MBS Live Recap: Fed Minutes Largely As Expected; No Major Drama For Bonds

After weathering the storm of this morning's data, the bond market turned its attention to the afternoon's release of the Minutes from the most recent Fed meeting.  While there were comments about the potential to accelerate the pace of tapering (thus pulling forward the potential rate hike timeline), they were only registered among a few of the meeting participants.  Treasuries mostly yawned at the data, but MBS are underperforming.  Liquidity is a factor here as well as the flatter yield curve on the day.  From here on out, liquidity issues add a higher degree of variability to MBS prices.  This risk won't subside until next week at the earliest.

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

  • GDP (q3, prelim) 2.1 vs 2.2 f'cast, 2.0 prev

  • Jobless Claims 199k vs 260k f'cast, 270k prev

  • Durable Goods -0.5 vs 0.2 f'cast, -0.4 prev

  • Nondefense, ex-aircraft 0.6 vs 0.5 f'cast, 1.3 prev

Market Movement Recap
08:58 AM

slightly stronger in Asia, then modestly weaker during European hours.  Additional weakness after AM econ data.  10yr up 1bp at 1.684 and MBS down nearly an eighth of a point.

09:25 AM

Daly comments pushing bonds to weakest levels of the day.  More detail in the alert HERE. 

11:38 AM

Treasuries bouncing nicely with 10yr now down almost 3bps.  MBS being pulled up from weakest levels, somewhat.  2.5 coupons now down only 6 ticks (.19).

01:53 PM

MBS moving back toward the lows before the Fed Minutes, but not any lower than they were this morning.  Bonds overall are stable with 10yr yields about 2bps lower and MBS prices about an eighth of a point lower.

02:22 PM

Limited reaction to the Fed in Treasuries.  MBS aren't doing as well for a variety of reasons (discussed in alerts and in the recap)

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