MBS Pricing Snapshot

The fact that 10yr yields haven't broken any higher than the day's previous highs is impressive. In fact, it feels like we're seeing a sort of glorious "enough is enough" moment where bond markets are putting their foot down and refusing to buy into the hype that has caused so many gyrations in recent months.

Negative reprice risk lessens with each passing moment that MBS and TSYs continue to hold their ground. A coordinated central bank action wasn't off the radar by any means, but a candid "if/then" announcement such as this, is something of a surprise. Yet bond markets don't look nearly as surprised as stocks--a fact that we'll reiterate, is impressive.

No telling where this one will take us, but it looks big:

RTRS - CENTRAL BANKS PREPARING FOR COORDINATED ACTION TO PROVIDE LIQUIDITY IF NEEDED AFTER GREEK ELECTION-G20 SOURCES

This is risk-positive... Stocks and bond yields surging, MBS falling to lows. Will possibly keep heading in these unfriendly directions, so we'd say reprice risk is increasing due to the "wow factor" of the headline, even though trading levels don't quite justify a reprice yet.

10's thus far, definitely fighting off any thought of testing mid 1.64's ceilings, down to 1.6266 currently. 30's backed down from quick trip to 2.74+ ceiling to 2.728 currently. MBS approve.

Fannie 3.5's looking technically sound, several ticks above the 104-24 pivot at 104-26. Crossing below 104-24 would signal increasing risks. The comparable level for 3.0's is roughly 102-05, and we generally have to keep an eye on both these days. Point being, a break below either pivot point signifies increasing risk even if the other coupon is holding.

Bottom line though, these pivot point tests/breaks ARE NOT occurring now, and may not occur at all if benchmarks continue to shy away from the initial post-auction weakness. So far so good, steady as she goes, and all the rest of those colloquialisms can be taken as read...

We haven't seen MBS move markedly to the downside yet, but it could be coming given the breakout move higher in yield from benchmarks. we'd watch 1.6471 as an overhead pivot there and 104-24 in Fannie 3.5's.

Again, to be clear, MBS have NOT experienced the same swing into negative territory yet, but we're on the defensive considering the swings seen in benchmarks. Auction was weak, but not super weak. Still a chance to hold ground with this one... Too soon to tell, but MBS looking resilient so far.