• markets continue repricing rate hike expectations
  • shorter duration debt wins (2yr Treasuries beating 10yr)
  • MBS are shorter duration than 10yr, so MBS outperformed, ending green while 10's lost ground
  • Data was a non-event

In most every way, today was just another day for financial markets to digest yesterday's Yellen comments and adjust trading positions accordingly.  Yellen said a lot in her speech, but the most succinct translation is: "we're not hiking in April and possibly not even in June.  We're still pretty concerned about the global economy even though it's not part of our mandate.  We don't seem to care if that confuses you, and we sorta feel like you should just 'get it.'  We can foresee a situation where things get even worse and we have to take rates back to zero and then do some more easing on top of that.  Cheers!"

"we're not hiking in April and possibly not even in June.  We're still pretty concerned about the global economy even though it's not part of our mandate.  We don't seem to care if that confuses you, and we sorta feel like you should just 'get it.'  We can foresee a situation where things get even worse and we have to take rates back to zero and then do some more easing on top of that.  Cheers!"

The biggest winner on the Treasury yield curve when it comes to rapid adjustments in rate hike probabilities is the short end.  That means the shortest-term Treasury bills outperformed the most.  In terms of notes, 2-3yr notes have been killing longer-dated bonds.  3yr yields fell 3.3bps today while 30yr yields rose 5.6bps.

MBS fare better than 10yr Treasuries in this environment because the average life-span of the mortgages in the current crop of MBS coupons is expected to be less than 10yrs.  (Ipso facto, if shorter duration debt is outperforming and MBS have a shorter implied duration than 10 years, MBS outperform 10yr Treasuries).

Even more evident than the poor relative performance was 10yr Treasuries' volatility today.  10's swung to 1.8610 highs from 1.804 lows and back to 1.828 by the close.  MBS, meanwhile, held mostly flat, with just a slight scare heading into the European close.  Fannie 3.0s managed to end the day 1 tick into positive territory.

MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.0
102-13 : +0-01
Treasuries
10 YR
1.8280 : +0.0160
Pricing as of 3/30/16 5:43PMEST
Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
10:30AM  :  ALERT ISSUED: Negative Reprice Risk Increasing
9:37AM  :  ADP a Non-Event as Bonds Focus on Tradeflows and Techs
MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Cory Carmichael  :  "ending the day in GREEN is nice... Hopefully it will pick up where it left off tomorrow."
Hugh W. Page  :  "Love the specificity from these Fed folks. "let economic fundamentals take hold". What the heck does that mean?"
Matthew Graham  :  "RTRS - EVANS: FED BEING CAUTIOUS ON U.S. POLICY TO LET ECONOMIC FUNDAMENTALS TAKE HOLD"
Matthew Graham  :  "A-"
Matthew Graham  :  "RTRS - U.S. SELLS $28 BLN 7-YEAR NOTES AT HIGH YIELD 1.606 PCT, AWARDS 57.38 PCT OF BIDS AT HIGH"
Ted Rood  :  "I'd be shocked if folks weren't seeing that, Tom"
Tom Schwab  :  "Okay, I need help here. Is anyone else seeing FHA loans closed AFTER January 21st 2015 (like last summer) that are STILL being charged the ENTIRE months interest starting on the 1st day of the month? We received a FHA payoff with the entire months interest included. We called and spoke with payoff lender (Vanderbuilt) and pointed out this loan closed in June 2015 and that it was under new rules and they simply said no all interest it due. Anyone else seeing this?"