By Aleksandrs Rozens

NEW YORK, May 27 (Reuters) - U.S. mortgage-backed bond prices rose in tandem with U.S. Treasuries early on Thursday while spreads narrowed on heightened buying.

"MBS are doing very well this morning," said Walt Schmidt, manager of mortgage strategy and research at FTN Financial Capital Markets.

Mortgage-backed bonds were 2/32 to 5/32 narrower in spread early this session from late Wednesday, he said.

Treasury prices rose amid worries about another terror threat. This tugged mortgage-backeds higher on Thursday.

In Bratislava, two bags filled with explosives were found in the Slovak capital near a venue where hundreds of Nato parliamentary officials are due to meet on Friday.

This report, in addition to a U.S. government warning on Wednesday about terror attacks by al Qaeda, has helped fan safe-haven demand for U.S. Treasuries by investors.

That buying has helped steepen the U.S. Treasury curve, which should help keep alive the carry trade that has benefited mortgage bonds.

While U.S. Treasury yields have dropped on Thursday, Schmidt said U.S. rates are high enough to ensure there will be no large pickup in home loan refinancings that bring about massive mortgage bond prepayments.

The lower U.S. rates have fanned demand for lower coupon securities.

The best performers, so far on Thursday, have been 4-1/2 percents and 5 percents, said Schmidt. He added that 30-year mortgage debt has outpaced 15-year mortgage-backeds as investors strike out for more duration amid the drop in U.S. yields.

Early on Thursday, the yield on 10-year Treasury note <US10YT=RR> was at 4.64 percent.

Bond Equivalent

Coupon Delivery Price Yield (pct) 30-year Fannie 6.00% June 101-30/32 5.033 30-year Gold 6.00% June 101-21/32 5.636 30-year Ginnie 6.00% June 101-26/32 5.619 15-year Fannie 5.50% June 101-25/32 5.071