Treasuries Thunder Back Positive Territory; MBS Underperform

This morning’s headline suggested a sideways, volatile range remained intact even though bonds lost a significant amount of ground in the overnight session.  In fact, 10yr yields briefly matched the recent highs (from Tuesday) before stabilizing.  The late AM hours were very good for Treasuries and fairly good for MBS.  Both remained sideways as just slightly weaker levels.  Late day trading saw rapid position squaring in Treasuries, both ahead of a holiday weekend and in response to heavy stock losses.  With that Treasuries moved well into positive territory and MBS came close.

Econ Data / Events

Swiss National Bank (SNB) surprises markets with a rate hike Bank of England (BOE) hikes as expected, slightly hawkish statement Jobless Claims 229 vs 215 f’cast, 232 prev Philly Fed -3.3 vs 5.5 f’cast, 2.6 prev Philly Fed 6-mo outlook lowest since 2008

Market Movement Recap

09:02 AM heavy losses overnight on SNB hike and hawkish BOE.  10yr up 10.7bps at 3.4.  MBS down 5/8ths of a point.

11:03 AM Some weakness heading into 10am hour and now improving as stocks tank.  10yr still up 5bps at 3.345.  MBS down half a point at 99.0, but up more than half a point from lows. 

02:51 PM Fairly flat across the mid-day hours with MBS trading a sideways range roughly 3/8ths lower on the day.  Same story for 10yr yields roughly 2bps higher on the day.

04:12 PM Big move lower in yield after the 3pm CME close and ahead of 4pm NYSE close.  Short-covering is a factor, as is stock market weakness.  10yr yields now DOWN 4.5bps at 3.246 and MBS down only 7 ticks (.22).  
Source: Mortgage News Daily