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Bonds Reverse Course, Turn Stronger After Initial Data Reaction

Bond markets were slightly stronger in the overnight session, partially in response to a "risk-off" move associated with Comey's firing, but mostly due to European bond market strength.  10yr yields hit domestic hours 2bps lower at 2.378 and rose only slightly after stronger-than-expected import price data (+0.5 vs +0.2 forecast and a previous reading revised up to +0.1 from -0.2).  

Since that initial weakness, we've reversed course and moved to the strongest levels of the day.  10's are now down 2.5bps at 2.372 and Fannie 3.5s are up 5/32nds at 102-13.

For what it's worth, it doesn't look like MBS are higher on the day if you're looking at a chart, or if you're thinking about where prices were yesterday.  That's due to the roll.  If you're not familiar with this phenomenon, there's always a handy link to "roll dates" at the bottom of the econ calendar that includes the following explanation:

2017-5-10 roll

MBS / Treasury Market Data

UMBS 5.5
97.50
+0.42
UMBS 6.0
99.46
+0.40
UMBS 6.5
101.08
+0.34
2 YR
4.9466
-0.0136
10 YR
4.6140
-0.0205
Pricing as of: 5/2 1:07AM EST
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