MBS and Treasury Markets Archive

First Move is Stronger After CPI - Today, 12:36 PM

Core Month Over Month CPI 0.3 vs 0.3 f'cast, 0.4 prev Core Annual CPI 3.6 vs 3.6 f'cast, 3.8 prev Retail Sales 0.0 vs 0.4 f'cast, 0.6 prev Unfortunate...

Tue, 8:45 PM

Bonds Ready to go Big in Either Direction - Tue, 8:45 PM

MBS Recap Bonds Ready to go Big in Either Direction MBS Recap Matthew Graham | 4:4...

Tue, 1:04 PM

Big Miss in PPI Making For an Interesting Morning - Tue, 1:04 PM

The Producer Price Index (PPI) isn't in the same league as CPI when it comes to market movement potential, but as seen again this morning, it's no slouch. Bonds responded immediately and so...

Tue, 12:35 PM

Producer Prices Surge (And So Do Yields) - Tue, 12:35 PM

Core m/m PPI 0.5 vs 0.2 f'cast last month revised to -0.1 from +0.2 Annual core PPI 2.4 vs 2.4 f'cast/prev This is an odd report when it comes to reconciling the...

Mon, 8:41 PM

What You See Today Won't Necessarily Be What You See Tomorrow - Mon, 8:41 PM

MBS Recap What You See Today Won't Necessarily Be What You See Tomorrow MBS Recap ...

Mon, 3:17 PM

High Stakes Week With CPI and Retail Sales on Wednesday - Mon, 3:17 PM

In 2023 and especially 2024, the first bullet point in the bond market's job description is to focus on Core CPI above all other economic reports. In fact, it's not uncommon for a big CPI r...

Fri, May 10, 8:23 PM

Higher Inflation Expectations Keep Yields Range-Bound - Fri, May 10, 8:23 PM

MBS Recap Higher Inflation Expectations Keep Yields Range-Bound MBS Recap Matthew ...

Fri, May 10, 4:36 PM

Every Bit as Sideways as it Should Have Been - Fri, May 10, 4:36 PM

The following should be prefaced with the reminder that it is impossible to predict the future with much precision when it comes to bond market movement. That said, there are times when cer...

Fri, May 10, 3:25 PM

MBS at Lows, Down a Quarter Point on The Day - Fri, May 10, 3:25 PM

Bonds market losses have been gradual but have now carried UMBS 6.0 coupons to the lows of the day, down a quarter point in total. More importantly, prices are down just over an eighth of a...

Fri, May 10, 2:20 PM

Mixed Sentiment Data Offers No Help - Fri, May 10, 2:20 PM

Consumer Sentiment 67.4 vs 76.0 f'cast, 77.2 prev 1yr inflation expectations 3.5 vs 3.2 prev 5yr inflation expectations 3.1 vs 3.0 prev Bonds were mod...

Thu, May 9, 8:43 PM

Bonds Boosted by Data and Well-Received Auction - Thu, May 9, 8:43 PM

MBS Recap Bonds Boosted by Data and Well-Received Auction MBS Recap Matthew Graham...

Thu, May 9, 3:09 PM

Claims Make For "Nice" Start, But It's a Drop in a Much Bigger Bucket - Thu, May 9, 3:09 PM

It is a starkly data-free week for all intents and purposes, but some economic reports are with us as always on a weekly basis. Thursday's initial jobless claims data is the most notable we...

Thu, May 9, 12:40 PM

Back Into Positive Territory After Jobless Claims - Thu, May 9, 12:40 PM

Jobless Claims 231k vs 210k f'cast, 209k prev Bonds were modestly weaker overnight on a simple, gentle extension of yesterday's selling trend. There were no big, directiona...

Wed, May 8, 8:44 PM

Token Pull Back Keeps Things Boring - Wed, May 8, 8:44 PM

MBS Recap Token Pull Back Keeps Things Boring MBS Recap Matthew Graham | 4:43 PM ...

Wed, May 8, 8:30 PM

MBS at Weakest Levels - Wed, May 8, 8:30 PM

For many lenders who priced after 9am initially, this is just a heads-up. MBS have not fallen enough from the average lender's rate sheet print time to create much negative reprice risk.&nb...

Wed, May 8, 3:41 PM

Slightly Weaker Start Ahead of Afternoon Treasury Auction - Wed, May 8, 3:41 PM

One of the notions surrounding the Treasury auction cycle is that the bond trading community tends to build in a "concession" ahead of any given auction. That's a fancy word to say "rates g...

