MBS RECAP: Not The Worst Day of the Year, but Close!

By: Matthew Graham

Bond markets moved back toward the higher end of their recent yield range today--and indeed, the highest pivot point in 2015.  10yr yields have only been higher at 5pm on 2 other days this year.  All this without any amazing breakthrough in Greece.  In fact, if anything, the two sides moved farther apart today.  It's almost as if markets are basing trading decisions on something other than just Greece's on-again-off-again debt deal. 

Thank goodness my Day Ahead commentary got through to the right people.  I saw a lot of reference to "headline exhaustion" today after weeks of incessant hyperfocus on Greece-related headlines.  Unfortunately, focusing on Greece would have helped today.

Instead, we were left to trade the economic data, the Treasury auction, and whatever else.  Starting with the economic data, the conclusion is that it wasn't traded.  Literally, there was no reaction to the PCE or Jobless Claims releases in the charts.  Skipping ahead to the "whatever else," we saw late momentum in Europe make its way into US bond markets to some small extent, this combined with the typically weaker pre-auction environment to take US bond markets to their weakest levels of the day.

Once Europe closed, the selling stopped and we waited for the auction.  After fairly strong results, bonds rallied back to the best levels of the day, but didn't really attempt to break any lower in yield.   Things feel ominous here. 


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
99-03 : -0-09
FNMA 3.5
102-21 : -0-08
FNMA 4.0
105-22 : -0-06
Treasuries
2 YR
0.6880 : +0.0040
10 YR
2.4120 : +0.0390
30 YR
3.1770 : +0.0250
Pricing as of 6/25/15 5:45PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
4:09PM  :  ALERT ISSUED: Afternoon Volatility; Limited Reprice Risk Unless Selling Continues
10:47AM  :  ALERT ISSUED: Negative Reprices Coming into Play
10:21AM  :  Steady, Sideways Range for 3rd Straight Day

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Matthew Graham  :  "I have 5 day charts up right now. Making me sleepy"
Jeff Anderson  :  "Reprices? Aren't MBS' right where we were when pricing came out this AM?"
Sung Kim  :  "Where are all the RPs?"
Oliver Orlicki  :  "would like to see some buying pressure"
Matthew Graham  :  "B+ auction considering the selling pressure"