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MBS RECAP: Defensive Shift Ahead of ECB Announcement
Jul 21 2021, 5:01PM

Coming into the week, there was some speculation that Monday's bond rally was based on expectations for a friendly announcement from the European Central Bank (ECB) on Thursday morning, but it probably makes more sense to ascribe the move to other variables (new covid concerns, trading positions, momentum/technicals).  That also makes it possible to view today's weakness as some sort of "pre-ECB positioning," but that's also probably not ideal.  In other words, we have a defensive shift ahead of the ECB announcement, but not necessarily because of it.  

Econ Data / Events
Market Movement Recap
09:34 AM

Slightly weaker overnight with some push back between 5am and 9am.  Sellers seized those higher prices and are now pushing bonds to the weakest levels of the day/week.  10yr up 5+ bps at 1.273 and 2.0 UMBS down 6 ticks (.19).

01:50 PM

Weakness peaked just after the 1pm 20yr bond auction and we've seen some semblance of stability since then.  10yr is up 6.6bps at 1.29% and 2.0 UMBS are down a quarter of a point at 101-18 (101.56).

03:51 PM

Trading has been flat since 11am at this point with hindsight suggesting no real reaction to the 20yr auction.  MBS have underperformed vs Treasuries since then, but only after outperforming significantly since Monday afternoon.  2.0 coupons are down nearly 3/8ths of a point at their lows of the day: 101-15 (101.47).  10yr yields are up 7.3 bps at 1.293.

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
101-16 : -0-10
10 YR
1.2920 : +0.0830
Pricing as of 7/21/21 5:01PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
1:10PM  :  ALERT ISSUED: 20yr Auction Prompts Additional Weakness and Some Resilience
11:22AM  :  ALERT ISSUED: Negative Reprice Risk Increasing
9:34AM  :  ALERT ISSUED: MBS Already Down an Eighth

Economic Calendar
Time Event Period Actual Forecast Prior
Wednesday, Jul 21
7:00 MBA Purchase Index w/e 255.8 273.3
7:00 MBA Refi Index w/e 3267.6 3361.5
13:00 20yr Treasury Auction *
Thursday, Jul 22
8:30 Jobless Claims (k) w/e 350 360
8:30 Continued Claims (ml) w/e 3.100 3.241
10:00 Existing home sales (ml)* Jun 5.90 5.80
10:00 Exist. home sales % chg (%)* Jun -0.9
10:00 Leading index chg mm (%) Jun 0.9 1.3

About the Author

Chief Operating Officer, Mortgage News Daily / MBS Live
A former originator, Matthew began writing for Mortgage News Daily in 2007, covering a wide range of topics. Seeing a need in the marketplace, his focus increasingly shifted toward relating MBS and broader financial markets for loan originators. ... more

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