MBS and Treasury Markets Archive

Reasonably Resilient After AM Losses - Thu, 7:53 PM

MBS Recap Reasonably Resilient After AM Losses MBS Recap Matthew Graham | 3:50 PM ...

Thu, 2:54 PM

Stronger Data Hurting Bonds - Thu, 2:54 PM

It's been a fairly straightforward morning so far with economic data coming out much stronger than expected. While the reports in question are not in the "big ticket" category of market mov...

Thu, 12:34 PM

Losing Ground After Stronger Data - Thu, 12:34 PM

Continued Claims (Sep)/13 1,926K vs 1930K f'cast, 1920K prev Core CapEx (Aug) 0.6% vs -0.1% f'cast, 1.1% prev Core PCE Prices QoQ FinalQ2 2.60% vs 2.5% f'cast, 3....

Wed, 8:06 PM

Weaker Thanks to 2 Kinds of "Supply" - Wed, 8:06 PM

MBS Recap Weaker Thanks to 2 Kinds of "Supply" MBS Recap Matthew Graham | 4:05 PM ...

Wed, 6:36 PM

Down an Eighth From AM Highs - Wed, 6:36 PM

MBS opened only a hair weaker, but then set a consistent range from 8:30am through 2pm. In the past few minutes, prices have fallen an eighth of a point below the top of that range. This co...

Wed, 3:33 PM

Quieter Calendar Leaves Focus on 5yr Auction - Wed, 3:33 PM

It would be an overstatement to say that this week's econ calendar has been "active," but yesterday at least had unscripted comments from Fed Chair Powell, several other Fed speakers, and an occa...

Tue, 8:15 PM

Modestly Stronger After No Whammies From Powell - Tue, 8:15 PM

MBS Recap Modestly Stronger After No Whammies From Powell MBS Recap Matthew Graham...

Tue, 3:03 PM

Which Powell Will We Get Today? - Tue, 3:03 PM

Fed Chair Powell speaks today at a chamber of commerce luncheon in Providence. While the venue may not possess the gravitas of last week's press conference, any opportunity for Q&A with the F...

Mon, 7:46 PM

Slow Burn With Little to Blame - Mon, 7:46 PM

MBS Recap Slow Burn With Little to Blame MBS Recap Matthew Graham | 3:46 PM ...

Mon, 6:46 PM

Negative Reprice Risk Increasing - Mon, 6:46 PM

10yr yields are up almost 2bps at 4.145 and MBS are down 6 ticks (.19) on the day. Most lenders are now seeing at least an eighth of a point of weakness in MBS since morning rate sheet prin...

Mon, 3:35 PM

Down Just Over an Eighth From Highs - Mon, 3:35 PM

Bonds have had two mini bouts of selling so far this morning. The first played out more gradually and took MBS to the brink of an eighth point drop from the AM highs. The most recent ...

Mon, 3:11 PM

Deluge of Fed Speakers as Market Waits For Next Week's Jobs Report - Mon, 3:11 PM

Although the present week brings the release of PCE inflation for August, and although PCE is the most relevant inflation data when it comes to assessing progress toward the 2% target, we still w...

Fri, September 19, 7:31 PM

Uneventfully Sideways At Modestly Weaker Levels - Fri, September 19, 7:31 PM

MBS Recap Uneventfully Sideways At Modestly Weaker Levels MBS Recap Matthew Graham...

Fri, September 19, 4:23 PM

Down Just Over an Eighth of a Point From Highs - Fri, September 19, 4:23 PM

Lenders who released initial rate sheets between 9:45 and 10:15am are now seeing an eighth of a point of weakness in MBS prices (5.0). As such, the jumpiest among them could technically jus...

Fri, September 19, 3:23 PM

It's Not as Bad as it Seems - Fri, September 19, 3:23 PM

In your defense, perhaps you're not too bothered or concerned about the market/rate movement since Fed day. But if you are, here's some perspective. With the exception of the past 2 weeks, 10yr y...

Thu, September 18, 8:36 PM

Will September Deja Vu Continue? - Thu, September 18, 8:36 PM

MBS Recap Will September Deja Vu Continue? MBS Recap Matthew Graham | 4:32 PM ...

Thu, September 18, 1:44 PM

An Alert, But Not Exactly a "Reprice" Alert - Thu, September 18, 1:44 PM

The main function of an alert on MBS Live is to serve as a warning for potential negative reprices. Sometimes, they are simply used to highlight the type of market movement that would result in n...

