MBS and Treasury Markets Archive

Mixed Data Making For Weaker Start - Today, 2:24 PM

Today is the only day of the week with any economic reports that are relevant to bond market movement. The results are in, and bonds aren't thrilled. Jobless Claims and the Philly Fed headl...

Today, 1:02 PM

And.... It's Gone (Post Data Rally Erased) - Today, 1:02 PM

This is more of an addendum to the previous update. MBS had rallied 2 ticks (.06) from opening lows and have since erased that gain. We're now 3 ticks (.09) lower vs yesterday's close...

Today, 12:37 PM

Erasing Some Overnight Losses After Data - Today, 12:37 PM

Continued Claims (Aug)/09 1,972K vs 1960K f'cast, 1953K prev Jobless Claims (Aug)/16 235K vs 225K f'cast, 224K prev Philly Fed Business Index (Aug) -0.3 vs 7 f'ca...

Wed, 7:19 PM

Almost No Reaction to Fed Minutes - Wed, 7:19 PM

MBS Recap Almost No Reaction to Fed Minutes MBS Recap Matthew Graham | 3:19 PM ...

Wed, 2:35 PM

FOMC Minutes: Ancient Time Capsule, Or... - Wed, 2:35 PM

By now, we've already said quite a bit about this week's scarcity of scheduled events with the power to motivate meaningful changes in the bond market. With that being the case, one might be temp...

Tue, 8:21 PM

Slow, Steady, Modest Improvement - Tue, 8:21 PM

MBS Recap Slow, Steady, Modest Improvement MBS Recap Matthew Graham | 4:20 PM ...

Tue, 4:08 PM

Incidental Resilience - Tue, 4:08 PM

If yesterday was marked by incidental weakness, today is shaping up to be the opposite. In fact, yields and MBS prices are right in line with Friday's latest levels in early trading (now mo...

Mon, 7:56 PM

Incidental Weakness or a New Trend? - Mon, 7:56 PM

MBS Recap Incidental Weakness or a New Trend? MBS Recap Matthew Graham | 3:56 PM ...

Mon, 2:57 PM

Down an Eighth From Some Early Rate Sheets - Mon, 2:57 PM

Bonds have been selling fairly steadily since 8:20am. MBS are now down 3 ticks on the day and an eighth of a point from some early lenders' rate sheet print times. As such, the jumpie...

Mon, 2:09 PM

Light Calendar; Early Selling - Mon, 2:09 PM

Summertime trading conditions tend to amplify trading motivations that might otherwise get lost in the shuffle. This morning, it's been the opening bells (8:20am CME and 9:30am NYSE) that have re...

Fri, August 15, 7:30 PM

Weaker Conclusion But No Major Big Picture Implications - Fri, August 15, 7:30 PM

MBS Recap Weaker Conclusion But No Major Big Picture Implications MBS Recap Matthe...

Fri, August 15, 4:22 PM

MBS Down an Eighth From AM Highs - Fri, August 15, 4:22 PM

Bonds are wilting a bit heading into the PM hours. There's no specific catalyst, nor do we feel compelled to find one on a Friday afternoon. 10yr yields are now up 3.5bps on the day a...

Fri, August 15, 2:03 PM

Minimal Reaction to Decent Retail Sales Data - Fri, August 15, 2:03 PM

Friday morning's highlight is the Retail Sales report which came in at a respectable 0.5 vs 0.5 headline. Core retail sales (excluding autos/gas/building materials) was even more respectable as i...

Fri, August 15, 12:34 PM

Slightly Weaker After Retail Sales Data - Fri, August 15, 12:34 PM

Export prices mm (Jul) 0.1% vs 0.1% f'cast, prev 0.5% Import prices mm (Jul) 0.4% vs 0.0% f'cast, prev -0.1% NY Fed Manufacturing (Aug) 11.90 vs 0.0 f'cast, prev ...

Thu, August 14, 6:27 PM

Bonds Hold The Range Despite More Data-Driven Volatility - Thu, August 14, 6:27 PM

MBS Recap Bonds Hold The Range Despite More Data-Driven Volatility MBS Recap Matth...

Thu, August 14, 3:37 PM

Additional Weakness. Some Negative Reprice Risk - Thu, August 14, 3:37 PM

After working through the AM volatility, bonds have continued losing ground at modest pace. Losses are adding up now--not in the bigger picture, but in intraday terms. 10yr yields are up 4....

Thu, August 14, 2:58 PM

Producer Prices Surge, Complicating The Rate Cut Outlook - Thu, August 14, 2:58 PM

There's no question that today's Producer Price Index came in surprisingly hot. Both the headline and core numbers were 0.9% vs forecasts of 0.2%. The biggest impact came from "trade servic...

