• Bonds bumped higher in yield by Brexit polls overnight
  • Brexit vote is ongoing and results won't be final until early tomorrow morning
  • No impact from economic data today
  • Neither side of the Brexit trade is fully priced-in, leaving plenty of room for volatility tomorrow

I don't usually have high-conviction feelings about what markets will do in the future.  When I do, it is almost always in the form of expecting volatility.  That's how I feel about tomorrow morning's opening levels in bond markets.  It's one of the few times I think it's fairly safe to say that we'll see a relatively big move in a logical direction.

What is relatively big?  Something on the order of 8-10 bps in 10yr yields.  It could be a little higher or lower, but my sense is that the Brexit result implies a move toward established range boundaries.  1.80-1.84% has a lot of history as a pivot point for 10yr yields, and just last week we closed at 1.61%.  So with current yields around 1.74%, 10bps doesn't seem like an insanely big move.  It might even be a logical move.

The only caveat to all of the above is that markets have a tendency to move a little bit less than you think they might in cases like this.  It usually ends up being the "surprises" that cause the bigger pops, but if I had to pick a short list of probably exceptions to that general rule, the Brexit reaction would be on it.

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
102-21 : -0-04
10 YR
1.7440 : +0.0570
Pricing as of 6/23/16 3:56PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
11:50AM  :  ALERT ISSUED: Hopefully Bouncing Off Lows, but Volatility is Increasing Regardless
10:34AM  :  Another Brexit Poll, Another Bounce (Data Ignored)

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Brian Bockholdt  :  "Seems like no matter how priced in something seems to be its never fully priced it, always more damage when it is made official"
Matthew Graham  :  "Gus's thoughts seemed pretty good earlier about 1.84-ish being a range where a "remain"-induced sell-off would start having second thoughts"
Sung Kim  :  "how much slammage you thinking?"
Ben Biscoe  :  "yikes"
Matthew Graham  :  "definitely slammage on a "remain" vote"
Matthew Graham  :  "not even remotely"
Blake Carrillo  :  "Are we thinking there is enough risk priced into the market today MG, to not get slammed when UK votes to remain?"