So far, the opening prices have been the worst of the day for MBS. In addition to the 12 ticks accounted for by the roll, Fannie 4.0s were another 5 ticks weaker at the start of the session, opening at 104-02. They've improved steadily, but very slowly since then to 104-06.
Treasuries were similarly able to hold their ground near the weaker morning levels, but have been more sideways compared to MBS. With no significant data/events this morning, Treasury yields were fairly well hooked up with stock futures (or simply with stock prices after 930am--no difference in the movement, just the levels). That said, stocks have been more volatile relative to Treasuries.
The latter is more at risk of seeing volatility with the afternoon events. Those include a 10yr Note Auction at 1pm, and the FOMC Minutes at 2pm. These aren't necessarily destined to cause big movements, but they have that potential. Of the two, FOMC Minutes is the bigger deal.
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