Nothing too dramatic or traumatic happening at the moment, but bond markets have more or less given up on their afternoon attempt to bounce convincingly back into stronger levels.  This is more of a heads up than anything, because they're not rushing to new lows either.  In fact, 10yr yields are actually doing quite a fine job of holding support just under 2.642 (currently 2.637--perfectly unchanged on the day).

Fannie 3.5s are 1 tick higher on the day at 101-25.  This is 5 ticks lower than some lenders' initial rate sheet print times so some negative reprice risk could still be out there, but again, nothing new or urgent.

Treasuries and MBS have done a fair amount to work through the weakness that followed today's 10yr auction.  10's are about halfway back to the best levels of the day, and just turned positive vs yesterday.

Fannie 3.5s found support at 101-23 and are up to 101-27 currently.  This decreases the negative reprice risk that showed up after the auction. 

Treasuries and MBS are quickly moving to the weakest...

While it's not a negative reprice risk situation, Fannie 4.0s moved from their highs of the day to new lows in less than an hour.  However, the highs came in after initial rate sheets and the lows aren't far enough away to cause much concern.  If we were to lose another tick or two, we'd then be entering a more risky zone for some lenders.

Treasuries remain glued to European bond markets with stock weakness playing a supporting roll.  The big deal (relatively) so far is that today is the first day of negative deposit rates in the EU, and several core short-maturity sovereign debt instruments (like Germany's 2yr) are hitting the unprecedented 0.00% level. 

Europe saw its second most aggressive rally of the day heading into 10am.  German 10yr Bunds broke into new lows, and US 10yr Treasuries did the same mere moments later.  10's are now down 2bps at 2.617.  The technical level of 2.66 hit overnight looks more and more like it will have acted as a supportive ceiling by the end of the day--as long as we get through the 10yr auction without too much trouble.

MBS are doing a decent job of keeping up with the gains, but not aggressively so.  Fannie 3.5s are up 5 ticks day-over-day, but only 1 of them since the first round of rate sheets.

The calendar of news, events, and economic data continues to be a lonely place.  At times like this there are almost always quite a few other places traders can look for inspiration, but at the moment, we do know that European bond market movement is one of those.

Case in point, the drift higher in Treasury yields in June shares all major lows and highs with Germany's 10yr debt ("Bunds").  After a slow start to the week, activity picked up in Europe this morning and Bunds saw their first salient bounce to lower rates since last week's ECB Announcement.

Treasuries followed the bounce after putting in their weakest levels of the day at 4:30am.  Incidentally, this occurred at 2.66, a potentially significant level noted in the Day Ahead.

While bouncing lower is always welcome when it comes to rates, today's bounce occurred at already weaker levels.  That leaves 10's just under half a bp lower on the day at 2.631.  For their part, MBS are outpeforming slightly (after underperforming into yesterday night's Roll. 

Fannie 3.5s are up 4 ticks at 101-27.  KEEP IN MIND, if you see charts of MBS today, it won't look like we're up 4 ticks, but again, this has to do with the Roll.  The left side of the MBS chart shows June coupon prices (because June was the oldest MBS bucket trading until yesterday) and the right side shows July.

Nothing too dramatic or traumatic happening at the moment, but bond markets have more or less given up on their afternoon attempt to bounce convincingly back into stronger levels.  This is more of a heads up than anything, because they're not rushing to new lows either.  In fact, 10yr yields are actually doing quite a fine job of holding support just under 2.642 (currently 2.637--perfectly unchanged on the day).

Fannie 3.5s are 1 tick higher on the day at 101-25.  This is 5 ticks lower than some lenders' initial rate sheet print times so some negative reprice risk could still be out there, but again, nothing new or urgent.

Treasuries and MBS have done a fair amount to work through the weakness that followed today's 10yr auction.  10's are about halfway back to the best levels of the day, and just turned positive vs yesterday.

Fannie 3.5s found support at 101-23 and are up to 101-27 currently.  This decreases the negative reprice risk that showed up after the auction. 

Treasuries and MBS are quickly moving to the weakest...

While it's not a negative reprice risk situation, Fannie 4.0s moved from their highs of the day to new lows in less than an hour.  However, the highs came in after initial rate sheets and the lows aren't far enough away to cause much concern.  If we were to lose another tick or two, we'd then be entering a more risky zone for some lenders.

Treasuries remain glued to European bond markets with stock weakness playing a supporting roll.  The big deal (relatively) so far is that today is the first day of negative deposit rates in the EU, and several core short-maturity sovereign debt instruments (like Germany's 2yr) are hitting the unprecedented 0.00% level. 

Europe saw its second most aggressive rally of the day heading into 10am.  German 10yr Bunds broke into new lows, and US 10yr Treasuries did the same mere moments later.  10's are now down 2bps at 2.617.  The technical level of 2.66 hit overnight looks more and more like it will have acted as a supportive ceiling by the end of the day--as long as we get through the 10yr auction without too much trouble.

MBS are doing a decent job of keeping up with the gains, but not aggressively so.  Fannie 3.5s are up 5 ticks day-over-day, but only 1 of them since the first round of rate sheets.

The calendar of news, events, and economic data continues to be a lonely place.  At times like this there are almost always quite a few other places traders can look for inspiration, but at the moment, we do know that European bond market movement is one of those.

Case in point, the drift higher in Treasury yields in June shares all major lows and highs with Germany's 10yr debt ("Bunds").  After a slow start to the week, activity picked up in Europe this morning and Bunds saw their first salient bounce to lower rates since last week's ECB Announcement.

Treasuries followed the bounce after putting in their weakest levels of the day at 4:30am.  Incidentally, this occurred at 2.66, a potentially significant level noted in the Day Ahead.

While bouncing lower is always welcome when it comes to rates, today's bounce occurred at already weaker levels.  That leaves 10's just under half a bp lower on the day at 2.631.  For their part, MBS are outpeforming slightly (after underperforming into yesterday night's Roll. 

Fannie 3.5s are up 4 ticks at 101-27.  KEEP IN MIND, if you see charts of MBS today, it won't look like we're up 4 ticks, but again, this has to do with the Roll.  The left side of the MBS chart shows June coupon prices (because June was the oldest MBS bucket trading until yesterday) and the right side shows July.