Thu, September 18, 1:28 PM

Losing Ground After Stronger Econ Data - Thu, September 18, 1:28 PM

This morning's economic reports (jobless claims and Philly Fed) are not notoriously big market movers, but many analysts gave ample credit to Claims for driving last Thursday morning's rally.&nbs...

Wed, September 17, 8:44 PM

Fed Day Selling Spree as Press Conference Trumps The Dots - Wed, September 17, 8:44 PM

MBS Recap Powell Press Conference Trumps The Dots, Sparking Moderate Sell-Off MBS Recap ...

Wed, September 17, 8:35 PM

Negative Reprices Increasingly Likely If You Haven't Seen One Yet - Wed, September 17, 8:35 PM

MBS are now down almost 3/8ths of a point on the day and easily over a quarter point from morning rate sheet print times. As such, any lender who has yet to reprice for the worse is highly likely...

Wed, September 17, 6:55 PM

Negative Reprice Risk Increasing - Wed, September 17, 6:55 PM

Rally reversal continues. MBS now down a quarter point on the day and 10yr up 5bps at 4.08. General reason: Powell's push-back on dots as predictive of 3 cuts in 2025. Negative ...

Wed, September 17, 6:40 PM

Gains Vanish As Press Conference Begins - Wed, September 17, 6:40 PM

The main issue for markets was the following comment: Fed Chair Powell: Individual Forecasts Are Not A Plan, Policy Not On Preset Course With that, MBS gave up all of the gains and ar...

Wed, September 17, 6:03 PM

First Reaction to Fed Announcement is Stronger - Wed, September 17, 6:03 PM

25bp cut, as expected Dot plot comparison attached. Median at 3.625 (2 more 2025 cuts) Bonds are rallying as expected in the "2 more cuts" scenario. 10yr down 1.9bps at 4.01 and...

Wed, September 17, 6:00 PM

Here's What Changed in The New Fed Announcement - Wed, September 17, 6:00 PM

Although swings in net exports continue to affect the data, recent Recent indicators suggest that growth of economic activity moderated in the first half of the year. The Job gains have slowe...

Wed, September 17, 2:51 PM

What to Expect From The Fed Today - Wed, September 17, 2:51 PM

The Fed rate announcement is at 2pm ET. A single 25bp rate cut is fully priced in to the bond market and that cut will not be responsible for any volatility you see at 2pm. A 50bp cut is so...

Tue, September 16, 8:03 PM

Big Shift Toward 5.0 Coupons Continues - Tue, September 16, 8:03 PM

MBS Recap Big Shift Toward 5.0 Coupons Continues MBS Recap Matthew Graham | 4:02 P...

Tue, September 16, 3:26 PM

Down Over an Eighth From AM Highs - Tue, September 16, 3:26 PM

The only downside of this morning's post-data recovery was that it set a higher level for MBS during some lenders' rate sheet print times. From those highs around 9:45am, MBS are now down 5 ticks...

Tue, September 16, 2:02 PM

Bonds Easily Clearing Last Pre-Fed Hurdle - Tue, September 16, 2:02 PM

After last week's CPI data was taken mostly in stride, the only other potential economic data hurdle was this morning's Retail Sales report. Whereas CPI was merely on the hotter side of the ...

Tue, September 16, 12:33 PM

Losing Ground After Retail Sales - Tue, September 16, 12:33 PM

Export prices mm (Aug) 0.3% vs 0% f'cast, 0.1% prev Import prices mm (Aug) 0.3% vs -0.1% f'cast, 0.4% prev Retail Sales (Aug) 0.6% vs 0.2% f'cast, 0.5% prev ...

Mon, September 15, 7:47 PM

Uneventful Rally. Retail Sales on Deck - Mon, September 15, 7:47 PM

MBS Recap Uneventful Rally. Retail Sales on Deck MBS Recap Matthew Graham | 3:46 P...

Mon, September 15, 3:24 PM

Slow, Slightly Stronger Start to a Potentially Volatile Week - Mon, September 15, 3:24 PM

For all the time we spend pushing back on the notion that the Fed Funds Rate is a root cause for volatility in longer-term rates, that push-back always carries a notable caveat: Fed Funds Rate ex...

Fri, September 12, 7:43 PM

Incidental, Inconsequential Weakness Ahead of Fed Week - Fri, September 12, 7:43 PM

MBS Recap Incidental, Inconsequential Weakness Ahead of Fed Week MBS Recap Matthew...

