Unexpected headlines have given markets plenty to digest this morning.  German bond markets began pushing yields higher right from the start of the overnight session.  That was offset by strength in UK bond markets leading up to the domestic open.  Then things started getting crazy.

Mere seconds after US stock markets opened, apparent details of tomorrow's ECB QE announcement were leaked.  This--more than anything--sent interconnected shockwaves through financial markets.  Very few asset classes were immune.  All that having been said, the inspired volatility was "net sideways" for bond markets.  In other words, there were rapid ups and downs, but they resulted in no net change to trading levels.

The day's big move began at 11am and there's no satisfying explanation for it.  All we know for certain is that there was an overabundance of traders betting on lower rates (i.e. "long positions") and that imbalance was punished by snowball selling, as imbalances often are.  It merely took a bit of a push and the snowball took care of the rest.

As for the push, potential contributors include an aggressive sell-off of German debt heading into the European bond market close, an active corporate debt market (which requires some Treasury selling as a part of the hedging process), and finally, some good old-fashioned 'stock lever' as S&P's had just broken to new highs as the Treasury snowball began rolling.

Whatever the case, 10yr yields are currently trading over their important 1.84 inflection point, but not by much.  Stocks look to be at risk of having leveled-off for the day and there's at least some chance that we've seen the worse of the selling in bond markets.  MBS, for their part, held much steadier during the weakness--as we'd expect them to do, given the underperformance during recent rallies.

MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
FNMA 3.0
102-14 : -0-07
FNMA 3.5
104-30 : -0-05
FNMA 4.0
106-21 : +0-00
2 YR
0.5030 : +0.0030
10 YR
1.8480 : +0.0570
30 YR
2.4340 : +0.0550
Pricing as of 1/21/15 1:32PMEST

Morning Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
11:57AM  :  ALERT ISSUED: Pain Trade Snowball Quickly Taking Shape; More Reprice Risk
11:39AM  :  ALERT ISSUED: Negative Reprice Risk Increasing
10:09AM  :  Markets Reacting to Leaked ECB Details

Live Chat Featured Comments
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Victor Burek  :  "nothing official Sung, just rumors, supposedly from ECB member"
Sung Kim  :  "nothing official has been announced?"
Scott Valins  :  "was this supposed to leak before tomm?"
Victor Burek  :  "would begin in march..from eu members but no name given"
Victor Burek  :  "through 2016"
Victor Burek  :  "Bloomberg saying eu to propose qe of 59b per month"
Matthew Graham  :  "RTRS- US DEC HOUSING PERMITS 1,032,000 UNIT RATE (CONSENSUS 1,055,000) VS NOV 1,052,000 UNIT RATE"
Matthew Graham  :  "RTRS- US DEC HOUSING STARTS 1,089,000 UNIT RATE (CONSENSUS 1,040,000) VS NOV 1,043,000 UNIT RATE (PREV 1,028,000 UNITS)"
John Tassios  :  "it took me 2 cups JA, that was a classic read from MG. Needs to save that one to reflect on it 1 year from now.This is history in the making from ECB."
Jeff Anderson  :  "Read it once. May need a cup of Greek coffee for a 2nd read. GM, all."
Christopher Stevens  :  "Excellent MG"
Doug Seder  :  "Great post MG!"
Matthew Graham  :  "
A new 'Day Ahead' has been issued:
Would ECB QE be Good or Bad for Rates?"