It's rare that I'll decide to include a chart with a shorter maturity yield curve constituent in the Day Ahead.  In this morning's case, that happened to be the 3yr Treasury note, and 3's continued outperforming 10's and MBS today through the official 3pm close.  In fact, the so-called "belly" (3, 5, and 7yr Treasuries) were the epicenter of month-end bond market strength, but fortunately, they were strong enough that 10's and MBS were able to come along for the ride.

The yield curve levels (one Treasury yield minus another) between various maturities were the best technical shows in town.  Particularly, 10s vs 3's orbited 1.053 beautifully, and when the spread strayed too far in either direction, traders bought the laggard to bring things back to the center.  In other words, this was the unspoken month-end target, and the actions taken to respect it made for today's modest movements.

The most immodest time of day in that regard was surrounding the morning data and the NYSE open.  Bonds sold off in general leading up to the stock open but rallied back behind cover from a much weaker than expected Chicago PMI report.  From there, nothing else really moved the needle and we ground the day out sideways to slightly stronger.  More volatility is expected tomorrow without the calming effects of month-end, not to mention the arrival of significantly more potent data (ADP, and both flavors of ISM).


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
102-10 : +0-06
FNMA 3.5
105-03 : +0-05
FNMA 4.0
106-30 : +0-04
Treasuries
2 YR
0.5590 : -0.0240
10 YR
1.9270 : -0.0260
30 YR
2.5400 : -0.0120
Pricing as of 3/31/15 5:12PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
9:50AM  :  Chicago PMI Miss Helps Bonds Bounce at First, but is it enough?
9:41AM  :  ALERT ISSUED: Month-End Tradeflows Hurting; Negative Reprices Becoming Possible

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Jason Anker  :  "just did an LP non-occ with 0% occupant funds"
Mark DeWitt  :  "Non-occupant co-borrower they need 5%, if they have a joint account with parents or other family that is considered thier own funds"
Frank Hanna  :  "how does that work when the borrower has a non occupant coborrower (parent). do the parents assets count towards the 5%?"
Matt Hodges  :  "freddie does have 5% rule, unless your ltv is 80%"
Frank Hanna  :  "does Freddie have the same minimum 5% of funds must be borrowers rule that FNMA used to have?"