Bonds Consolidate Despite Weak Data and Strong Auction

Q&A on Zillow/MLOA Deal; UW Updates; 1003 Products

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Today brought two events that should theoretically have helped bonds: a much weaker producer level inflation reading (2.4 vs 2.7 forecast for core PPI) this morning, and a fairly strong 10yr Treasury auction in the afternoon.  But neither had much of an impact by the end of the day.  To be fair, bonds did manage to gain a small amount of ground, but those gains were intact before the friendly events crossed the wires.

This isn’t an out-and-out mystery, however.  The PPI data is rarely a huge market mover in the first place.  With the more important CPI coming up tomorrow (among other things), it’s no surprise to see today’s PPI offering little inspiration for would-be bond buyers.  

The 10yr auction suffers from a mostly similar fate.  It is a positive anecdote for bonds, to be sure, but traders still have to wait to see how the rest of the week’s key events unfold.  

With all of the above in mind, bonds simply drifted sideways at the morning’s slightly stronger levels today–effectively “consolidating” a week and a half of selling pressure, but NOT “correcting” back toward stronger levels.

MBS Pricing Snapshot

Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.


FNMA 4.0

101-08 : +0-03


10 YR

2.9663 : -0.0127

Pricing as of 9/12/18 4:05PMEST

Today’s Reprice Alerts and Updates

8:41AM  :  Much Weaker PPI Not Much Help So Far

MBS Live Chat Highlights

Matthew Graham  :  “A-“

Matthew Graham  :  “RTRS – U.S. 9-YR 11-MO NOTES BID-TO-COVER RATIO 2.58, NON-COMP BIDS $15.43 MLN”

Matthew Graham  :  “RTRS – U.S. SELLS $23 BLN 9-YR 11-MO NOTES AT HIGH YIELD 2.957 PCT, AWARDS 19.38 PCT OF BIDS AT HIGH”

Matthew Graham  :  “10yr auction preview: Recent bid-to-cover has been running in the mid 2.5x range. Average result is slightly higher than 1pm when-issued yield (currently 2.966). Indirect bidding has been variable with recent lows of 53% and highs of 65%. More on these terms here: Treasury Auction Jargon, Definition, and Significance

Economic Calendar

Time Event Period Actual Forecast Prior
Wednesday, Sep 12
7:00 MBA Purchase Index w/e 233.5 231.4
7:00 Mortgage Refinance Index w/e 884.3 940.0
8:30 Producer Prices (%) Aug -0.1 0.2 0.0
8:30 Core Producer Prices YY (%)* Aug +2.3 2.7 2.7
13:00 10-yr Note Auction (bl)* 23
Thursday, Sep 13
8:30 CPI mm, sa (%)* Aug 0.3 0.2
8:30 Core CPI Year/Year (%)* Aug 2.4 2.4
8:30 Jobless Claims (k) w/e 210 203
13:00 30-Yr Bond Auction (bl)* 15

Original Source