Negative Reprice Risk Avoided
Treasuries just broke back below an important intraday level. That's good.
2.56 emerged as a contentious yield level in 10yr Treasuries this morning as it played host to the first instance of resistance after NFP data and also saw a small, but noticeable pop in volume and weakness coming the other direction just after 9:30am. Yields remained above it until just now, and there has been a moderate (but also 'noticeable') flush of buying as it broke.
All that to say, bond markets just made a positive pivot. MBS joined the move, and are 3 ticks higher than the previous alert, essentially quelling any negative reprice risk that may have been lurking. Fannie 3.5's are now 9 ticks up on the day at 102-23.