MBS and Treasury Markets Archive

Giving up Overnight Gains Despite As-Expected Retail Sales - Today, 12:34 PM

Retail Sales 0.0 vs 0.0 f'cast, 0.1 prev Retail Sales Excluding Gas and Autos +0.8, highest since January Despite coming in right in line with forecasts at the head...

Mon, 8:45 PM

The Sun Also Sets on Bond Rallies - Mon, 8:45 PM

MBS Recap The Sun Also Sets on Bond Rallies MBS Recap Matthew Graham | 4:44 PM ...

Mon, 5:46 PM

MBS at Lows, But Reprice Risk is Modest at Best - Mon, 5:46 PM

MBS have fallen fairly gently to the lows of the day with 5.5 coupons now down 6 ticks (.19). That said, lenders are seeing a maximum of an eighth of a point of weakness from intraday highs...

Mon, 3:40 PM

Another Chance to Assess Market Sensitivity to Politics - Mon, 3:40 PM

While there's no way objectively quantify the political ramifications of the failed assassination attempt on former President Trump over the weekend, history suggests--at the very least--that suc...

Fri, July 12, 8:44 PM

Pleasant PPI Paradox Leaves This Week's Big Victory in Focus - Fri, July 12, 8:44 PM

MBS Recap Pleasant PPI Paradox Leaves This Week's Big Victory in Focus MBS Recap M...

Fri, July 12, 3:40 PM

Bonds Holding Yesterday's Gains Despite Hotter PPI - Fri, July 12, 3:40 PM

The Producer Price Index (PPI) is certainly not in the same league as CPI when it comes to bond market impact, but there have been several notable reactions in the past year. It was a conce...

Fri, July 12, 12:37 PM

Surprisingly Resilient After MUCH Higher PPI - Fri, July 12, 12:37 PM

Core PPI M/M 0.4 vs 0.2 f'cast last month revised to 0.3 from 0.0 Core Annual PPI 3.0 vs 2.5 f'cast, 2.3 prev Thankfully, PPI is not in the same league as CPI.&n...

Thu, July 11, 8:42 PM

Very Restrained Bond Rally Considering The Data's Implications - Thu, July 11, 8:42 PM

MBS Recap Very Restrained Bond Rally Considering The Data's Implications MBS Recap ...

Thu, July 11, 7:42 PM

MBS Down More Than an Eighth From Mid Day Highs - Thu, July 11, 7:42 PM

This is more of a heads-up than a true reprice alert although risks can't be ruled out completely. Bonds have drifted away from their best levels of the day after the 30yr bond auction and ...

Thu, July 11, 2:47 PM

This is The Inflation Data You Were Hoping For - Thu, July 11, 2:47 PM

The Consumer Price Index (CPI) is the most important economic report for the bond market these days. The most important line item in that report is month over month core CPI, which excludes...

Thu, July 11, 12:34 PM

CPI Lower Than Expected. Bonds Rallying - Thu, July 11, 12:34 PM

Core CPI M/M 0.1 vs 0.2 f'cast, 0.2 prev Core CPI Y/Y 3.3 vs 3.4 f'cast, 3.4 prev Pretty straightforward outcome here. CPI was high stakes and this is quite a...

Wed, July 10, 8:04 PM

No New Inspiration Ahead of Thursday's CPI - Wed, July 10, 8:04 PM

MBS Recap No New Inspiration Ahead of Thursday's CPI MBS Recap Matthew Graham | 4:...

Wed, July 10, 3:07 PM

Another Sideways Start Meets Another Light Calendar - Wed, July 10, 3:07 PM

The most recent sideways slide began just before noon last Friday. Bonds had rallied in response to the jobs report with 10's closing at 4.29%. Since then, there hasn't been more than...

Tue, July 9, 8:29 PM

MBS Outperform. Powell Punts. Waiting on CPI - Tue, July 9, 8:29 PM

MBS Recap MBS Outperform. Powell Punts. Waiting on CPI MBS Recap Matthew Graham | ...

Tue, July 9, 3:31 PM

Bonds at Weakest Levels - Tue, July 9, 3:31 PM

After Powell said "Today, I’m not going to be sending any signals about the timing of future actions," the bond market moved to levels consistent with the absence any meaningful appreciatio...

Tue, July 9, 2:11 PM

Bonds a Bit Nervous After Powell's Prepared Remarks - Tue, July 9, 2:11 PM

Powell's testimony is about to begin, but as is the custom, a prepared speech is available in advance. Here are some of the bullet points highlighted by data aggregators: FED'S POWELL: F...