Fri, September 12, 3:11 PM

Back in The Range After Failed Breakout Attempt - Fri, September 12, 3:11 PM

Bonds began the week with 10yr at 4.07 before rallying down to 4.04 by Monday's close. Now on Friday, we're opening at 4.06 and we haven't spent much time trading more than a few bps higher...

Thu, September 11, 8:25 PM

Very Calm Reaction But Not Too Surprising - Thu, September 11, 8:25 PM

MBS Recap Very Calm Reaction But Not Too Surprising MBS Recap Matthew Graham | 4:2...

Thu, September 11, 8:12 PM

MBS Down an Eighth From Mid-AM Highs - Thu, September 11, 8:12 PM

This is more of a heads-up than a dire reprice alert. MBS are still up 1 tick on the day (0.03) and things have been reasonably flat all day. Slow erosion in bonds has now added up to...

Thu, September 11, 4:10 PM

Slightly Stronger Start Despite Slightly Higher Inflation - Thu, September 11, 4:10 PM

It's an interesting morning for economic data and the bond market's reaction. At face value, CPI was mostly in line with forecasts, but unrounded numbers were a bit hot (i.e. core monthly C...

Thu, September 11, 12:37 PM

Core CPI Slightly Hotter, But Claims May Be Helping - Thu, September 11, 12:37 PM

Continued Claims (Aug)/30 1,939K vs 1950K f'cast, 1940K prev Continued Claims (Aug)/30 1,939K vs 1950K f'cast, 1940K prev Jobless Claims (Sep)/06 263K vs 235K f'c...

Wed, September 10, 8:28 PM

Helpful Data and Treasury Auction Set High Bar For CPI - Wed, September 10, 8:28 PM

MBS Recap Helpful Data and Treasury Auction Set High Bar For CPI MBS Recap Matthew...

Wed, September 10, 8:13 PM

Heads-Up: MBS Down an Eighth From Highs - Wed, September 10, 8:13 PM

This is definitely one of those "heads-up" type of alerts in that it doesn't necessarily connote a high degree of reprice risk. That said, prices are down an eighth of a point from highs. The ...

Wed, September 10, 3:27 PM

Super Cool PPI Makes For a Stronger Start - Wed, September 10, 3:27 PM

Of the two inflation reports out this week, PPI is the lesser of the two in terms of importance, but it came in far enough below forecasts to prompt some bond buying to start the day. PPI is a co...

Wed, September 10, 12:36 PM

Bonds Rallying After Weaker PPI - Wed, September 10, 12:36 PM

Core Producer Prices MM (Aug) -0.1% vs 0.3% f'cast, 0.9% prev Core Producer Prices YY (Aug) 2.8% vs 3.5% f'cast, 3.7% prev Producer Prices (Aug) -0.1% vs 0.3% f'c...

Tue, September 9, 8:04 PM

Post-NFP Rally Momentum Fades - Tue, September 9, 8:04 PM

MBS Recap Post-NFP Rally Momentum Fades MBS Recap Matthew Graham | 4:03 PM ...

Tue, September 9, 7:53 PM

New Lows. More Reprice Risk - Tue, September 9, 7:53 PM

If you haven't seen a reprice for the worse yet, chances are increasing. MBS are now down 6 ticks (.19) from many lenders' rate sheet print times versus 4 ticks (.125) at the time of the pr...

Tue, September 9, 3:10 PM

Weakest Levels; MBS Down an Eighth - Tue, September 9, 3:10 PM

Bonds have been selling steadily since the 9:30am NYSE open. MBS are now down an eighth of a point from their AM highs. Because those highs coincided with some lenders' rate sheet print times, ne...

Tue, September 9, 2:31 PM

These Aren't The NFP Revisions You're Looking For - Tue, September 9, 2:31 PM

On August 1st, Nonfarm Payrolls (NFP) not only came out weaker than expected, but the previous two reports were also revised significantly lower. This is the report that generated buzz over the "...

Mon, September 8, 7:33 PM

More Gains Despite Absence of New Motivation - Mon, September 8, 7:33 PM

MBS Recap More Gains Despite Absence of New Motivation MBS Recap Matthew Graham | ...

Fri, September 5, 8:44 PM

Textbook Reaction With Minimal Volatility - Fri, September 5, 8:44 PM

MBS Recap Textbook Reaction With Minimal Volatility MBS Recap Matthew Graham | 4:4...

Fri, September 5, 6:48 PM