There has been a good amount of correlation between stock prices and bond yields heading into the end of the month/quarter. This is not an uncommon occurrence as money managers rebalance portfolios and adjust holdings based on various indices. This time around, with Monday falling on the end of the month, there has been a good amount of rebalancing activity this week, with much of it coming through yesterday. It ended up creating a bit of momentum, and momentum can "stop-out" trading positions (meaning that yields fell enough that those who'd been betting on higher yields were forced to 'cover' or buy bonds).
Today, we're seeing a gravitation back to what we can assume is a more middle-of-the-road month/quarter-end target, somewhere just on the weak side of yesterday's range. With MBS down only an eighth of a point, the moves aren't severe, but may be enough for negative reprices from a few lenders this morning.
The morning's economic data was generally uneventful, but markets did seem to be waiting for Consumer Sentiment, and the "risk-on" trade (bond yields higher) was waiting to make sure the data didn't come in much lower than forecast. It didn't. So risk is on, relatively. Every bout of selling pressure has been met with decent support so far today though, so the afternoon is still anyone's game.
MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing
is available via MBS Live.
| MBS || |
96-17 : -0-06
100-21 : -0-05
104-01 : -0-04
| Treasuries || |
0.4535 : +0.0035
2.7190 : +0.0470
3.5549 : +0.0459
| Pricing as of 3/28/14 11:30AMEST |
Morning Reprice Alerts and Updates
11:21AM : ALERT ISSUED: Negative Reprices Increasingly Likely
10:55AM : ALERT ISSUED: Bonds on Back Foot Yet Again; Reprice Risk Remains
10:24AM : Holding Ground Without Further Losses For Now
10:07AM : ALERT ISSUED: Bond Markets Weaker Despite Consumer Sentiment Miss; Reprice Risk Increasing
8:57AM : MBS Holding Near Unchanged Despite Slightly Weaker Treasuries Overnight
Live Chat Featured Comments
Matthew Graham : "RTRS - US FEB PERSONAL SPENDING +0.3 PCT (CONSENSUS +0.3 PCT) VS JAN +0.2 PCT (PREV +0.4 PCT)"
Victor Burek : "yawn"
Matthew Graham : "agreed"
Christopher Stevens : "I am all for a flat market today"
Mike Drews : "I 2nd that..4 closings today...hate worrying about a sell off when i'm at closings"
Steve Chizmadia : "4 closings is a good problem to have MD"
Matt Hodges : "grats, MD. strength in success in MBS... should be motivational for everyone"
Frank Hanna : "MD, great work!!! Keep it up, and lets outlast the rest"
Victor Burek : "mg, how early do paid subscribers get the u. mich data?"
Matthew Graham : "It was something like 500 milliseconds, but I think they did away with that."
Victor Burek : "most elite clients receive the information in a specialized format tailor-made for computer-driven algorithmic trading at 9:54:58.000, according to the terms of the contract. On occasion, they could get the data even earlier—the contract allows for a plus or minus 500 milliseconds margin of error. "
Matthew Graham : "THOMSON REUTERS/U. OF MICH US CONSUMER SENTIMENT FINAL MARCH 80.0 (CONSENSUS 80.5) VS PRELIMINARY MARCH 79.9, FINAL FEB 81.6"
Matt Hodges : "right on/slightly lower"
Frank Hanna : "this is the test right? SAFE MLO Test - Stand-alone Uniform State Content "
Roger Moore : "this has probably been asked, but is there even a need to study for the UST? "
Victor Burek : "it is pretty easy, especially since they add this score to the other national test...so you only really need to get 10 or 15 right"