If bond market activity is any indication, today might as well be another day of the extended holiday weekend. In fact, this is officially the case in Europe, which is part of the reason things are off to a slow start in the US. The other consideration is the fact that there's no significant economic reports or scheduled events, not to mention the fact that it's simply Monday.
Treasuries were unchanged by the time they started trading domestically, but began improving just slightly into the 8am hour. MBS opened a few ticks into stronger territory and have added another few ticks since then. The trading range is fully contained within 5/32nds and most of the morning was spent in a 2/32nds range between 104-03 and 104-05 (Fannie 4.0).
By way of housekeeping, we've received some questions about the discrepancy between Fannie/Freddie and Ginnie prices, as the latter shows moderate day-over-day losses. This is purely a function of the settlement process in Ginnies, which began on Thursday, but didn't reflect in prices until today. Normally, the "roll" affects prices the same day so that the appearance of bigger losses is limited to the after-hours portion of the previous day. In the current case, the roll's affects are showing up this morning, making it seem like Ginnie's lost a lot of ground compared to Fannie/Freddie 30yr MBS. They did not.
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