MBS and Treasury Markets Archive

Negative Reprices Slightly More Likely - Fri, August 14, 4:34 PM

MBS are down another few ticks and 10yr yields are pushing news highs for the day. The average lender is now seeing almost 6 ticks (.19) of weakness from morning rate sheet print times. That make...

Fri, August 14, 3:18 PM

MBS Now Down an Eighth From Some Rate Sheet Print Times - Fri, August 14, 3:18 PM

Bonds have been selling off slowly and steadily since the 8:30am econ data. UMBS 5.5 coupons are down an eighth of a point on the day and also versus the early lender rate sheet window (9:30-10am...

Fri, August 14, 2:01 PM

Good Luck Making Sense of Retail Sales Reaction - Fri, August 14, 2:01 PM

Based on a few research papers that have attempted to quantify the impact of various economic reports as well as the general consensus among economic calendar purveyors, Retail Sales is allegedly...

Thu, August 13, 9:10 PM

Solid Data-Driven Gains - Thu, August 13, 9:10 PM

MBS Recap Solid Data-Driven Gains MBS Recap Matthew Graham | 5:09 PM S...

Thu, August 13, 5:13 PM

MBS Down 6 Ticks (.19) From Highs - Thu, August 13, 5:13 PM

MBS are still up more than a quarter point on the day (+ 9 ticks or .28), but down 6 ticks (.19) from the highs. Whether or not that creates reprice risk will depend on the lender in question.&nb...

Thu, August 13, 1:51 PM

Thank You PPI - Thu, August 13, 1:51 PM

If nothing else, this morning offers confirmation of just how nervous the market is about inflation. The producer price index barely beat its forecast (in fact y/y CORE PPI was on the screws), bu...

Wed, August 12, 9:10 PM

Bonds End Flat After Front-Running The Decent Data - Wed, August 12, 9:10 PM

MBS Recap Bonds End Flat After Front-Running The Decent Data MBS Recap Matthew Gra...

Wed, August 12, 6:30 PM

Negative Reprice Risk Increasing - Wed, August 12, 6:30 PM

Bonds just drifted to slightly weaker levels. MBS are still up 3 ticks on the day, but pushing into new lows. Previously, we were looking at an eighth point gap from AM highs. Now that's up...

Wed, August 12, 3:09 PM

Down an Eighth From Highs - Wed, August 12, 3:09 PM

10yr yields are still down 1.3bps on the day at 4.679 but that's up more than 3bps from the post-data lows. Selling has been fairly steady but accelerated a bit after the 9:30am NYSE open as a...

Wed, August 12, 1:44 PM

No Major Reaction to As-Expected CPI - Wed, August 12, 1:44 PM

It would have been hard for CPI to be any more boring. All key metrics came in perfectly in line with forecasts. Supercore (core minus housing), was 0.189, which is a monthly equivalent of "close...

Tue, August 11, 8:56 PM

Bonds Looking Somewhat Optimistic Ahead of CPI - Tue, August 11, 8:56 PM

MBS Recap Bonds Looking Somewhat Optimistic Ahead of CPI MBS Recap Matthew Graham ...

Tue, August 11, 2:36 PM

Stronger Start on Yet Another Peace Deal Teaser - Tue, August 11, 2:36 PM

Bonds are rallying, and we have no objection to that. Reasons are simple and familiar enough that there's no sense in over-analyzing them. Newswires hit at 7am saying that Pakistan's defense mini...

Mon, August 10, 8:00 PM

Issuance and Oil Strike Back - Mon, August 10, 8:00 PM

MBS Recap Issuance and Oil Strike Back MBS Recap Matthew Graham | 3:59 PM ...

Mon, August 10, 7:18 PM

Negative Reprice Risk Increasing Just a Bit More - Mon, August 10, 7:18 PM

Several lenders have already repriced for the worse. Nothing much has changed since out last alert, but bonds are just a bit weaker, and additional lenders are slightly more likely to be consider...

Mon, August 10, 5:03 PM

MBS Down an Eighth Since 9:30am - Mon, August 10, 5:03 PM

Bonds have been gradually selling off all morning, but until now, not too much from rate sheet print times. If we use 9:30am as a baseline, 5.5 coupons are now down exactly an eighth of a point. ...

Mon, August 10, 2:32 PM

Another Week, Another Oil Price Pivot - Mon, August 10, 2:32 PM

Recent experience suggests the safest assumption about oil prices and bond yields is that they will pop and drop with reasonable regularity. In other words, lower prices/yields for a few days fol...

