If you're just tuning in, bond markets are having a career day with 10yr yields currently operating near 2.06 after trading in the 2.2's yesterday and 2.4's last week.  Fannie 3.0s (those are important again now) are up a point and 3.5s are up 20 ticks.  Best-ex rates are easily into the high 3's.  Wow...

Today isn't going to break any records in terms of absolute movement.  Clearly, we've seen bigger moves in the past, but we must also consider the context.  For instance, bond markets were making bigger swings lower in yield in 2011 and 2008/2009, but the circumstances were quite different.  In both of those cases, we had clearer motivations.  In 1987, yields certainly dropped more in a 2 day period, but there again, that followed a massive sell-off and the drop was part of the reversal process.

This time around, the massive rally comes in the MIDDLE of an ALREADY-ESTABLISHED rally.  Treasuries were already pushing overbought levels by the time yields hit 2.4 last week.  To drop another 54bps to 1.86 (intraday today) considering those circumstances is more or less unprecedented.  Here are some fun facts:

  • Biggest volume day in treasury futures since the start of the financial crisis (surpassed at 1:30pm).
  • Biggest swing to overbought levels in many technical indicators.
  • Biggest rally day since mid 2011.
  • Biggest intraday rally since March 2009 stock crash.

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
101-18 : +1-00
FNMA 3.5
104-09 : +0-22
FNMA 4.0
106-16 : +0-09
2 YR
0.2920 : -0.0840
10 YR
2.0557 : -0.1413
30 YR
2.8330 : -0.1190
Pricing as of 10/15/14 2:23PMEST

Morning Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
12:29PM  :  ALERT ISSUED: Two Kinds of Reprice Risk
10:23AM  :  What The Heck is Going on With This Massive Bond Market Rally?

Live Chat Featured Comments
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Hugh W. Page  :  "My Secondary was sending me an email letting me know what the market was doing 30 mins after I was already fully in the know from MBS Live :)"
Victor Burek  :  "pretty sure many said that same thing yesterday about crazy not to lock after rally"
Christopher Stevens  :  "I would have more of a float dinghy at these levels. Be crazy not to lock if rate sheets offer 3.875%"
Hugh W. Page  :  "Okay, just got in to the office and turned on MBS Live. Whoa....I guess that float advice late yesterday was a good one :)"
Jason York  :  "after all of this is said and done, whichever day it is, I would expect to see a major selloff, much like MG said in the Day Ahead, this is a little too fast, and some correction will be instore, just my $.02"
John Sheadel  :  "And here it goes. "
Matthew Graham  :  "perfect for snowballs"
Matthew Graham  :  "snow is not too dry and not too wet today"
Matthew Graham  :  "RTRS - US SEPT RETAIL SALES EX-AUTOS -0.2 PCT (CONS +0.3 PCT) VS AUG +0.3 PCT (PREV +0.1 PCT)"