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MBS RECAP: Strong Auction No Match For Bond Bears
Nov 23 2021, 4:41PM

Today's 7yr auction was the biggest potential source of volatility for the bond market.  After it came out with relatively strong stats, we were treated to a logical rally.  Unfortunately, that rally was very small, very brief, and it occurred only after yields had already drifted up several bps on the day.  The net effect is an auction reaction that gets lost in the shuffle, easily overwhelmed by the broader bearish trend.  In the final hour, 10s are up 5bps at 1.68+ and MBS are down more than a quarter of a point.

Econ Data / Events
  • Fed MBS Buying 10am, 11:30am, 1pm

  • Markit PMI 
      - Manufacturing 59.1 vs 58.4 prev
      - Services 57.0 vs 58.7 prev

Market Movement Recap
09:13 AM

Bonds moved slightly weaker overnight with Europe leading the way.  10yr yield up 1.2 bps at 1.644 and MBS down 2 ticks (0.06).

11:57 AM

Quick, but fairly small move down to new lows for MBS.  2.5 coupons now at 101-28 (101.875) vs intraday highs of 102.    10yr yields in line with AM highs, up 3 bps at 1.662.

01:06 PM

Weakness in the run up to the auction, and a bit of a recovery afterward.  MBS still down on the day, but now only an eighth of a point versus nearly a quarter before the auction.

03:52 PM

Additional losses after the 3pm CME close.  10yr and MBS both at weakest levels.  No big, new market movers.


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 2.5
101-26 : -0-07
Treasuries
10 YR
1.6770 : +0.0520
Pricing as of 11/23/21 4:41PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
3:16PM  :  ALERT ISSUED: Back to The Lows After 3pm CME Close
1:06PM  :  7yr Treasury Auction was OK!
12:54PM  :  ALERT ISSUED: Negative Reprice Risk Increasing
10:09AM  :  Bonds Trying to Hold Ground After Overnight Weakness

Economic Calendar
Time Event Period Actual Forecast Prior
Tuesday, Nov 23
9:45 Markit Services PMI * Nov 57.0 59.0 58.7
9:45 Markit Manuf. PMI * Nov 59.1 59.0 58.4
9:45 Markit Composite PMI * Nov 56.5 57.6
13:00 7-Yr Note Auction (bl)* 59
Wednesday, Nov 24
8:30 GDP Prelim (%) Q3 2.2 2.0
8:30 Durable goods (%)* Oct 0.2 -0.3
8:30 Core CapEx (%)* Oct 0.5 0.8
8:30 Jobless Claims (k) w/e 260 268
10:00 Core PCE Inflation (y/y) (%)* Oct 4.1 3.6
10:00 New Home Sales (ml) Oct 0.800 0.800
10:00 Consumer Sentiment (ip) Nov 66.9 66.8
10:00 Sentiment: 5y Inflation (%) Nov 2.9
10:00 Sentiment: 1y Inflation (%) Nov 4.9

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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