Strong Showing For Longer-Dated Bonds

With the Fed's dot plot in focus yesterday, the associated drama was heavily weighted toward the short end of the yield curve.  Relative to recent stability, 2yr Treasuries got destroyed while 30yr Treasuries were barely touched.  MBS lean a bit shorter in duration than 10yr benchmarks, so it's no surprise to see them underperform today.  If we let them compete with 5yr Treasuries, different story (i.e. don't read too much into "MBS underperformance" when the yield curve is making such big moves).  No data tomorrow and limited data next week.  The week after that brings another jobs report, and thus another chance to see the next big flash of volatility.  

Econ Data / Events

  • Fed MBS Buying 10am, 1130am, 1pm

  • Jobless Claims 412k vs 359k f'cast, 375k prev

  • Philly Fed 30.7 vs 31.0 f'cast, 31.5 prev

Market Movement Recap
09:06 AM

Limited weakness at the start of the overnight session, but gentle resilience since then.  10yr yields now 3bps lower at 1.55%.  2.5 UMBS up almost an eighth.

11:47 AM

Resilience continues!  10yr now down 6.5bps at 1.516 and MBS up more than an eighth (UMBS 2.5) and nearly a quarter in UMBS 2.0 coupons.

03:25 PM

Coming off the boil just a bit with 10yr yields now down only 6.5bps on the day at 1.516.  2.0 UMBS are up 3/8ths of a point and 2.5 coupons are up a quarter of a point.