The MBS spread widens in sync with oil prices and yields, as the opening of the Strait of Hormuz triggers a repricing across all assets.

汇通财经2026/04/17 13:59

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After Iran announced that the Strait of Hormuz would be open for commercial shipping, the mortgage-backed securities basis widened in sync with a sharp drop in oil prices and a steep decline in government bond yields. The 10-year Treasury yield dropped from the upper end of the overnight 4.32%–4.295% range all the way down to 4.230%, approaching the lower Bollinger Band and the 200-day moving average at 4.191%.
US stock index futures rose by 0.7% to 1.1%, the VIX index fell 0.5 points to 17.44, and the investment-grade credit default swap index narrowed by 1.4 basis points to 53.2 basis points. West Texas Intermediate crude and Brent crude fell by 10% and 9.4% to $85.16 and $90.02 per barrel, respectively. German and UK government bond futures rose by 65 and 80 ticks, respectively, while the US Dollar Index dropped 0.5% to 97.73.
Government bond yields fell by 6.3 to 8.1 basis points across the curve, with 10-year Treasury futures rising 20 ticks to 99-05, corresponding to a yield of 4.230%, and 5-year Treasury futures rising 11.75 ticks to 100-06, yielding 3.833%. The 2-year and 10-year yield spread narrowed slightly by 0.5 basis points to 52.4 basis points, while the 10-year and 30-year yield spread widened by 1 basis point to 63.0 basis points.
Mortgage-backed securities prices generally rose, with 4.5%–6% coupon 30-year uniform mortgage-backed securities rising by between 2 and 16-plus ticks, and their basis over Treasuries similarly widened. The current change in basis mainly reflects dynamic adjustment in convexity hedging demand for mortgage-backed securities under heightened interest rate volatility, rather than deterioration of credit fundamentals. If the downward trend in yields continues, there is still a risk that the basis may widen further.

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The MBS spread widens in sync with oil prices and yields, as the opening of the Strait of Hormuz triggers a repricing across all assets.

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