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MBS RECAP: Bond Weakness Reinforces The Consolidation Pattern
Sep 10 2021, 4:00PM

Bonds were weaker overnight and the selling trend continued fairly steadily throughout the day.  The only exception was a bigger yield spike that coincided with (but wasn't necessarily caused by) the EU close.  It is worth noting, however, that yields topped out the moment after the EU closing bell and have been sideways in a narrow range since then.  Jargon terms like "position squaring" and "illiquidity" certainly can't be ruled out here, but we can't really act upon such conclusions without seeing how bonds are trading on Monday morning.

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

  • Core Producer Prices:
    (y/y) 6.7 vs 6.6 f'cast, 6.2 prev
    (m/m) 0.6 vs 0.5 f'cast, 1.0 prev

Market Movement Recap
08:40 AM

Tentatively weaker overnight with most of the move happening at the start of the EU trading session.  Modest recovery as domestic trading began.  10yr up 2.4bps at 1.321.  MBS down nearly an eighth.

12:22 PM

After a fairly flat morning, bonds sold off fairly quickly heading into (but not necessarily because of) the EU close.  10yr yields are now up almost 5bps at 1.344 and MBS are down 6 ticks (.19). 

01:19 PM

Bouncing back a bit now after the snowball sell-off heading into the noon hour.  MBS outperforming with 2.0 coupons down just over an eighth.  10yr yields up 4.6bps at 1.343.

03:59 PM

Drift mode engaged, right at the same levels as the last update.  For all intents and purposes, the day is over.

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
101-10 : -0-04
10 YR
1.3430 : +0.0430
Pricing as of 9/10/21 4:00PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
11:36AM  :  ALERT ISSUED: Negative Reprice Risk Increasing
8:57AM  :  Weaker Overnight; No Reaction to PPI Data

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Matt Graham  :  "sort of. If the pattern is broken on the lower boundary, the result could be sideways or stronger. There really isn't much of an "all other things being equal" trade right now since everything depends on covid and the fall/winter economy."

Economic Calendar
Time Event Period Actual Forecast Prior
Friday, Sep 10
8:30 Core Producer Prices YY (%)* Aug 6.7 6.6 6.2
8:30 Producer Prices (%) Aug +0.7 0.6 1.0
10:00 Wholesale inventories mm (%) Jul 0.6 0.6 0.6

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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