It's been a while since we've had a good, old-fashioned MBS chart.  There's no particular reason for that.  It's just that Treasuries have been and will continue to be a better gauge of interest rate momentum and trends.  Of course, MBS are the namesake of this commentary, and of course they are of paramount importance in determining actual rate sheet levels and intraday reprice risk, but we only need them for analytical purposes when they're behaving erratically vs Treasuries.  They've been anything but...

Still, it's nice to take a look at a long term chat from time to time.  Sure, it won't look very different than a long term Treasury chart...  Sure, we might even be left with the exact same conclusion...  And sure, it's not nearly as relevant to the rate environment due to the fact that different coupons are more indicative of MBS performance at different times, but if we're going to be depressed about breaking a long term trend, we might as well do it in style:

There is another reason that Treasuries are a better choice for charting shorter time frames and it's pertinent today.  It's pertinent not only because today is "the roll," but more so because the roll is not factored in to the chart above.  That means that the tredlines in the MBS chart were WELL-broken before today's roll sapped an additional 9/32nds from prices.  For those of you following along in bps, that means prices are another roughly .30 lower than they would otherwise be. 

That additional drop has no effect on pricing.  It's simply the price difference between the June coupons that were retired yesterday and the July coupons that now take over. 

As for today's events, the only significant calendar item is the 10yr Treasury auction at 1pm.