Today was a victory for the bond market in general, but a relatively hollow one for MBS.  Gains were modest for both Treasuries and MBS at first, but got a noticeable bump from the weaker Consumer Confidence data at 10am ET.  At that point, their relative performance was still comparable enough to overlook any potential divergence.

Heading into the afternoon, Treasuries continued to improve while MBS struggled to hold on to each additional tick into stronger territory.  By the end of the day, Fannie 3.0 MBS had returned to the same lows seen multiple times following the Confidence data.  Incidentally, this was the same level as the pre-data highs (101-14 or 101.54).  

In contrast, the best level 10yr yields achieved before the data was 1.69, and they never even made it back to 1.68 afterward.  Moreover, by the end of the day, they were down to 1.652.    Long story short: significant MBS underperformance.  Why?  Treasuries more readily benefit from "risk-off" trading in the afternoon hours, and this was arguably the case today with swirling rumors (and eventual confirmation) of impeachment proceedings in the House.