If today wasn’t a record in terms of positive reprice reports from MBS Live users, it was right up there. 44 have come through as yet, and it’s not unheard of for reprices to hit even later. Their combined affect has been strong, but not epic–just barely enough to make today the biggest-gaining day in February. Admittedly, that doesn’t take much doing on such an awful month, but no one’s complaining.
As for the motivation, today was all about the Fed, or rather, all about Fed Chair Yellen. In short, US bond markets had broken away from European bond markets at the beginning of February, with an especially strong move after the freakishly good NFP numbers. This kicked off snowball momentum and was further fueled by fears that European bond markets had bottomed. Things have been especially tense ever since the Greece deal began to come into view on the 17th.
A day later, the FOMC Minutes helped domestic bonds improve versus Europe, but domestic markets remained skeptical considering NFP had occurred after the Fed minutes. They wanted to see if Yellen would have a similar message to the somewhat dovish Minutes. She did. Or more appropriately, she didn’t drop any bombs. The fact that markets were worried about bombs was evident in the timing of the sharpest rally move today. It occurred right as the testimony wrapped up, as if to say “well, if that’s all we’re going to hear from Janet today, it’s safe to rally.”