Tue, July 9, 1:54 PM

Powell Testimony And Treasury Auction Cycle - Tue, July 9, 1:54 PM

The new week is one day less new today, but no less sideways so far. Yields rose microscopically in the overnight session, but even that is a generous assessment considering the range in th...

Mon, July 8, 8:10 PM

Uneventful Monday Leaves Bonds Little Changed - Mon, July 8, 8:10 PM

MBS Recap Uneventful Monday Leaves Bonds Little Changed MBS Recap Matthew Graham |...

Mon, July 8, 2:42 PM

Slow, Sideways Start After Overnight Weakness - Mon, July 8, 2:42 PM

Bonds are finding their range in a perfectly inoffensive way to begin the new week. That's a victory considering a bit of weakness is never a surprise at the start of Treasury auction weeks...

Fri, July 5, 8:33 PM

Orderly, Logical Rally as Bonds Reiterate Data Dependence - Fri, July 5, 8:33 PM

MBS Recap Orderly, Logical Rally as Bonds Reiterate Data Dependence MBS Recap Matt...

Fri, July 5, 3:24 PM

Stronger Start Thanks to Weaker Jobs Report - Fri, July 5, 3:24 PM

Today's playbook was fairly straightforward with bonds being likely to move in the direction suggested by the jobs report. The only challenge would have been the presence of mixed messages ...

Fri, July 5, 12:35 PM

First Move is Stronger After Mixed Payrolls Data - Fri, July 5, 12:35 PM

Nonfarm Payrolls 206k vs 190k f'cast last month revised down to 218k from 272k Unemployment Rate 4.1 vs 4.0 f'cast, 4.0 prev Wages 0.3 vs 0.3 f'cast, 0.4 prev ...

Wed, July 3, 6:18 PM

Data Over Politics, For Now - Wed, July 3, 6:18 PM

MBS Recap Data Over Politics, For Now MBS Recap Matthew Graham | 2:17 PM ...

Wed, July 3, 3:42 PM

Weaker Data, Stronger Bonds, Early Close - Wed, July 3, 3:42 PM

The bond market will close at 2pm instead of 5pm today as a part of the Independence Day holiday (fully closed tomorrow). With only a few hours left, it's off to as good of a start as we co...

Wed, July 3, 2:08 PM

Additional Gains After ISM Data - Wed, July 3, 2:08 PM

ISM Services 48.8 vs 52.5 f'cast, 53.8 prev ISM employment 46.1 vs 47.1 ISM New Orders 47.3 vs 54.1 (big miss) ISM Prices 56.3 vs 56.7 f'cast,...

Wed, July 3, 12:54 PM

Modestly Stronger After First Round of Data - Wed, July 3, 12:54 PM

ADP Employment 150k vs 160k f'cast, 157k prev Jobless Claims 238k vs 235k f'cast, 234k prev Challenger Job Cuts 48.7k vs 63.8k prev Bonds were essenti...

Tue, July 2, 9:00 PM

Ultimately a Very Drama-Free Day; Back to Watching Data - Tue, July 2, 9:00 PM

MBS Recap Ultimately a Very Drama-Free Day; Back to Watching Data MBS Recap Matthe...

Tue, July 2, 3:37 PM

Bond Selling Spree Thinking About Taking a Day Off - Tue, July 2, 3:37 PM

It's been an interesting and frustrating couple of days for the bond market with yields spiking for reasons that leave many bond watchers guessing. A market participant who's heavily involv...

Tue, July 2, 2:12 PM

Giving Up Some Overnight Gains After JOLTS Data - Tue, July 2, 2:12 PM

Job Openings (lower = better for rates) 8.14m vs 7.91m f'cast, 7.919m prev Job "Quits" (lower = better for rates) 3.459m vs 3.452m prev Bonds were modestly stronger...

Mon, July 1, 9:28 PM

Changing The Narrative to Fit The Market Movement - Mon, July 1, 9:28 PM

MBS Recap Changing The Narrative to Fit The Market Movement MBS Recap Matthew Grah...

Mon, July 1, 6:28 PM

New Lows; Reprice Risk Increasing - Mon, July 1, 6:28 PM

Despite an absence of new news or events, bonds have drifted to their weakest levels of the day with 10yr yields now up 9.1bps at 4.489 and MBS down just over a quarter point in 6.0 coupons. ...

Mon, July 1, 3:45 PM

Yet Another Counterintuitive Sell-Off After Friendly Data - Mon, July 1, 3:45 PM

Friday's trading session was marked by a surprisingly weak reaction to economic data that should have helped bonds. In fact, it did at first, but things deteriorated as the day progressed.&...

