As bonds continue to distance themselves from last week’s volatility, things are looking more and more sideways.  The 5yr auction was underwhelming, offering neither a rejection of post-Fed weakness nor a suggestion that it needs to continue.  While the week’s remaining data could challenge recent range boundaries, the heavy lifting is more likely to be left for next week’s jobs report.  MBS have one foot out the door having lost only 1 tick (0.03) on the day.

Econ Data / Events

  • Fed MBS Buying 10am, 1130am, 1pm

  • Markit Services PMI: 64.8 vs 70.0 f’cast, 70.4 prev

  • New Home Sales 769k vs 870k f’cast, 817k prev

Market Movement Recap

08:26 AM

Quiet, sideways overnight session despite strongest PMI since 2006 for the Eurozone.  MBS and Treasuries are starting out unchanged to slightly weaker.  Same story for S&P futures.

09:37 AM

modest weakness in the longer-end of the yield curve beginning exactly at 8:20am (CME open).  10s up just over 2bps, but MBS outperforming with 2.0 coupons down only 2 ticks (.06).

10:03 AM

a bit of friendly bounce now, following weaker econ data (both Markit PMIs and New Home Sales).  MBS back within a tick (0.03) of unchanged, and 10yr yields up only 1.1bps now at 1.477%

01:20 PM

Uneventful 5yr auction, but only after some weakness on the run up.  Shorter-dated Treasuries are faring worse, but losses are minimal overall.  10yr up 2.5 bps at 1.492.  UMBS 2.0 is hanging tough (right in line with previous update, down only 1 tick).


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 2.5

103-08 : +0-00

Treasuries

10 YR

1.4900 : +0.0180

Pricing as of 6/23/21 3:58PMEST

Today’s Reprice Alerts and Updates

1:20PM  :  Ho-Hum 5yr Auction Fails to Inspire

9:37AM  :  Modest Treasury Weakness, But MBS Outperform


MBS Live Chat Highlights

Matt Graham  :  “Calabria’s driving force has been to end the conservatorship, so in that sense, he’s the biggest existential threat to TSY revenue from GSEs”

Matt Graham  :  “BIDEN MOVING FORWARD ON WEDNESDAY TO REPLACE CURRENT FHFA DIRECTOR WITH ‘AN APPOINTEE WHO REFLECTS THE ADMINISTRATION’S VALUES’ -WHITE HOUSE OFFICIAL”


Economic Calendar

Time Event Period Actual Forecast Prior
Wednesday, Jun 23
7:00 MBA Purchase Index 268.0 266.3
7:00 MBA Refi Index 3110.3 3026.6
9:45 Markit Composite PMI * Jun 63.9 68.7
9:45 Markit Services PMI * Jun 64.8 70.0 70.4
9:45 Markit Manuf. PMI * Jun 62.6 61.5 62.1
10:00 New Home Sales (ml) May 0.769 0.870 0.863
10:00 New Home Sales (%) (%)* May -5.9 -5.9
13:00 5-Yr Note Auction (bl)* 61

By Matthew Graham , dated 2021-06-23 15:58:31

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Courtesy of Mortgage News Daily

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