A fresh (or perhaps “slightly less stale”) take on stimulus prospects pushed bond yields higher overnight.  Domestic hours were calm until MBS lost their composure in the afternoon.  It wasn’t a catastrophe, by any means, but it highlighted the issues that can sometimes be caused by illiquidity (issues not seen elsewhere in the bond market today).

Market Movement Recap

09:02 AM

Moderately weaker overnight after new stimulus pitch (Mnuchin adding some $$ to sweeten the deal for democrats… seen as more of a passable bill than previous options).  No major movement after that weaker overnight drift.  10yr up about 2bps and UMBS 1.5 down 2 ticks (0.06).  Stocks are just a hair higher.

01:43 PM

Bonds had been very flat for the entire session up until the past 20-30 minutes.  Vaccine headlines and post-auction trading are the only two suspects in the area (discussed more here).  Treasuries responded better than MBS with 10yr yields near the day’s lows at .933.  MBS’ hands are tied to a greater extent ahead of 30yr UMBS settlement process that starts today.

02:53 PM

Treasuries have weakened slightly after the most recent rally.  While that’s not helping, MBS are having their own problems for their own reasons–chief among them being late day illiquidity issues (buyers and sellers moving farther apart on price).  Settlement is looming.  Sellers are hard up to move inventory heading into settlement day and buyers are using that to their advantage (by pushing prices lower).


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

103-18 : -0-04

Treasuries

10 YR

0.9380 : +0.0250

Pricing as of 12/9/20 4:45PMEST

Today’s Reprice Alerts and Updates

2:51PM  :  ALERT ISSUED: Negative Reprice Risk Increasing

1:43PM  :  Vaccine Headlines and 10yr Auction Helping Bonds

8:52AM  :  Bonds Lose Ground After New Stimulus Pitch


Economic Calendar

Time Event Period Actual Forecast Prior
Wednesday, Dec 09
7:00 MBA Purchase Index w/e 325.7 342.9
7:00 MBA Refi Index w/e 3959.2 3891.1
10:00 Wholesale inventories mm (%) Oct 1.1 0.9 0.9
13:00 10-yr Note Auction (bl)* 38
Thursday, Dec 10
8:30 Consumer Price Index (CPI) (%)* Nov 0.1 0.0
8:30 Core CPI (Annual) (%)* Nov 1.6 1.6
8:30 Jobless Claims (k) w/e 725 712
13:00 30-Yr Bond Auction (bl) 24

By Matthew Graham , dated 2020-12-09 16:47:36

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Courtesy of Mortgage News Daily

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