-end positioning started the selling spree. Corporate rate lock hedge buybacks can't be tracked, but may have contributed to the bounce as well as month-end tradeflows tied to NYSE-listed bond funds. MBS down about 3/8ths but still waiting for liquidity. Volume suggests it could be related to corporate bond issuance. MBS are now down over half a point and off roughly a quarter point from the highs. Some bounce back since then, but MBS still down 5/8ths on the day and nearly 3/8ths from mid-day highs.