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MBS RECAP: No Floors Harmed in Defense of The Ceiling
Oct 13 2021, 3:45PM

With yields vaulting higher last week, we've been looking for any evidence that bond buyers had seen enough weakness to step in and "buy the dip."  Buying the dip in prices means buying the ceiling in yields, and there's a case to be made that 1.56% was the relevant ceiling level over the past few days.  In that sense, today's gains finally offered a rejection of the breakout seen at the end of last week. We haven't yet seen enough of a push back to challenge any major technical floors.

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

  • Core Annual CPI 4.0 vs 4.0 f'cast/prev

  • 30yr Bond Auction Grade: A

Market Movement Recap
08:52 AM

Flat to slightly stronger overnight, then weaker after CPI data (sharply at first, but now moderating).  10yr yields up less than 1bp at 1.58% and 2.5 UMBS down 2 ticks (-0.06) at 102-15 (102.47).

09:45 AM

Friendly bounce now (led by Fed Funds Futures).  10yr yields down 2.3bps to 1.549 and 2.5 UMBS up almost an eighth of a point.

01:18 PM

Modest auction concession (i.e. rising yields) since 11am met with a strong auction result at 1pm.  Now back near the day's best levels with 10yr yields down 3.3bps at 1.539 and 2.5 UMBS up 3 ticks (.09).

03:30 PM

Mostly flat since the last update with no measurable reaction to the release of the Fed meeting minutes.  10yr down 2.3bps at 1.549 and 2.5 UMBS up 5 ticks (.16).

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
102-22 : +0-06
10 YR
1.5420 : -0.0380
Pricing as of 10/13/21 3:45PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
1:18PM  :  Bonds Improve After 30yr Auction
8:36AM  :  Losing Some Ground After CPI Data

Economic Calendar
Time Event Period Actual Forecast Prior
Wednesday, Oct 13
0:00 Roll Date - UMBS 30YR
7:00 MBA Purchase Index w/e 279.8 275.7
7:00 MBA Refi Index w/e 3023.0 3037.6
8:30 Consumer Price Index (CPI) (%)* Sep 0.4 0.3 0.3
8:30 Core CPI (Annual) (%)* Sep 4.0 4.0 4.0
13:00 30-Yr Bond Auction (bl) 24
Thursday, Oct 14
8:30 Core Producer Prices YY (%)* Sep 7.1 6.7
8:30 Jobless Claims (k) w/e 319 326

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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