Thu, August 14, 12:34 PM

Huge Jump in PPI Hurting Bonds - Thu, August 14, 12:34 PM

Core PPI 0.9 vs 0.2 f'cast, 0.0 prev Annual Core PPI 3.7 vs 2.9 f'cast, 2.6 prev This is an exceptionally large miss for inflation data and while PPI is not the sa...

Wed, August 13, 8:19 PM

Data-Free Rally Day - Wed, August 13, 8:19 PM

MBS Recap Data-Free Rally Day MBS Recap Matthew Graham | 4:18 PM Data-...

Wed, August 13, 1:40 PM

Follow-Through Rally as Fed Rate Cut Expectations Increase - Wed, August 13, 1:40 PM

Bonds rallied overnight, largely in concert with lower EU yields. Stable inflation in Germany and lower oil prices helped. But there was also a tailwind from Fed Funds Futures which saw a further...

Tue, August 12, 8:33 PM

Bonds Eventually Pass on Decisive Reaction to Tuesday's Data - Tue, August 12, 8:33 PM

MBS Recap Bonds Eventually Pass on Decisive Reaction to Tuesday's Data MBS Recap M...

Tue, August 12, 1:29 PM

Gains Erased in 10yr; MBS Down an Eighth From Highs - Tue, August 12, 1:29 PM

Most of the post-CPI gains are now erased. In fact, 10yr yields are at new highs for the day, up 1.7bps at 4.301. This reaction is more in line with the internal components addressed ...

Tue, August 12, 1:20 PM

Mixed Reaction Thanks to Messy Internal CPI Components - Tue, August 12, 1:20 PM

There's something for everyone in this morning's CPI data. The monthly headline was on target at 0.2 vs 0.2. Same story for the core at 0.3 vs 0.3. Bonds are just a hair stronger, but it's hard t...

Tue, August 12, 12:32 PM

Mixed CPI, Bonds Rallying - Tue, August 12, 12:32 PM

m/m CORE CPI (Jul) 0.3% vs 0.3% f'cast, prev 0.2% m/m Headline CPI (Jul) 0.2% vs 0.2% f'cast, prev 0.3% y/y CORE CPI (Jul) 3.1% vs 3% f'cast, prev 2.9% y...

Mon, August 11, 7:35 PM

Bonds Mostly Steady Ahead of CPI - Mon, August 11, 7:35 PM

MBS Recap Bonds Mostly Steady Ahead of CPI MBS Recap Matthew Graham | 3:35 PM ...

Mon, August 11, 3:34 PM

Another Slow Start, But Probably Not a Slow Week - Mon, August 11, 3:34 PM

July represents the core of the summertime lull in financial markets. June and August are typically part of the lull unless econ data is suggesting an imminent shift in Fed policy. Th...

Fri, August 8, 7:25 PM

Focus Shifts to Next Week's High Stakes CPI - Fri, August 8, 7:25 PM

MBS Recap Focus Shifts to Next Week's High Stakes CPI MBS Recap Matthew Graham | 3...

Fri, August 8, 3:00 PM

Empty Calendar and Summertime Drift - Fri, August 8, 3:00 PM

Any week in early August (before anyone is back to school yet) classifies a "dog days of summer" type of week for the bond market. Movement is more random. Ranges are narrower. And major technica...

Thu, August 7, 8:19 PM

Fairly Resilient Despite Bumpy Auction - Thu, August 7, 8:19 PM

MBS Recap Fairly Resilient Despite Bumpy Auction MBS Recap Matthew Graham | 4:18 P...

Thu, August 7, 5:05 PM

Losing Ground After 30yr Bond Auction - Thu, August 7, 5:05 PM

30yr auction 4.813 vs 4.792 f'cast bid to cover 2.27x vs 2.38x avg lowest bid to cover since Nov 2023 This was not the auction we were hoping for in order for bonds t...

Thu, August 7, 1:49 PM

Another Sideways Start Amid Uninspiring Data - Thu, August 7, 1:49 PM

The week's last hope for any signs of life from economic data has come and gone with this morning's Jobless Claims. To be fair, there was never really much of a chance for this particular d...

Wed, August 6, 8:26 PM

More Ground-Holding Despite Weird Intraday Spike - Wed, August 6, 8:26 PM

MBS Recap More Ground-Holding Despite Weird Intraday Spike MBS Recap Matthew Graha...