Tue, May 7, 8:06 PM

Strong in The AM, Weaker in The PM - Tue, May 7, 8:06 PM

MBS Recap Strong in The AM, Weaker in The PM MBS Recap Matthew Graham | 4:05 PM ...

Tue, May 7, 6:42 PM

MBS Down About an Eighth From Highs - Tue, May 7, 6:42 PM

This is more of a heads-up than a true alert for most lenders. MBS are still nicely stronger on the day, but off the best levels by just over an eighth in 5.5 coupons and just under an eigh...

Tue, May 7, 2:25 PM

Overseas Markets Return (To Buy Bonds) - Tue, May 7, 2:25 PM

The theme of "waiting" amid an empty calendar will be played out by the end of the week (if it's not already played out from most of the past year spent waiting for only a handful of key events e...

Mon, May 6, 8:57 PM

Uneventful Start to What May be an Uneventful Week - Mon, May 6, 8:57 PM

MBS Recap Uneventful Start to What May be an Uneventful Week MBS Recap Matthew Gra...

Mon, May 6, 3:15 PM

Down Nearly a Quarter Point From Highs - Mon, May 6, 3:15 PM

With multiple overseas market closures, volume and liquidity remain very light in the bond market. Most of the influence on today's trading came from a single block trade at 9:09am ET whi...

Mon, May 6, 3:09 PM

Everything is a Sideshow Until May 15th - Mon, May 6, 3:09 PM

Last week was definitely important for the bond market. The key takeaway was the Fed's acknowledgement of elevated inflation in Q1 coupled with the assessment that they still see inflation ...

Fri, May 3, 9:17 PM

Bonds Hold On to NFP-Driven Gains Despite Some Push-Back - Fri, May 3, 9:17 PM

MBS Recap Bonds Hold On to NFP-Driven Gains Despite Some Push-Back MBS Recap Matth...

Fri, May 3, 4:46 PM

Stronger Start For Bonds After Cooler Jobs Report - Fri, May 3, 4:46 PM

On most months in modern economic memory, a gain of 175k payrolls would be welcome news for the labor market. Depending on the context, it still is. But in today's case, it's much low...

Fri, May 3, 2:15 PM

Losing Some Ground After ISM Data - Fri, May 3, 2:15 PM

ISM Non Manufacturing 49.4 vs 52.0 f'cast, 51.4 prev ISM Prices 59.2 vs 55.0 f'cast, 53.4 prev Bonds had rallied well after the jobs report with 10yr yields as low ...

Fri, May 3, 12:33 PM

Big Rally on Only Modestly Weaker NFP - Fri, May 3, 12:33 PM

Nonfarm Payrolls 175k vs 243k f'cast, 315k prev Unemployment Rate 3.9 vs 3.8 f'cast/prev Wages 0.2 vs 0.3 f'cast, 0.3 prev This is a fairly straightfo...

Thu, May 2, 8:26 PM

Counterintuitive Rally And Asymmetric Risk - Thu, May 2, 8:26 PM

MBS Recap Counterintuitive Rally And Asymmetric Risk MBS Recap Matthew Graham | 4:...

Thu, May 2, 4:20 PM

Placeholder Day Ahead of Jobs Report - Thu, May 2, 4:20 PM

Thursday was always destined to be the least interesting day of current week due to its lack of meaningful calendar events, but that doesn't mean we can't see a bit of volatility for other reason...

Thu, May 2, 12:34 PM

Stronger Overnight With Small Bump in Yields After Jobless Claims - Thu, May 2, 12:34 PM

Jobless Claims 208k vs 212k f'cast, 208k prev Continued Claims 1774k vs 1800k f'cast, 1774k prev Jobless Claims data isn't much of a market mover these days, but t...

Wed, May 1, 8:49 PM

Decent Data and Palatable Powell - Wed, May 1, 8:49 PM

MBS Recap Decent Data and Palatable Powell MBS Recap Matthew Graham | 4:47 PM ...

Wed, May 1, 8:44 PM

MBS More Than an Eighth Off Highs, But High Bar For Reprice Risk - Wed, May 1, 8:44 PM

Bonds have gradually corrected after the Powell press conference rally. 10yr yields are up to 4.636 from lows of 4.58, but that's still nearly a 5bp gain on the day. MBS are still up ...

Wed, May 1, 6:52 PM

Bigger Gains During Powell Press Conference - Wed, May 1, 6:52 PM

Powell's press conference is in progress and things could conceivably shift at some point, but so far, it's been a good thing for bonds. Reason being: markets were looking for a read on whethe...

