MBS Live Recap: No Floors Harmed in Defense of The Ceiling

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).

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