Bonds sold off somewhat aggressively this afternoon following the 30yr bond auction, but not before staging an impressive recovery in the face of the highest core inflation reading in nearly 30 years.  The net effect is a bond market that continues to trade at the lowest yields in 5 months, with the exception of the past week.  Today’s video discusses how this impacts the bigger picture.

Econ Data / Events

  • Fed MBS Buying 10am, 1130am, 1pm

  • Monthly CPI 0.9 vs 0.5 f’cast, 0.6 prev

  • Core Annual CPI 4.5 vs 4.0 f’cast, 3.8 prev

Market Movement Recap

08:42 AM

Weaker, then stronger, then weaker after hot inflation data.  10yr yields are up 2 bps at 1.388% and 2.0 UMBS are down 2 ticks (0.06) at 101-06 (101.19).

12:42 PM

bonds recovered all of the post-CPI losses by 10am and have been drifting only modestly weaker since then.  Both MBS and Treasuries are still barely positive on the day.  Strong showing considering the looming 30yr auction at 1pm ET.

01:29 PM

Somewhat brisk weakness following 30yr bond auction.  Both MBS and TSYs at weakest levels of the day.  2.0 UMBS down an eighth in total and more than an eighth from the AM highs.  10yr yields are up 3bps at 1.40%.

03:41 PM

10yr yields still pushing the highest levels of the day, but still holding under the 1.42% technical level.  MBS slipping a bit amid afternoon illiquidity with 2.0 UMBS down a quarter point on the day day and roughly 3/8ths of a point from the AM highs.

MBS Pricing Snapshot

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


UMBS 2.0

101-01 : -0-08


10 YR

1.4100 : +0.0470

Pricing as of 7/13/21 3:43PMEST

Today’s Reprice Alerts and Updates

1:29PM  :  ALERT ISSUED: Negative Reprice Risk Increasing

1:05PM  :  ALERT ISSUED: Bumpy 30yr Auction Causing Some Weakness

8:33AM  :  ALERT ISSUED: Losing Ground Quickly After Super Hot CPI

Economic Calendar

Time Event Period Actual Forecast Prior
Tuesday, Jul 13
0:00 Roll Date – UMBS 30YR
8:30 Consumer Price Index (CPI) (%)* Jun 0.9 0.5 0.6
8:30 Core CPI (Annual) (%)* Jun 4.5 4.0 3.8
13:00 30-Yr Bond Auction (bl) 24
Wednesday, Jul 14
7:00 MBA Purchase Index w/e 252.4
7:00 MBA Refi Index w/e 2791.3
8:30 Core Producer Prices YY (%)* Jun 5.1 4.8

By Matthew Graham , dated 2021-07-13 15:43:37

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Courtesy of Mortgage News Daily

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