This isn't a negative reprice situation for the average lender, but certainly a heads up that the trend in bond markets has been moderately weaker since just after 2pm.  MBS have been under relatively more pressure than Treasuries with Fannie 3.5s back down to -0-03 on the day at 102-08.  They'd been as high as 102-13 earlier.

While the afternoon weakness doesn't necessarily connote negative reprice risk, it all but guarantees an absence of positive reprice potential (for those of you who might have been waiting).

Polish Foreign Minister Sikorski said that Russia is "poised to pressure or invade Ukraine."  No one seems to be sure what that means or how it's any different than having troops on the border for months, but apparently markets care.  Stocks and bond yields shot lower immediately following the headlines and MBS are now 2 ticks into positive territory.  10yr yields are almost down to yesterday's lows--currently at 2.478. 

After falling somewhat sharply after this morning's ISM Non-Manufacturing data, bond markets are bouncing back.  10yr yields are now back below pre-ISM levels and MBS are just now moving through theirs.  Fannie 3.5s are now down only 3 ticks at 102-09. 

This alleviates any negative reprice risk from earlier lows. 

Bond market weakness following the 10am econ data has...

Both of the 10am economic reports came in stronger than expected, and bond markets have weakened as a result.  Fannie 3.5s are at the lows of the day, down 4 ticks at 102-06.  10yr Treasury yields are up 1.8bps at 2.509.

Prices haven't moved low enough to suggest negative reprice risk yet, but that could be the case if we lose a few more ticks. Here's a run-down of the data

ISM Non-Manufacturing

• ISM PMI 58.7 vs 56.3, highest since December 2005
• Business Activity 62.4 vs 58.1, highest since Feb 2011
• New Orders 64.9 vs 61.2 previously, highest since August 2005

Factory Orders

• June Orders +1.1 vs +0.6 forecast
• June Durable Orders revised to +1.7 from +0.7

Given the strength of those reports, bonds are actually holding their ground remarkably well.  As we discussed in this morning's 'day ahead,' part of the reason may be that these reports are falling AFTER the NFP/GDP readings.  In addition, it could just be taking time for the full effects to be felt in slower, summertime trading.

The overnight session began uneventfully in Asia with Treasuries and S&P futures holding excruciatingly flat.  The tone brought on by European hours was decidedly different.  Right from the start of European bond market trading, Treasuries have been pressured steadily higher in yield by a strong move higher in core European bond markets.

10yr yields crossed into the domestic session just slightly higher and have weakened a bit more since then.  Similarly, MBS are 3 ticks lower at the moment after starting the day 1 tick lower.  Fannie 3.5s are currently at 102-08 and 10yr yields are up 1bp at 2.502.

The day's only significant scheduled economic data arrives at 10am in the form of ISM Non-Manufacturing. 

This isn't a negative reprice situation for the average lender, but certainly a heads up that the trend in bond markets has been moderately weaker since just after 2pm.  MBS have been under relatively more pressure than Treasuries with Fannie 3.5s back down to -0-03 on the day at 102-08.  They'd been as high as 102-13 earlier.

While the afternoon weakness doesn't necessarily connote negative reprice risk, it all but guarantees an absence of positive reprice potential (for those of you who might have been waiting).

Polish Foreign Minister Sikorski said that Russia is "poised to pressure or invade Ukraine."  No one seems to be sure what that means or how it's any different than having troops on the border for months, but apparently markets care.  Stocks and bond yields shot lower immediately following the headlines and MBS are now 2 ticks into positive territory.  10yr yields are almost down to yesterday's lows--currently at 2.478. 

After falling somewhat sharply after this morning's ISM Non-Manufacturing data, bond markets are bouncing back.  10yr yields are now back below pre-ISM levels and MBS are just now moving through theirs.  Fannie 3.5s are now down only 3 ticks at 102-09. 

This alleviates any negative reprice risk from earlier lows. 

Bond market weakness following the 10am econ data has...

Both of the 10am economic reports came in stronger than expected, and bond markets have weakened as a result.  Fannie 3.5s are at the lows of the day, down 4 ticks at 102-06.  10yr Treasury yields are up 1.8bps at 2.509.

Prices haven't moved low enough to suggest negative reprice risk yet, but that could be the case if we lose a few more ticks. Here's a run-down of the data

ISM Non-Manufacturing

• ISM PMI 58.7 vs 56.3, highest since December 2005
• Business Activity 62.4 vs 58.1, highest since Feb 2011
• New Orders 64.9 vs 61.2 previously, highest since August 2005

Factory Orders

• June Orders +1.1 vs +0.6 forecast
• June Durable Orders revised to +1.7 from +0.7

Given the strength of those reports, bonds are actually holding their ground remarkably well.  As we discussed in this morning's 'day ahead,' part of the reason may be that these reports are falling AFTER the NFP/GDP readings.  In addition, it could just be taking time for the full effects to be felt in slower, summertime trading.

The overnight session began uneventfully in Asia with Treasuries and S&P futures holding excruciatingly flat.  The tone brought on by European hours was decidedly different.  Right from the start of European bond market trading, Treasuries have been pressured steadily higher in yield by a strong move higher in core European bond markets.

10yr yields crossed into the domestic session just slightly higher and have weakened a bit more since then.  Similarly, MBS are 3 ticks lower at the moment after starting the day 1 tick lower.  Fannie 3.5s are currently at 102-08 and 10yr yields are up 1bp at 2.502.

The day's only significant scheduled economic data arrives at 10am in the form of ISM Non-Manufacturing.