As expected, we’re seeing a lot of reports of thinly staffed trade desks in NY thanks to the snow storm. Almost all of the volume in Treasury futures came in during the European session. This was generally negative for bond markets and they’ve generally been rebounding since then.
This weakness had almost run its course by the time 8am rolled around. MBS hit their lowest levels of the day just after 8:30am with Fannie 4.0s down about 6 ticks. They’re still down 1 on the day, but it’s 3-4 ticks higher than the prices during the first round of rate sheets–providing ample insulation from negative reprice risk and perhaps even a chance for a positive reprice or two if the bounce back continues.