Activity over the early first half of the holiday-shortened week was relatively quiet with mixed flows. Data was sparse in the beginning of the week, and many participants were still off on vacation. There was some light Asian buying in the overnight markets as levels had become more attractive on the steady selloff in Treasurys. They were primarily focused on 6% coupons that have dipped below par (99-31 as of midday on May 30). Originator business averaged $1 billion, which is a more normal level, through midweek, at least.
After ASR's Wednesday press time, flows were expected to pick up in the last two days of trading with a significant amount of key data released, including the Employment Report and PCE Deflator on Friday. In addition, Thursday was also the release of the month-end report that was expected to attract index buyers. According to Lehman Brothers, the MBS Index is forecast to extend 0.07-years on June 1. The Treasury Index was expected to lengthen 0.22-years as a result of the quarterly refunding that took place in May.