Perhaps even before you read this, MBS prices will be another 8-12 ticks lower due to the Roll (monthly settlement, beginning with Fannie/Freddie 30yr Fixed MBS today, where the prices you see on the screen switch from the current month to the next month's coupon).
That's adjustment is purely visual and doesn't affect lender reprice risk or have any negative implication on rates in general. But there's plenty of negative implication from all the losses earlier in the day. Fannie 3.5s are heading out 10 ticks weaker and 10yr yields rose 3bps day-over-day.
There was no all-star market-mover driving the action today. More than anything, today was do or die insofar as bond markets. The choice was between the trend toward higher rates from late May, or the chance that last week's events were still being digested and soon to give way to a bounce back.
As I noted last week, without core European bond markets heading back down in yield, US markets would be hard-pressed to rally. Once Europe opened this morning and began losing ground (German Bunds, specifically), Treasuries had their cue, and never really looked back, even though the selling lacked a sense of urgency. MBS followed the weakness, but by varying degrees due to illiquid trading conditions associated with the Roll.
MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing
is available via MBS Live.
| MBS || |
97-23 : -0-09
102-01 : -0-10
105-15 : -0-05
| Treasuries || |
0.4428 : +0.0198
2.6457 : +0.0327
3.4796 : +0.0286
| Pricing as of 6/10/14 5:03PMEST |
Today's Reprice Alerts and Updates
11:43AM : ALERT ISSUED: Negative Reprices Now More Likely
10:37AM : ALERT ISSUED: Negative Reprices Becoming More Possible
10:11AM : ALERT ISSUED: Negative Reprice Risk Already Approaching Depending on Lender
9:29AM : Bond Markets Holding Ground at Slightly Weaker Levels