Treasuries and MBS have seen modest volatility within a modest range this morning.  The stage was set with overnight weakness resulting in weaker opening levels.  At 8am, 10yr yields were up around 3bps and Fannie 3.5 MBS were down about an eighth of a point.

From there, the first swing followed a much weaker than expected Durable Goods report.  While it's true that economic data hasn't had much of an impact recently, the combination of low volume today and an exceptionally large miss in the data increased the impact.  With this, bonds were back to 'unchanged' levels on the day.

The next swing began on the approach to the 9:30am cash open for stocks.  This can occasionally be a volatile time for bond markets as some investors sell bonds to free up cash to go play in the bigger sandbox.  A much stronger than expected Consumer Confidence report added a bit to the weakness, carrying bonds to their worst levels of the day.  But the lack of conviction was evident as trading levels quickly shied away from breaking any significant technical levels (i.e. 10's holding under 2.30).

All that having been said, the weakness was just enough for negative reprice risk and at least one has already been reported.  Moreover, the risk remains as MBS continue treading water near their weakest levels of the day.


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.0
100-08 : -0-05
FNMA 3.5
103-16 : -0-04
FNMA 4.0
106-06 : -0-04
Treasuries
2 YR
0.3940 : +0.0120
10 YR
2.2840 : +0.0250
30 YR
3.0590 : +0.0220
Pricing as of 10/28/14 12:13PMEST

Morning Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
10:04AM  :  ALERT ISSUED: Negative Reprice Risk Increases After Consumer Confidence Beat

Live Chat Featured Comments
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Jason Anker  :  "and low rates?"
Matthew Graham  :  "WE LOVE CHEAP GAS!"
Victor Burek  :  "with oil dropping, not surprising to see a strong cc"
Matthew Graham  :  "RTRS- US CONSUMER PRESENT SITUATION INDEX 93.7 IN OCT VS SEPT REVISED 93.0 (PREVIOUS 89.4) - CONFERENCE BOARD"
Michael Gillani  :  "And there goes pricing"
Matthew Graham  :  "RTRS- US OCTOBER CONSUMER CONFIDENCE INDEX 94.5 (CONSENSUS 87.0) VS SEPTEMBER REVISED 89.0 (PREVIOUS 86.0) - CONFERENCE BOARD"
Matthew Graham  :  "you can always click on the item in the econ calendar to bring up a recent history. "
Matthew Graham  :  "4 negative prints on monthly "
Sung Kim  :  "is that two neg prints in a row?"
Matthew Graham  :  "RTRS - US AUGUST 20-METRO AREA HOME PRICES +5.6 PCT (CONSENSUS +5.8 PCT) FROM YEAR AGO -S&P/CASE-SHILLER"
Matthew Graham  :  "With respect to the earlier discussion, I'm also addressing the Riksbank rate cut in the morning update, but as is often the case, it's not black and white. It's not a big deal or a small deal. It was mildly beneficial to European bond markets overnight, which in turn, informed the overnight price action for Treasuries. In other words, we might have opened higher in yield otherwise. Overall though, not a huge deal."
Matthew Graham  :  "RTRS- US SEPT DURABLES ORDERS -1.3 PCT (CONSENSUS +0.5 PCT) VS AUG -18.3 PCT (PREV -18.4 PCT)"
John Tassios  :  "it is a big deal Matt, in the grand scheme of thngs. Sweden traditionally been a strong economy overall and very conservative with cutting rates in the past. Australia is another country with conservstive central bank"
Matt Hodges  :  "Sweden cutting borrowing rate to 0%? I can't imagine a puny little country like Sweden having any effect on us. Mind you, i drive a Volvo, but still..."
Frank Hanna  :  "MG, the news out of Sweden help us at all?"