Bonds were moderately to severely weaker overnight and continued to deteriorate in the afternoon. Given the surge to 1.25% of 10-year returns the day before, you can rightly be concerned about a bigger bounce. However, the bond market also has the right to sell 6bps in Treasuries and 3/8 of a point in MBS on Friday before having to buy $ 120 billion in bonds in the first 2 days of the year and digest a new CPI the following Week. In other words, we may not get a good response to major bounces or breaks before the weekend until next Wednesday.
Summary of the market movement
Weaker overnight in a fairly linear movement that started right at the opening and continued through the European hours. 10yr is up 4bps to 1.336 and 2.0 UMBS is down almost a quarter point.
Quite calm so far despite some additional weakness in Treasuries (10 years holding at the technical level of 1.35%). MBS have been flat since 8:30 AM, never more than a tick (0.03) from those levels (minus 0.22).
Weakness accelerates after breaking the 1.35% cap for 10 seconds (now 1.36%). MBS at 10 ticks (0.31) a day and an eighth point from the AM plateau. No obvious causes. Leakage Friday afternoon only.
MBS pricing overview
The price shown below is delayed, please refer to the timestamp below. Real-time prices is available through MBS Live.
|Prices from 07/09/21 2:23 p.m.|
Today’s reprice notifications and updates
12:36 pm : WARNING ISSUED: Negative reprice risk increases
09:06 : WARNING ISSUED: Moderately to strongly weaker overnight, depending on your perspective