Fri, August 7, 9:21 PM

Not Quite The Rally You'd Expect, But a Rally Nonetheless - Fri, August 7, 9:21 PM

MBS Recap Not Quite The Rally You'd Expect, But a Rally Nonetheless MBS Recap Matt...

Fri, August 7, 6:43 PM

Lows of the Day. Slightly More Reprice Risk - Fri, August 7, 6:43 PM

A small handful of lenders have already repriced. More may join them as Treasuries continue edging slightly higher and MBS nudge up against the lows of the day. Things have actually been almost p...

Fri, August 7, 3:19 PM

Down Almost an Eighth From Rate Sheet Times - Fri, August 7, 3:19 PM

Reprices aren't necessarily likely at the moment, but we're getting close to that being a possibility for the earlier lenders. 5.5 UMBS held a fairly narrow plateau during the prime time rate she...

Fri, August 7, 1:05 PM

Much Stronger Start After Negative NFP Print, But... - Fri, August 7, 1:05 PM

Nonfarm payrolls (NFP) FELL 23k versus an 80k forecast. Last month was revised down as well. From a traditional market-watching perspective, this is pure rally fuel. Indeed, bonds are rally...

Thu, August 6, 7:05 PM

Almost Like Clockwork - Thu, August 6, 7:05 PM

MBS Recap Almost Like Clockwork MBS Recap Matthew Graham | 2:33 PM Alm...

Thu, August 6, 4:22 PM

Negative Reprices Becoming Likely - Thu, August 6, 4:22 PM

MBS are now down 10 ticks on the day (.31) and nearly a quarter point from the AM price plateau. This is well within reprice territory for many lenders and we should start seeing them soon.

Thu, August 6, 3:55 PM

MBS Down an Over Eighth From Highs - Thu, August 6, 3:55 PM

MBS are at the lows of the day with 5.5 coupons down over an eighth of a point from AM highs. This is the threshold of negative reprice risk for the average lender. 10yr yields are ...

Thu, August 6, 3:05 PM

Modest Overnight Weakness on Oil and Corporate Issuance. - Thu, August 6, 3:05 PM

It's as good of a day as any to revisit our primer on corporate debt issuance given that it's having an impact on bonds today. Alphabet announced a $25bln bond offering around 7:45am...

Wed, August 5, 7:28 PM

Bonds Shake Off Mid-Day Weakness to Hold Mostly Steady - Wed, August 5, 7:28 PM

MBS Recap Bonds Shake Off Mid-Day Weakness to Hold Mostly Steady MBS Recap Matthew...

Wed, August 5, 2:12 PM

MBS Update:

Nice Little Reversal After Iran-Related Newswire - Wed, August 5, 2:12 PM

U.S. REMOVES IRAN-RELATED SANCTIONS -TREASURY WEBSITE We have not been able to independently confirm that the the sanctions news exists on Treasury's website, but the newswire exists and marke...

Wed, August 5, 1:54 PM

Losing Some Ground Ahead of ISM Data - Wed, August 5, 1:54 PM

MBS are now down an eighth of a point on the day and just over an eighth of a point from AM highs. Reprice risk isn't necessarily a major consideration due to timing, but the earliest-prici...

Wed, August 5, 12:55 PM

Minimal Overnight Volatility. Waiting on Data and War News - Wed, August 5, 12:55 PM

With the potential for a Hormuz deal floated earlier in the week, a more substantive announcement remains the biggest opportunity for the bond market until Friday's jobs report (and even then, co...

Tue, August 4, 7:29 PM

Solid Showing For Logical Reasons - Tue, August 4, 7:29 PM

MBS Recap Solid Showing For Logical Reasons MBS Recap Matthew Graham | 3:28 PM ...

Tue, August 4, 1:39 PM

Hormuz Deal Hopes Turning Bonds Green at Open - Tue, August 4, 1:39 PM

This morning is offering another installment of hope for some form of progress in Iran. In today's case, it was Bessent floating the notion of possible Hormuz deal as early as this week. Markets ...

Mon, August 3, 7:52 PM

Sideways and Stronger, But Risks Remain - Mon, August 3, 7:52 PM

MBS Recap Sideways and Stronger, But Risks Remain MBS Recap Matthew Graham | 3:51 ...

Mon, August 3, 2:25 PM

Stronger Start on Iran News, Stronger Data Taken in Stride - Mon, August 3, 2:25 PM

Bonds opened the trading session in much stronger territory, following the drop in oil prices associated with another round of de-escalation hopes in the Iran war. The root cause was the cancella...

