Here’s what does NOT move the bond market

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Another day, another surprisingly rapid wave of selling in the bond market. Unlike several recent examples where the end of a Treasury auction cycle brought some relief to negative momentum, this week’s final auction had a slightly negative effect. Overall, market players continue to be a strange combination of completely obvious and particularly enigmatic elements. We’ve been paying a lot of attention to this list over the past few days, but what about things that have been falsely, but widely accused of having an impact? One of the best examples of this (both now and in the past, as far as small dramas go) is the composition of voters and non-voters at the Fed.

  • Purchase of MBS from the Fed 10 a.m., 11:30 a.m., 1 p.m.

  • Case Shiller housing prices (July AA) 19.9 vs 19.1 previous
    FHFA house prices (JULY YY) 19.2 vs 18.9 previous

  • Consumer confidence 109.3 vs. 114.5 f’cast, 115.2 prev

08:36

Widespread weakness in treasury bills overnight. Sales accelerated sharply in Europe. 10 years up almost 5bp to 1.54% and MBS down almost a quarter of a point.

11:10 a.m.

Still lower, but outside the lower levels, as the massive sales of shares create a demand to buy a safe haven. 10 years up 4 basis points now at 1.532 and MBS down just 6 ticks (0.19).

13:21

the positive rebound continued after the last update, but now sees modest weakness after the 7-year Treasury auction. 10 years back to 1.53 after plunging below 1.52 earlier. The MBS are outperforming and are now only falling by an eighth.


MBS price overview

Prices shown below are delayed, please note the time stamp at the bottom. Real-time pricing is available through MBS Live.

MBS

UMBS 2.5

102-27: -0-07

Treasures

10 years

1.5440: +0.0600

Price at 09/28/21 4:50 PMEST

Today’s Re-pricing Alerts and Updates

4:40 p.m. : ALERT ISSUED: Some risks of negative re-pricing for some lenders

1:07 p.m. : No huge win with uninspired 7-year auction

8h54 : ALERT ISSUED: Much weaker overnight as the world empties treasury bills


Economic calendar

Time Event Period Real Forecast Before
Tuesday 28 Sep
9h00 CaseShiller 20 years (%) Jul +19.9 20.0 19.1
9h00 Monthly house price aa (%) Jul 19.2 18.8
10:00 a.m. Consumer confidence * Sep 109.3 114.5 113.8
1:00 p.m. 7-year ticket auction (bl) * 62

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