MBS MID-DAY: New Definition for ATR: Another Thursday Rally

By: Matthew Graham •

April 9th.  That's the last time bond markets haven't rallied on a Thursday.  While some of the older examples in this trend are close calls, the last three Thursdays have been unequivocally positive, and today is no exception (so far).

Treasuries began the overnight session holding perfectly flat during Asian hours.  When European trading picked up, Treasuries outperformed from the start.  During the weakest overnight momentum, German Bunds rose more than 7bps while Treasuries only rose 3.5bps. 

The only mildly disconcerting moments followed Jobless Claims data.  After starting the domestic session in positive territory, both MBS and Treasuries bounced back to unchanged levels after claims data.  They bounced hard (relatively speaking) and got help at 10am from weaker Philly Fed and Existing Home Sales data.

Gains are somewhere between modest and moderate with MBS clearly the laggard.  Fannie 3.5's are up a measly 3 ticks (equating to 1-2bps in terms of rate).  Meanwhile, 10yr yields are down 4.3bps.  Things have been quiet since the 10am rally.

MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.0
100-27 : +0-05
FNMA 3.5
104-03 : +0-03
FNMA 4.0
106-18 : +0-02
Treasuries
2 YR
0.5850 : -0.0081
10 YR
2.2130 : -0.0440
30 YR
3.0040 : -0.0540
Pricing as of 5/21/15 12:29PMEST
Morning Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
10:10AM  :  US Bond Markets Outperforming Europe; Second Wind After 10am Data
Live Chat Featured Comments
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Matthew Graham  :  "failing to get back there would be bad. The past two sell-offs were triggered by opportunistic buying and corporate debt hedging when yields hit the lower end of the range, near 2.14. If we were to sell-off before getting back there, it would greatly edify the negative trend, especially in light of the fact that corporate issuance is expected to wane into the end of the month (this is already the highest issuance May on record). "
Jason Anker  :  "failing again to break that level is a bad sign. more so every time"
aaron meyer  :  "I thought 2.14 was our next level why would it be bad if it bounced?"
Andy Pada, Jr.  :  "define "sell off?""
Matthew Graham  :  "If we sell off before 10's hit 2.14-2.15 again, it would be a bad sign."
Matt Hodges  :  "Chase just notified that they will be late - looks like they were about to release and market was improving"
Sung Kim  :  "today will be a good day to lock"
Matthew Graham  :  "RTRS- PHILADELPHIA FED PRICES PAID INDEX MAY -14.2 VS APRIL -7.5"
Matthew Graham  :  "RTRS- PHILADELPHIA FED EMPLOYMENT INDEX MAY 6.7 VS APRIL 11.5"
Matthew Graham  :  "RTRS- U.S. APRIL EXISTING HOME SALES -3.3 PCT VS MARCH +6.5 PCT (PREV +6.1 PCT)-NAR "
Matthew Graham  :  "RTRS - U.S. APRIL EXISTING HOME SALES 5.04 MLN UNIT RATE (CONSENSUS 5.24 MLN), VS MARCH 5.21 MLN (PREV 5.19 MLN)-NAR"
Matthew Graham  :  "RTRS- PHILADELPHIA FED BUSINESS CONDITIONS MAY 6.7 (CONSENSUS 8.0) VS APRIL 7.5"
Matthew Graham  :  "RTRS- US CONTINUED CLAIMS FELL TO 2.211 MLN (CONS. 2.231 MLN) MAY 9 WEEK FROM 2.223 MLN PRIOR WEEK (PREV 2.229 MLN)"
Matthew Graham  :  "RTRS- US JOBLESS CLAIMS ROSE TO 274,000 MAY 16 WEEK (CONSENSUS 271,000) FROM 264,000 PRIOR WEEK (PREVIOUS 264,000)"