Relative to its potential, today's release of ECB QE details turned out to inspire only modest volatility.  Compared to an average day, however, the swings have been sharper and more frequent. 

The overnight session was uneventful and slightly weaker for Treasuries.  By the time Draghi began his press conference, both MBS and Treasuries were in slightly weaker territory.  10yr yields in particular were pushing their recent technical support level at 2.15 (though they never broke it).

Draghi's initial prepared remarks were generally upbeat and did some slight damage.  But in one of the Q&A responses, he noted that purchases could continue until yields reached the current deposit rate.  That means if the ECB has money to spend in their €60bln/mo allotment, and an eligible sovereign bond yield is over -0.20%, they will be buying.  It's basically a heads up that all short-term yields in stronger EU sovereigns will soon be pegged at -0.2.

That realization sent yields screaming lower heading into the 9am hour and in the blink of an eye, MBS and Treasuries were back into positive territory.  But 10's were only willing to follow the rally as long as European bond markets were rallying.  That stopped being the case just before 10am and domestic bond markets reversed course.  The selling stalled out before breaking into any weaker levels, leaving us near unchanged heading into the afternoon.


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
101-10 : -0-02
FNMA 3.5
104-14 : -0-01
FNMA 4.0
106-22 : +0-00
Treasuries
2 YR
0.6510 : -0.0080
10 YR
2.1220 : +0.0030
30 YR
2.7280 : +0.0080
Pricing as of 3/5/15 1:19PMEST

Morning Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
11:01AM  :  ALERT ISSUED: Reprice Risk Considerations as Bond Market Weakens
9:00AM  :  Bond Markets Fighting Back as Draghi Confirms Negative Rate Purchases

Live Chat Featured Comments
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Jason Harris  :  "Agree totally JT....jobs could stink and wages impress and we still lose (or the opposite)"
John Tassios  :  "Jason, 10:26 - I think wages will be looked at more than actual NFP #. just my opinion"
Jason Harris  :  "wages more important than jobs tomorrow?"
Tim McNerney  :  "snooze button until 8:30am tomorrow VB?"
Matt Hodges  :  "we are done with data, Victor....only one thing on mind of traders - NFP"
Victor Burek  :  "negative data still ignored"
Matthew Graham  :  "RTRS- U.S. JAN FACTORY ORDERS -0.2 PCT (CONSENSUS +0.2 PCT)"
Matthew Graham  :  "RTRS- TREASURY OFFICIAL SAYS ONLY WAY TO END CONSERVATORSHIP OF FANNIE AND FREDDIE IS THROUGH LEGISLATION THAT PUTS IN PLACE A SUSTAINABLE HOUSING FINANCE SYSTEM WITH PRIVATE CAPITAL"
Matthew Graham  :  "RTRS- TREASURY OFFICIAL SAYS SUPPORTS OPENING UP FANNIE AND FREDDIE'S COMMON SECURITIZATION PLATFORM EARLY TO OTHER USERS"
Matthew Graham  :  "(BN) *DRAGHI: ECB TO BUY NEGATIVE-YIELDING BONDS UP TO DEPOSIT RATE"
Matthew Graham  :  "RTRS- DRAGHI - ECB SEES 2015 INFLATION AT 0.0 PCT (VS DECEMBER FORECAST OF +0.7 PCT)"
Matthew Graham  :  "it sounded almost like "hope""
Matthew Graham  :  "when he said "diminished" just now, that's the first time I've heard Draghi use that tone of voice in years"
Matthew Graham  :  "RTRS- DRAGHI - RISKS SURROUNDING ECONOMIC OUTLOOK FOR THE EURO AREA REMAIN ON THE DOWNSIDE, BUT ARE DIMINISHED"