MBS Pricing Snapshot

MBS are down another quick few ticks after the Fed's POMO results with Fannie 3.0s off 7 on the day now to 101-16. Treasuries just broke their higher of the day with 10's moving to 2.043. Negative reprices are now probable vs "possible" previously.

It was only a minor beat for the just-released New Home Sales report, but MBS are now down a tick on the day at 101-20. 10yr yields are up a quick 2bps since the report to 2.025 and for lenders that priced at an inopportune time near the highs of the day, reprice risk is potentially already a factor. So that's pretty much any lender who was already out with pricing before now.

- Annual Rate 454k vs 425k consensus
- +2.3 pct vs March +3.5 pct
- Median Price a record $271,600, +14.9% Year over Year
- Inventory at 156k, highest since Oct 2011

Sales of new single-family houses in April 2013 were at a seasonally adjusted annual rate of 454,000, according to estimates released jointly today by the U.S. Census Bureau and the Department of Housing and Urban Development. This is 2.3 percent (±12.8%)* above the revised March rate of 444,000 and is 29.0 percent (±20.7%) above the April 2012 estimate of 352,000.

The median sales price of new houses sold in April 2013 was $271,600; the average sales price was $330,800. The seasonally adjusted estimate of new houses for sale at the end of April was 156,000. This represents a supply of 4.1 months at the current sales rate.

10yr Treasuries started the overnight session popping higher in yield into the 2.06's as the Yen and JGBs (Japanese Government Bonds) sold off. That changed at about 9:40pm after Chinese PMI unexpectedly turned contractionary. JGB yields began to fall in earnest at 11:40pm but US TSYs stayed more connected to USD/JPY (dollar/yen), which fell from over 103 to under 101 by 5am, ushering in a 7%+ decline in the Nikkei and triggering a temporary shut-down of equities futures.

Treasuries rallied all the way to 1.965 by 4:30am and have been grinding higher since then, popping slightly higher after this morning's Jobless Claims data to 2.033. Data shook up MBS as well, which had already opened in the red, and significantly underperforming Treasuries. We managed to get a friendly post-data bounce after initial weakness and 10's are now back under 2.0 while Fannie 3.0s are up 4 ticks to 101-26.

The only remaining scheduled data this morning is New Home Sales at 10am. For the 11 ticks that Treasuries are in the green, MBS being up only 4 ticks is some of the better relative performance of the morning. MBS should be able to close some of that gap the more we hold 2% as a ceiling in 10s, or fingers crossed, improve upon it.

- Claims 340k vs 345k Consensus, 363k Previous
- 4-wk average 339.5k vs 340k previously
- Continued Claims 2.912 mln vs 3.0 mln f'cast
- Cont'd claims lowest since March 2008

- Market Reaction: down several ticks in MBS and up 1.5 bps in 10s

In the week ending May 18, the advance figure for seasonally adjusted initial claims was 340,000, a decrease of 23,000 from the previous week's revised figure of 363,000. The 4-week moving average was 339,500, a decrease of 500 from the previous week's revised average of 340,000.

The advance seasonally adjusted insured unemployment rate was 2.3 percent for the week ending May 11, unchanged from the prior week's revised rate. The advance number for seasonally adjusted insured unemployment during the week ending May 11 was 2,912,000, a decrease of 112,000 from the preceding week's revised level of 3,024,000. The 4-week moving average was 2,995,250, a decrease of 23,750 from the preceding week's revised average of 3,019,000.