Surprisingly thin volume both at home and abroad is exacerbating Treasury losses. Those losses can be primarily chalked up to a general "risk-on" correction following the EU summit as well as the earlier Fed buy-back in the 30yr sector (not everyone was able to clear their shelves and began discounting afterward).

The weakness, although still contained in ranges has worked it's way down to MBS, which have been doing an impressive job of holding support at 102-03 so far today in Fannie 3.5s, even though 10yr Treasuries, for instance, continue leaking higher and higher in yield. Even so, we just got our first report of a rate sheet recall today and there's a slight risk of more at current levels, but the more pronounced risk would be seen if prices dip under 102-03.