Fri, July 31, 8:08 PM

Esoteric Forex Drama Blasts Bonds, Maybe - Fri, July 31, 8:08 PM

MBS Recap Esoteric Forex Drama Blasts Bonds, Maybe MBS Recap Matthew Graham | 4:07...

Fri, July 31, 5:52 PM

More Yen Intervention. New Lows For MBS - Fri, July 31, 5:52 PM

There's been another wave of Treasury selling that lines up with another surge in Yen values. Based on this morning's headlines, this suggests large scale efforts on the part of US institutions t...

Fri, July 31, 1:46 PM

Quickly Moving to New Lows - Fri, July 31, 1:46 PM

10yr yields are launching higher, and in the highest volume of the day--now up 6bps at 4.734. MBS are down more than a quarter point and just over an eighth of a point since 9am. Most lenders ...

Fri, July 31, 1:09 PM

Japan Currency Intervention, Oil, and Data Causing Some Selling - Fri, July 31, 1:09 PM

Japan's Ministry of Finance (MOF) and central bank (BOJ) are a bit more closely linked than Treasury and the Fed. For example, the MOF can instruct the BOJ to sell a bunch of securities to pop up...

Thu, July 30, 8:14 PM

Bullets Dodged - Thu, July 30, 8:14 PM

MBS Recap Bullets Dodged MBS Recap Matthew Graham | 4:14 PM Bullets Do...

Thu, July 30, 1:40 PM

Sideways Start is a Victory - Thu, July 30, 1:40 PM

This morning could have been much worse. The bond market could have continued spiraling on fear that it is now responsible for conducting monetary policy--something that sounds weird when you fir...

Wed, July 29, 9:47 PM

What's Up With Today's Paradoxical Fed Reaction? - Wed, July 29, 9:47 PM

MBS Recap What's Up With Today's Paradoxical Fed Reaction? MBS Recap Matthew Graha...

Wed, July 29, 8:19 PM

Negative Reprice Risk Increasing - Wed, July 29, 8:19 PM

MBS are now at new lows for the day with 5.5 coupons down 10 ticks (.31) in total and 5-6 ticks (.16-.19) from the morning price plateau. Most lenders could technically justify a negative reprice...

Wed, July 29, 7:46 PM

Lenders Who Dropped Rates After Fed May Need to Reprice - Wed, July 29, 7:46 PM

The post-Fed move looked clear enough. MBS rallied more than 3/8ths of point in fairly short order. A few lenders responded with a logical positive reprice. MBS are now down a quarter point ...

Wed, July 29, 6:00 PM

Here's What Changed in The New Fed Announcement - Wed, July 29, 6:00 PM

The Federal Open Market Committee approved the following statement for release by a 12 9 – 0 3 vote: The Committee decided to maintain the target range for the federal funds rate a...

Wed, July 29, 4:08 PM

New Lows - Wed, July 29, 4:08 PM

Selling has been fairly gradual, but bonds are now at the weakest levels of the day. 10yr yields are up 4.1bps at 4.648. MBS are down 6 ticks (.19) and at 5 ticks (.16) from some lenders ra...

Wed, July 29, 1:49 PM

"Pause" Ends in Iran, But Probably Not For The Fed - Wed, July 29, 1:49 PM

The big news over the weekend was that the U.S. and Iran paused hostilities--something that led to 2 solid days of gains in the bond market. But in the overnight session, the pause ended as multi...

Tue, July 28, 8:04 PM

Giving Peace (And Bonds?) a Chance - Tue, July 28, 8:04 PM

MBS Recap Giving Peace (And Bonds?) a Chance MBS Recap Matthew Graham | 4:04 PM ...

Tue, July 28, 1:28 PM

Another Slightly Stronger Start - Tue, July 28, 1:28 PM

Once again, bond yields dropped in the overnight session in concert with lower oil prices. Today's iteration is less swift than yesterday's, but after last week's sell-off, we'll take any green w...

Mon, July 27, 8:15 PM

Compared to Oil, Yields Not Quite as Willing to Drop - Mon, July 27, 8:15 PM

MBS Recap Compared to Oil, Yields Not Quite as Willing to Drop MBS Recap Matthew G...

Mon, July 27, 12:51 PM

Less Bombing. More Rallying - Mon, July 27, 12:51 PM

It's a pretty simple morning for the bond market (and many other markets). While there's no formal ceasefire, both the U.S. and Iran have indicated a pause in the tit for tat airstrikes that have...

Fri, July 24, 7:38 PM