Nothing new happened all day long. Unfortunately, the order of the day was a steady selling spree in MBS and Treasuries--easily the worst we've seen since November 8th. The severity was amplified by the fact that bond market technicals were just reaching the limits of what we discussed yesterday morning as "room to run." This occurred simultaneously with the first major bounce in the global market response to geopolitical risk in Ukraine.
As expected, Treasuries suffered more than MBS with 10yr's down 26/32nds in terms of price (up 9.3bps in terms of yield) compared to only 18 ticks of weakness in Fannie 4.0. There was no significant economic data or even any other relevant market moving events--just a long, determined, linear momentum shift back in the other direction.
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