• Staggeringly weak day for bonds.
  • 2.0 MBS coupon is now irrelevant.  2.5 is only game in town
  • Lots of general motivations to discuss (watch the video), but the 7yr auction was the only obvious moment for cause & effect

Econ Data / Events

  • Fed MBS Buying 10am, 1130am, 1pm

  • Jobless Claims 730k vs 838k f’cast, 841k prev

  • Durable Goods 3.4 vs 1.1 f’cast, 1.2 prev

  • GDP (revision, q4) 4.1 vs 4.2 f’cast

Market Movement Recap

09:10 AM

Modestly weaker in Asia, then significantly weaker in Europe, with 10yr yields rising more than 8bps by the open (high yield = 1.468%).  MBS are down 3/8ths after an incredibly illiquid 1st hour.  Econ data didn’t have a big impact.  This is all bigger-picture momentum/snowball/technical trading.

10:58 AM

yields consolidated for the first two hours before breaking out to the high side.  Illiquidity surged in MBS and prices ticked down a bit more (2.5 coupons down 20 ticks or .625 on the day).  Baby bounce in the 10yr (down to 1.475 after hitting 1.494), but not taking anything for granted here.

01:00 PM

A bit of panic on both sides of the market with stocks down 2.2%+ and 10yr yields at 1.50%.  MBS aren’t happy and negative reprice risk is a reality.  No new news behind the move.

01:26 PM

Huge losses after worst 7yr Treasury auction on record.  10yr hit 1.614 but is back to 1.50% now.  2.5 UMBS are trading around 103 (down 3/4ths of a point on the day), but liquidity is nowhere to be found.  Prices could settle anywhere within half a point of that.

03:16 PM

After a token bounce, more weakness at the 3pm CME close.  Bonds effectively back in line with weakest levels.  No particular reason.  Stocks are in the same boat.  

MBS Pricing Snapshot

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


UMBS 2.5

102-27 : -0-31


10 YR

1.5300 : +0.1410

Pricing as of 2/25/21 4:55PMEST

Today’s Reprice Alerts and Updates

3:15PM  :  ALERT ISSUED: Risks Ramping Back Up Heading Into Close

1:06PM  :  ALERT ISSUED: Worst 7yr Auction in YEARS Causes Another Spike

1:00PM  :  ALERT ISSUED: Negative Reprice Risk Increasing

10:45AM  :  ALERT ISSUED: Negative Reprice Risk Already Increasing In Some Cases

8:43AM  :  ALERT ISSUED: Much Weaker Overnight; Little-Changed After AM Data

MBS Live Chat Highlights

Tom Schwab  :  “On the bright side of this, there is virtually no EPO risk for loans we did over the last few months.”

Economic Calendar

Time Event Period Actual Forecast Prior
Thursday, Feb 25
8:30 GDP Prelim (%) Q4 4.1 4.2 4.0
8:30 Durable goods (%)* Jan 3.4 1.1 0.5
8:30 Core CapEx (%)* Jan 0.5 0.7 0.7
8:30 Jobless Claims (k) w/e 730 838 861
8:30 Continued Claims (ml) w/e 4.419 4.467 4.494
10:00 Pending Sales Index Jan 122.8 125.5
10:00 Pending Home Sales (%) Jan -2.8 0.0 -0.3
13:00 7-Yr Note Auction (bl)* 62

By Matthew Graham , dated 2021-02-25 16:58:02

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Courtesy of Mortgage News Daily

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