Wed, August 6, 3:43 PM

Bonds Selling Off Quickly - Wed, August 6, 3:43 PM

10yr yields just spiked from 4.22 to 4.25 and MBS are down a quick quarter point. Negative reprices are quickly becoming possible. More on the underlying motivations to follow.

Wed, August 6, 3:26 PM

Super Calm Post-NFP Week Continues - Wed, August 6, 3:26 PM

We don't want to jinx it, but this is turning out to be an uncommonly calm week of trading compared to other post-jobs-report trading weeks. So far, it's on track to have the narrowest rang...

Tue, August 5, 8:37 PM

Bonds Hold Steady After Modest Data-Driven Rally - Tue, August 5, 8:37 PM

MBS Recap Bonds Hold Steady After Modest Data-Driven Rally MBS Recap Matthew Graha...

Tue, August 5, 2:43 PM

Mixed ISM Data Keeps Bonds In The Game - Tue, August 5, 2:43 PM

The ISM Services Index is/was easily this week's biggest ticket in terms of scheduled economic data. It was mostly OK for bonds with the growth-related components coming in slightly weaker. But t...

Tue, August 5, 2:04 PM

Small, Friendly Bounce After ISM Data - Tue, August 5, 2:04 PM

Trade Gap (Jun) -60.2B vs -61.6B f'cast, prev -71.5B S&P Global Composite PMI (Jul) 55.1 vs 54.6 f'cast, prev 52.9 S&P Global Services PMI (Jul) 55.7 vs 5...

Mon, August 4, 8:47 PM

Calmly Closing at Best Levels Since April - Mon, August 4, 8:47 PM

MBS Recap Calmly Closing at Best Levels Since April MBS Recap Matthew Graham | 4:4...

Mon, August 4, 3:26 PM

Holding Friday's Gains - Mon, August 4, 3:26 PM

The new week is less interesting than the previous week in terms of scheduled events with the only top tier data being Tuesday's ISM Non Manufacturing PMI. In addition, the Treasury auction cycle...

Mon, August 4, 2:56 PM

Down an Eighth From AM Highs - Mon, August 4, 2:56 PM

Bonds started out flat but were in the midst of a mini-rally that accelerated at the 8:20am CME open. We've been selling fairly steadily since 8:30am and MBS are now down just over an eight...

Fri, August 1, 9:07 PM

Bond Traders Quickly Revise Their Bullishness - Fri, August 1, 9:07 PM

MBS Recap Bond Traders Quickly Revise Their Bullishness MBS Recap Matthew Graham |...

Fri, August 1, 3:58 PM

Big Old Rally After HUGE Downward NFP Revisions - Fri, August 1, 3:58 PM

Non-farm payrolls came in at 73k vs 110k, which is a pretty good thing for the bond market in and of itself. But the bigger story is in the net revisions to the last 2 months. 139k reported...

Fri, August 1, 12:35 PM

Huge, Instant Rally After Appallingly Low Payroll Count/Revision - Fri, August 1, 12:35 PM

Average earnings mm (Jul) 0.3% vs 0.3% f'cast, prev 0.2% Non Farm Payrolls (Jul) 73K vs 110K f'cast, prev 147K (rev 14K) Participation Rate (Jul) 62.2% vs prev 62...

Thu, July 31, 8:47 PM

Month-End Volatility Erodes Modest Gains - Thu, July 31, 8:47 PM

MBS Recap Month-End Volatility Erodes Modest Gains MBS Recap Matthew Graham | 4:46...

Thu, July 31, 8:04 PM

Slightly More Reprice Risk - Thu, July 31, 8:04 PM

Bonds continue to slide amid month-end positioning. MBS are now unchanged on the day and down 6 ticks (.19) from the highs. Lenders are increasingly likely to be considering negative ...

Thu, July 31, 7:11 PM

What Does July's Data Suggest About Friday's Jobs Report? - Thu, July 31, 7:11 PM

Below is a table that consolidates the results of various econ reports as well as NFP precedents that speak to the odds of NFP moving higher or lower in tomorrow's data. Credit for this concept a...

Thu, July 31, 6:36 PM

Weakest Levels of The Day - Thu, July 31, 6:36 PM

Month-end positioning contributed to some weakness in the past half hour with 10yr yields just hitting their highs (still down 2 bps at 4.355). MBS are still up 2 ticks (.06) on the day but...

Thu, July 31, 2:33 PM

No Whammies From PCE - Thu, July 31, 2:33 PM

While jobless claims and the Employment Cost Index can be market movers, today's biggest ticket in the 8:30am slot was the monthly PCE Price Index for June. Forecasters are generally more accurat...

Thu, July 31, 12:34 PM