Compared to what it could have been, today turned out to be relatively calm for bond markets. From a day over day standpoint, 10yr yields are only 2bps lower and Fannie 3.5s are just over a quarter point higher. But from peak to trough, the gaps are much bigger--5/8ths of a point in MBS and nearly 8bps in Treasuries.
Those gaps were made possible by the initial reaction to ECB President Mario Draghi's Press Conference. Earlier in the morning, the ECB Announcement itself specified that "additional measures" would be announced later at the press conference. Market participants were apparently holding their breath for bigger bombshells because as Draghi got underway, bonds sold-off progressively the longer he went without unveiling the "measures" promised 45 minutes earlier.
When he finally got around to discussing the expected topics, it was largely in line with the consensus. In other words, the highest probability was for some form of LTRO (long term refinancing operation, which the ECB has employed before), and some advancement in the discussion about purchasing assets. Both of those were delivered, albeit without much flair.
Markets gradually calmed down, but were only able to move so far in the other direction while Draghi remained seated (because who knows if he's going to say something significant before the end!). When he finally got up to end the question and answer portion, bond markets moved into positive territory not even 3 seconds later. Surely, that's mostly a hilarious coincidence, but it was fitting nonetheless. Markets got what they expected from the ECB and were quickly ready for Draghi to stop talking. Ever since then, it's been nap-time so we can rest up for tomorrow morning's NFP.
MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing
is available via MBS Live.
| MBS || |
98-05 : +0-09
102-16 : +0-09
105-21 : +0-09
| Treasuries || |
0.3829 : -0.0161
2.5842 : -0.0218
3.4345 : -0.0095
| Pricing as of 6/5/14 4:15PMEST |
Today's Reprice Alerts and Updates
11:59AM : Ongoing Positive Reprice Potential
10:22AM : Bond Markets Turn Green After Draghi Stops Talking; Positive Reprice Potential for Some
8:52AM : ALERT ISSUED: Bond Markets Weaker; Underwhelmed by ECB, Draghi
MBS Live Chat Highlights
Matthew Graham : "RTRS - KOCHERLAKOTA: FED MAY BE ABLE TO ACHIEVE ITS GOALS ONLY WITH POLICIES THAT ALSO GENERATE SIGNS OF FINANCIAL MARKET INSTABILITY"
Steve Stone : "seems like a good number is baked in already for tomorrow"
Matthew Graham : "RTRS - FED'S KOCHERLAKOTA: U.S. REAL INTEREST RATES ARE TOO HIGH"
Hugh W. Page : "Since October of 2013 if you throw out the "weather related" mos of Dec/Jan we've averaged 245K jobs per mos. Me thinks a weak # tomorrow is not in the cards."
Oliver Orlicki : "tomorrow is going to be huge"
Hugh W. Page : "Love that phrase:"Ongoing Positive Reprice Potential""
robert clark : "Just read that off of the FNMA homepath guidelines I was reading so probably true of all FNMA/FHLMC programs"
robert clark : "6 months"
Jeff Anderson : "Adding to VB's question, same for alimony also?"
Victor Burek : "if using support for income does it have to be received for 3 or 6 months?"