Wed, May 1, 6:05 PM

First Move is Slightly Stronger After Fed Announcement - Wed, May 1, 6:05 PM

Fed notes "lack of further progress toward inflation goal." Fed says risks to achieving goals "have moved" instead of "are moving" into better balance QT tapering confirmed Treasury ca...

Wed, May 1, 6:00 PM

Old vs New Fed Statement With Changes Highlighted - Wed, May 1, 6:00 PM

Recent indicators suggest that economic activity has been expanding continued to expand at a solid pace. Job gains have remained strong, and the unemployment rate has remained low. Inflation h...

Wed, May 1, 2:05 PM

Weaker ISM and JOLTS Offset by Higher Prices; Light Reaction So Far - Wed, May 1, 2:05 PM

ISM Manufacturing 49.2 vs 50.0 f'cast, 50.3 prev ISM Prices 60.9 vs 55.0 f'cast, 55.8 prev Job Openings 8.488 vs 8.690m f'cast, 8.813m prev Bonds had ...

Wed, May 1, 12:57 PM

ADP and Treasury Refunding Announcement Do No Harm - Wed, May 1, 12:57 PM

Bonds were roughly unchanged overnight, but began to improve modestly after the ADP data. Considering the numbers were higher than expected, that may be more of a relief bid, or even "new m...

Tue, April 30, 8:39 PM

More Ammo For Unfriendly Fed, But Data is at Least as Important - Tue, April 30, 8:39 PM

MBS Recap More Ammo For a Hawkish Fed, But Data is at Least as Important MBS Recap &nb...

Tue, April 30, 6:45 PM

Weakest Levels of The Day; Modest Reprice Risk - Tue, April 30, 6:45 PM

There's no big, new drama in the bond market this afternoon--just a slow bleed that takes us to the weakest levels of the day just now. 10yr yields are up 6.3 bps at 4.677 and MBS are down just o...

Tue, April 30, 4:26 PM

More Data, More Inflation, More Weakness in Bonds - Tue, April 30, 4:26 PM

Steering clear of unfriendly economic data has been an increasingly challenging task for the bond market in April. While it might be an overstatement to say we're going out with a bang, tod...

Tue, April 30, 12:35 PM

Losing Ground Quickly After ECI - Tue, April 30, 12:35 PM

Employment Cost Index 12 vs 1.0 f'cast, 0.9 prev There was a time when we wouldn't have even put ECI on the econ calendar, but this morning's reaction brings it full circle as a ...

Mon, April 29, 8:02 PM

Decent Resilience in Spite of a Few Headwinds - Mon, April 29, 8:02 PM

MBS Recap Decent Resilience in Spite of a Few Headwinds MBS Recap Matthew Graham |...

Mon, April 29, 7:06 PM

Losing Ground on Treasury Issuance Update - Mon, April 29, 7:06 PM

Treasury's just-released borrowing estimates for Q2 are higher than the market expected. While we don't yet know the breakdown of the increases (one assumes they will be weighted toward sho...

Mon, April 29, 3:17 PM

Stronger Start Despite Yen Intervention. Busy Week Ahead - Mon, April 29, 3:17 PM

Monday is one of the quietest days of the week although there will be a potentially important update at 3pm when Treasury releases borrowing estimates for the upcoming quarterly auction cycle.&nb...

Fri, April 26, 9:21 PM

Decent Recovery After Friday's PCE Numbers Clarify Thursday's PCE Numbers - Fri, April 26, 9:21 PM

MBS Recap Decent Recovery After Friday's PCE Numbers Clarify Thursday's PCE Numbers MBS Recap &nbs...

Fri, April 26, 4:25 PM

Deep Dive on Thursday and Friday's PCE Discrepancy and Market Reaction - Fri, April 26, 4:25 PM

WARNING: once you get past the 1st paragraph here, things start to get a bit "mathy" and esoteric. The takeaway is that there's an actual way to reconcile today's 0.3 vs 0.3 monthly core PC...

Fri, April 26, 12:39 PM

Core PCE Surprises By Sticking With Consensus - Fri, April 26, 12:39 PM

Monthly Core PCE 0.3 vs 0.3 f'cast, 0.3 prev Annual Core PCE 2.8 vs 2.6 f'cast, 2.8 prev After yesterday's somewhat dire implications from quarterly data, today's m...

Thu, April 25, 8:01 PM

Bonds Rattled By Surprisingly Big Beat in Spending Data - Thu, April 25, 8:01 PM

MBS Recap Bonds Rattled By Surprisingly Big Beat in Spending Data MBS Recap Matthe...

Thu, April 25, 3:37 PM