Today ended up being one of the the calmest in recent memory in terms of price volatility in MBS. From 9:30am on, the biggest gap between the day's highs and lows never exceeded 2/32nds. Prices rose all day, leveling-off parabolically with Fannie 4.0s approaching 104-18.
Treasury yields exhibited the same sort of trend, with yields grinding down around 2.70. On a positive note, that's the best 8am to 3pm move since the 13th, but on a sober note, it keeps yields in the same consolidative range we examined in this morning's 'day ahead.'
Most of the gains were intact before this morning's Consumer Confidence data, but the data probably helped those extend. Whatever the case, a 5 point drop in consumer expectations for the coming months didn't make a case for the party to come to an abrupt halt. Volume and drama was in short supply.
Several lenders released positive reprices into the afternoon, but because the gains were early enough in the day, most lenders got a chance to price them in to the first rate sheets of the day.
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