There was a metric ton of data on tap today, both at home and abroad.   During the European session, most of the data was weaker.  Given that Europe still responds logically to their economic data, that made for a strong overnight move in Treasuries (and of course in the European bond markets that were setting the tone for Treasuries). 

The domestic data at 8:30am was received in the same manner as most domestic data recently: nothing happened.  That was more than acceptable considering we were in stronger territory, but the 10am data was too crazy to be ignored.  The Philly Fed survey came out at the best level since 1993, beating the forecast by the largest amount ever.

MBS and Treasuries lost ground at that point, though it's tough to say if the reversal wasn't already bound to happen after stocks and bonds bounced around 9:20am.  Whatever the case may be, the Philly Fed data certainly gave bond weakness a major push at 10am, sending 10yr yields quickly to 2.34 from 2.31.  Fannie 3.5s fell from 103-19 to 103-14, but that was just small enough of a pull-back to avoid meaningful reprice risk.  Bonds were resilient for the rest of the day--especially after the 1pm 10yr TIPS auction.