Mon, July 1, 2:10 PM

Counterintuitive Reaction to Weaker ISM Data - Mon, July 1, 2:10 PM

ISM Manufacturing 48.5 vs 49.1 f'cast, 48.7 prev ISM Prices Paid 52.1 vs 55.9 f'cast, 57.0 prev Bonds began the day in slightly weaker territory and con...

Fri, June 28, 8:03 PM

Even More Reprice Risk Now - Fri, June 28, 8:03 PM

Bonds are losing even more ground at the 4pm NYSE close with 10yr yields now up 10bps at 4.387 and MBS down nearly 3/8ths of a point. If you haven't seen a negative reprice yet, it's becomi...

Fri, June 28, 7:34 PM

What to Make of Week's Weakest Levels After Solid PCE Data - Fri, June 28, 7:34 PM

MBS Recap What to Make of Week's Weakest Levels After Solid PCE Data MBS Recap Mat...

Fri, June 28, 4:10 PM

Month/Quarter-End Trading Causing Lots of Volatility - Fri, June 28, 4:10 PM

This morning's most notable scheduled event and biggest potential market mover was the release of May's PCE price index, the Fed's favorite inflation metric. Indeed the biggest volume spike and m...

Fri, June 28, 3:09 PM

Negative Reprices Becoming More Likely - Fri, June 28, 3:09 PM

The sell off is extending with MBS now down a quarter point from rate sheet print times. This makes negative reprices more likely. 10yr yields are up 5.3bps at 4.34.

Fri, June 28, 2:48 PM

Negative Reprice Risk Increasing as Bonds Give Up PCE Gains - Fri, June 28, 2:48 PM

This morning's post-PCE bond rally had a bit of a month/quarter-end boost, it seems. In other words, some month end trading may have been waiting to make sure PCE didn't drastically change ...

Fri, June 28, 12:35 PM

No Whammies in PCE Data; Bonds Rallying - Fri, June 28, 12:35 PM

Core M/M PCE 0.1 vs 0.1 f'cast last month revised to 0.3 from 0.2 Core Y/Y PCE 2.6 vs 2.6 f'cast Right on target, but the confirmation of inflation progress is w...

Thu, June 27, 8:31 PM

Back in The Range Without Needing Too Much Convincing - Thu, June 27, 8:31 PM

MBS Recap Back in The Range Without Needing Too Much Convincing MBS Recap Matthew ...

Thu, June 27, 2:10 PM

Back in The Range Without Needing Too Much Convincing - Thu, June 27, 2:10 PM

It's been an odd morning for the bond market, but not in an objectionable way. In not so many words, bonds are rallying somewhat nicely despite an absence of obviously compelling data. ...

Thu, June 27, 12:42 PM

Bonds Rallying Modestly After Mixed Data - Thu, June 27, 12:42 PM

Jobless Claims 233k vs 236k f'cast, 239k prev Continued Claims 1839k vs 1820k f'cast, 1821k prev Durable Goods 0.1 vs -0.1 f'cast last month revised down to 0....

Wed, June 26, 7:53 PM

Sideways Trend Looking Shifty - Wed, June 26, 7:53 PM

MBS Recap Sideways Trend Looking Shifty MBS Recap Matthew Graham | 3:52 PM ...

Wed, June 26, 6:29 PM

Weakest Levels. Some Negative Reprice Risk - Wed, June 26, 6:29 PM

Modest improvement after the 5yr auction has given way to modest weakness and MBS are now at the lows of the day down 7 ticks (.22) in 5.5 coupons and 5 ticks (.16) in 6.0 coupons. ...

Wed, June 26, 5:12 PM

Off The Weakest Levels After 5yr Auction - Wed, June 26, 5:12 PM

5yr Treasury Auction 4.331 vs 4.335 expectations Bid to Cover 2.35 vs 2.39 recent average Auction Grade: B Bonds have generally been weaker on the day, pushing t...

Wed, June 26, 2:31 PM

Overnight Overseas Pressure - Wed, June 26, 2:31 PM

The absence of relevant domestic market movers has been a theme all week. While that has gone hand in hand with relatively uninspired bond market movement so far, today has been complicated...

Tue, June 25, 7:06 PM

Decent 2yr Auction, But No Major Inspiration For Bonds - Tue, June 25, 7:06 PM

MBS Recap Decent 2yr Auction, But No Major Inspiration For Bonds MBS Recap Matthew...

Tue, June 25, 4:04 PM