Everything continues to be “small-scale volatile” within fairly well-defined ranges. After trending lower since 11am, MBS caught another supportive bounce at the low end of their two-day range at 103-21.
Treasuries are still slightly weaker on the day, up 1.3bps to 1.587, but Fannie 3.0s MBS are outperforming, up 1 tick on the day at 103-24. These prices go a long way toward mitigating the potential reprice risk that had been building earlier.
With the ECB news ostensibly out already for tomorrow morning, we’re that much more intently focused on Friday’s NFP and thus, that much more willing to accept this sideways, grindy, uninspired price action.