Treasuries and MBS have seen modest volatility within a modest range this morning.  The stage was set with overnight weakness resulting in weaker opening levels.  At 8am, 10yr yields were up around 3bps and Fannie 3.5 MBS were down about an eighth of a point.

From there, the first swing followed a much weaker than expected Durable Goods report.  While it's true that economic data hasn't had much of an impact recently, the combination of low volume today and an exceptionally large miss in the data increased the impact.  With this, bonds were back to 'unchanged' levels on the day.

The next swing began on the approach to the 9:30am cash open for stocks.  This can occasionally be a volatile time for bond markets as some investors sell bonds to free up cash to go play in the bigger sandbox.  A much stronger than expected Consumer Confidence report added a bit to the weakness, carrying bonds to their worst levels of the day.  But the lack of conviction was evident as trading levels quickly shied away from breaking any significant technical levels (i.e. 10's holding under 2.30).

All that having been said, the weakness was just enough for negative reprice risk and at least one has already been reported.  Moreover, the risk remains as MBS continue treading water near their weakest levels of the day.