Posted To: MBS Commentary
With UK and Japan bank holidays, cash Treasuries didn’t really have an overnight session (London and Tokyo are the hubs for Treasury trading during the European and Asian sessions respectively). This also affected volume and liquidity in early domestic hours. In this case, the lack of liquidity made it easier for Treasuries to hold their ground against an onslaught of weakness in German sovereign debt. 10yr Bunds are up a whopping 40bps in 2 weeks! With Treasuries outperforming Bunds, the spread between the two narrowed all morning. Once it hit the narrowest recently levels (1.675%, set at the end of April, if you’re curious), Treasuries acquiesced to the European pressure and moved rapidly higher in yield . The move was exacerbated by corporate debt issuance as the rate-lock process…(read more)
Via:: MBS MID-DAY: Widespread Negative Reprices After Heavy Pressure from European Bonds
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