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Weaker start, but bouncing back a bit now. MBS up 2 ticks (.06) and 10yr yield up 1bp at 4.098
Best levels of the day with MBS up 3 ticks (.09) and 10yr up only half a bp at 4.092
Just a bit stronger. MBS up 5 ticks (.16) and 10yr down 0.1bps at 4.087
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The early days of a new trading month and the positioning ahead of next week's Fed announcement have resulted in clear curve trading biases. In English, this means that shorter-term Treasuries are doing much better than longer-term Treasuries. For example, 2yr yields are down 2.4bps while 10yr yields are up 1.1bps. This dynamic is usually good for MBS because the average implied duration for MBS is closer to 5 years than 10 these days. The result: MBS and 5 year Treasuries are both slightly stronger on the day while 10s are still slightly weaker.