NOTE: charts look weak this morning despite strong MBS due to THE ROLL. See the 2nd half of the Day Ahead for another useful chart.  Bonds started strong thanks to a weak CPI report.  Actually bonds were ready to sell today, but CPI reversed the losses to the tune of roughly 3bps in 10yr yields.  The 10yr Treasury auction–which might have been today’s big market mover if not for CPI–posted unobjectionable stats and bonds went on to hold the day’s gains through the 3pm close.  With these events out of the way, the ability to hold in the 1.13% range is a vote in favor of a near-term ceiling at the recent highs of 1.19+.  MBS underperformed, but rates nonetheless fell to their lowest levels in more than a week.

Econ Data / Events

  • Fed MBS Buying 10am, 1130am, 1pm

  • Core Annual CPI 1.4 vs 1.5 f’cast, 1.6 prev

Market Movement Recap

08:50 AM

Flat to slightly weaker overnight in very quiet trading.  Weak CPI at 8:30am sparked a big (relative) rally in both Treasuries and MBS with 2.0 coupon up nearly an eighth of a point on the day now.  Just so we have the ‘heads-up’ in one more place, yes… MBS really are higher even though the chart looks like they aren’t, because…

11:12 AM

Bonds pulling back a bit, led by EU bond market weakness, a bounce in stocks, and general hesitation ahead of the 10yr Treasury auction  at 1pm ET.  MBS are up only 2 ticks (.06) now at 103 after being up by 5 ticks (.19) at their best levels.  10yr down 1.3bps at 1.145% vs lows of 1.131% earlier.

01:21 PM

Decent stats at the 10yr auction and not much of a reaction.  Short-term win.  Bigger-picture loss (as it confirms traders are comfortable in this range).  More details in the update.

03:19 PM

No fuss for bonds, with yields near their lows right through the 3pm CME close.  All this despite a bounce back into positive territory for stocks.  Powell’s reassurance on Fed accommodation may have been a factor, but it’s hard to say considering bonds really haven’t moved all afternoon.


MBS Pricing Snapshot

Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.

MBS

UMBS 2.0

102-31 : +0-01

Treasuries

10 YR

1.1340 : -0.0230

Pricing as of 2/10/21 3:21PMEST

Today’s Reprice Alerts and Updates

1:13PM  :  Deceptively Strong 10yr Auction; Not Much Reaction

11:58AM  :  ALERT ISSUED: On The Threshold of Reprice Risk Territory

8:43AM  :  Bonds Turn Green After CPI (And Why The Chart Doesn’t Seem To Agree)


MBS Live Chat Highlights

Matt Graham  :  “POWELL REPEATS WILL KEEP CURRENT PACE OF BOND-BUYING UNTIL SUBSTANTIAL FURTHER PROGRESS MADE TOWARD MAX EMPLOYMENT, PRICE STABILITY”


Economic Calendar

Time Event Period Actual Forecast Prior
Wednesday, Feb 10
0:00 Roll Date – UMBS 30YR
7:00 MBA Purchase Index w/e 318.8 334.6
7:00 MBA Refi Index w/e 4549.2 4746.2
8:30 Core CPI (Annual) (%)* Jan 1.4 1.5 1.6
10:00 Wholesale inventories mm (%) Dec 0.3 0.1 0.1
13:00 10-yr Note Auction (bl)* 41

By Matthew Graham , dated 2021-02-10 15:23:48

Source link

Courtesy of Mortgage News Daily

Leave a Reply