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MBS RECAP: Slow Monday, But Late Warning Shots (Re-Send w/ New Video)
Jul 26 2021, 6:20PM

It was a slow trading day for the most part until the last 90 minutes.  Until then, MBS and Treasuries were generally flat.  As the day wound down, yields bumped up to the highs--right in line with the 1.295% technical level--and MBS coughed up a quick eighth of a point.  That was enough for several lenders to reprice for the worse even though the weakness doesn't speak to any bigger picture issues.  At worst, we could consider the late-day volatility to be a warning shot about bond trader defensiveness ahead of Wednesday's Fed announcement.

Econ Data / Events
  • Fed MBS Buying 10am, 1130am, 1pm

  • New Home Sales -6.6% vs +3.0% f'cast, -7.8% prev

Market Movement Recap
08:45 AM

Stronger overnight.  Yields fall in line with stock sell-off, bouncing in early EU trading, but still green in US trading.  10yr down 2.3bps at 1.258 and UMBS 2.0 coupons up 3 ticks (0.09) at 101-25 (101.78).

10:10 AM

Steady weakness all morning, with the sharpest move following the 9:30am NYSE open.  Weaker new home sales data isn't helping.  10yr yields now unchanged at 1.281 and UMBS 2.0 coupons nearly unchanged at 101-23 (101.72).

02:35 PM

Still under some pressure, but mostly sideways for the past few hours.  2.5 UMBS showing more damage than 2.0 coupons, but not enough for significant reprice risk.  2.0 coupons are unchanged at 101-22 (101.69).  10yr still at 1.28%.

04:35 PM

Sharper weakness late in the day.  No discrete cause.  MBS down an eighth of a point.  Several negative reprices.  10yr yields up 1.5bps to 1.296%.


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
101-18 : -0-04
Treasuries
10 YR
1.2950 : +0.0100
Pricing as of 7/26/21 6:20PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
3:53PM  :  ALERT ISSUED: Negative Reprices Becoming a Bigger Risk
3:25PM  :  ALERT ISSUED: MBS At Lows
10:09AM  :  Weaker All Morning. No Major Reaction to Home Sales Data
8:45AM  :  Stronger Overnight But Pulling Back a Bit

Economic Calendar
Time Event Period Actual Forecast Prior
Monday, Jul 26
10:00 New Home Sales (ml) Jun 0.676 0.800 0.769
10:00 New Home Sales (%) (%)* Jun -6.6 3.0 -5.9
13:00 2-Yr Note Auction (bl) 60
Tuesday, Jul 27
8:30 Core CapEx (%)* Jun 0.7 0.1
8:30 Durable goods (%)* Jun 2.1 2.3
9:00 Monthly Home Price yy (%) May 15.7
9:00 Monthly Home Price mm (%) May 1.8
9:00 CaseShiller 20 yy (% ) May 16.4 14.9
9:00 CaseShiller 20 mm SA (%) May 1.6 1.6
10:00 Consumer confidence * Jul 123.9 127.3
13:00 5-Yr Note Auction (bl)* 61

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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