Stable Treasury Benchmarks Benefitting MBS

Another day of generally sideways action in benchmark rates brings us another session of Rallying MBS prices.  Fannie 3.5's have mostly traded above yesterday's highs so far today, but are limited both by early November highs at 102-13 and the fact that the roll is coming up tomorrow night (incidentally, those "early November highs" also occurred right before the roll).  

As has been and will be the case this week, most of the interesting and market-moving data occurred during the European session, leaving our domestic session to essentially "trade it out" in a flat, contained range, barring the potential Financial Times headline which we've all but come to expect in the afternoon.  Thank goodness for the green MBS prices.  It makes this blind "watching and waiting" for EU headlines at least bearable.  Rate sheets are as strong as they've been since early November.

Here are a few videos of the MBS Live Dashboard in action:

Moments later, a brief foray down to 102-06.  MBS have since bounce back to the higher trend channel.

Volume and volatility have picked up a bit from yesterday:

But despite that, the broader trend in 10yr yields has been one of consolidation.  Here's an update on yesterday's chart.

The nice thing about Treasury benchmarks showing stability is that MBS tend to benefit from it, even if Treasuries are merely holding steady.  Case in point, check out the relative price action between the two and the resulting effect on spreads.