MBS Live: MBS Afternoon Market Summary
The day began well for bond markets for reasons that often lead to bonds doing well, namely that
everything else was not well. With Bernanke's testimony in the rearview and Greek elections still
far out on the horizon, markets were left to focus on Spain in the overnight session where growing
concerns about the size and urgency of the soon-to-be requested bailout weighed on risk markets.
But the currents of risk shifted shortly after the domestic open, either for technical reasons or
on increasing clarity about Spain formally requesting assistance this weekend in conjunction with a
scheduled conference call (read
more). Whatever the underlying motivations, the result is the result--an MBS market that's
doing a great job of holding onto THURSDAY's afternoon range. Considering we rallied yesterday and
didn't gain an awful lot this morning, that's a relatively agreeable way to end the
week--essentially 10 ticks lower than last week's record weekly closing levels.
MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
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Afternoon Reprice Alerts and Updates
Below is a recap of instant Reprice Alerts and updates issued via email and text alert to MBS Live subscribers this afternoon.
2:41PM :
ALERT ISSUED:
Another Technical Break For TSYs Putting More Pressure On MBS
Volume is lower, but certainly not as low as Friday afternoon's characteristically are. We have about 20 minutes to go until the 3pm Treasury close and until now, 10yr yields had been holding their ceiling just over 1.63. With a late day stock push to the highs, and potential positional adjustments ahead of the 3pm TSY close, 10's are now above that pivot point, closer to 1.64, and MBS haven't been able to continue to hold their ground quite as well as they previously had been.
We're not talking about any major shifts here... Just standard issue "leakage" into the PM hours, but enough to nudge MBS down another tick or two in both 3.0's and 3.5's, keeping the possibilities of negative reprices on the table.
We're not talking about any major shifts here... Just standard issue "leakage" into the PM hours, but enough to nudge MBS down another tick or two in both 3.0's and 3.5's, keeping the possibilities of negative reprices on the table.
12:43PM :
ALERT ISSUED:
MBS Leaking Slowly Into Technical Danger Zone
MBS breaking into the red, past previously discussed pivot points at 102-16 and 105-02, currently down to 102-13 and 104-31 respectively for Fannie 3.0's and 3.5's. 10yr yields are up to 1.6166. No major panic at the moment, but risks of negative reprices are definitely elevated as long as current levels persist or get weaker.
11:10AM :
ALERT ISSUED:
Europe Rallying Into Close, Making Morning Slightly Tough For Bonds
Bond markets have weakened somewhat from earlier levels and equities are noticeably off their lows, having advanced steadily since 10am. At first blush, this might seem like it has something to do with the only news hitting wires at the moment, which is Obama's statement on the economy.
But if we're to give credit where credit is due, then we must--as is so often the case of late--turn to Europe where equities are off their lows and German Bunds have sold off impressively from low yields of 1.28, up to nearly 1.35 at the moment. US Tresuries continue their standard-issue "mirror and match" routine, but have undergone a similar move with about half the magnitude, moving from 1.56 earlier this morning to 1.60 now.
MBS are holding their ground reasonably well with Fannie 3.5's still up 2 ticks on the day at the 105-02 pivot point (roughly yesterday's highs). Fannie 3.0's are up 3 ticks at 102-16 after being as high as 102-24 earlier. Are these losses enough for negative reprice risk? Tough question in this case as they began very close to rate-sheet time for many lenders. The risk might be very small and limited to a very small amount of lenders at the moment, but increasing if current pivots are broken (105-02 and 102-16 in 3.5s and 3.0s respectively). Increasing safety if we bounce back into the day's existing range.
But if we're to give credit where credit is due, then we must--as is so often the case of late--turn to Europe where equities are off their lows and German Bunds have sold off impressively from low yields of 1.28, up to nearly 1.35 at the moment. US Tresuries continue their standard-issue "mirror and match" routine, but have undergone a similar move with about half the magnitude, moving from 1.56 earlier this morning to 1.60 now.
MBS are holding their ground reasonably well with Fannie 3.5's still up 2 ticks on the day at the 105-02 pivot point (roughly yesterday's highs). Fannie 3.0's are up 3 ticks at 102-16 after being as high as 102-24 earlier. Are these losses enough for negative reprice risk? Tough question in this case as they began very close to rate-sheet time for many lenders. The risk might be very small and limited to a very small amount of lenders at the moment, but increasing if current pivots are broken (105-02 and 102-16 in 3.5s and 3.0s respectively). Increasing safety if we bounce back into the day's existing range.
Live Chat Featured Comments
A recap of the featured comments from the MBS Live Dashboard's Live Chat feature, utilized by hundreds of industry professionals each day.
Ira Selwin : "REPRICE: 2:34 PM - Franklin American Worse"
Victor Burek : "REPRICE: 2:21 PM - Nexbank Worse"
John Rodgers : "REPRICE: 1:56 PM - Wells Fargo Worse"
Matthew Graham : "and notification day, among other things on the MBS settlement calendar, can always be found at the source at dtcc.com. (http://www.dtcc.com/products/documentation/cs/ficc/mbs/0612Processing.Schedule.pdf)"
Matthew Graham : "It always rolls between the evening of notification day and the morning of the following day."
Michael Tadros : "REPRICE: 1:35 PM - Interbank Worse"
Darren Costa : "when does the settlement month usually roll on the live pricing chart?"
Jason Adams : "REPRICE: 1:25 PM - Fifth Third Mortgage Worse"
Andrew Horowitz : "sell the news ahead of the news"
Jeff Anderson : "They're waiting in the hall to go in to the principal's office."
Andrew Horowitz : "In other words Spain has already made a request, just unofficially"
Christopher Stevens : "REPRICE: 1:08 PM - Flagstar Worse"
Matthew Graham : "maybe one more notch towards finalizing a figure and the formality of the request is inferred from the Constancio comments"
Matthew Graham : "doesn't really look like new news based on the article in the live updates from Reuters which says: "Five officials in Brussels and Berlin said the finance ministers of the single currency area would hold a conference call on Saturday morning to discuss a Spanish request for aid, although no figure on the assistance has been set.
The Eurogroup, which comprises the 17 euro zone states, will issue a statement after the call, which is scheduled to take place before midday (1000 GMT), the sources "
Matthew Graham : "RTRS- ASKED WHETHER AID REQUEST CAN COME ON SATURDAY, CONSTANCIO SAYS: "EVERYTHING IS POSSIBLE"-RADIO"
Matthew Graham : "RTRS- ECB'S CONSTANCIO SAYS SPAIN EXPECTED TO FORMALLY REQUEST AID FOR BANKS, HOPEFULLY SOON-PORTUGAL RADIO"
Paul L. Martin : "Yes. FNMA just changed the guidelines 5-15-2012 six months."
Bobby Kurpinsky : "Freddie will allow for 6 months but have to prove continuance as well. Fannie is 12 months"
Bobby Kurpinsky : "Hodges- run it LP. i can email you the guides if you'd like. "
Brent Borcherding : "yes"
Rob Clark : "REPRICE: 12:50 PM - Provident Funding Worse"
Matt Hodges : "6 months of receipt of alimony sufficient to establish consistency?"
Brett Boyke : "sounds like it could be an interesting weekend - Spain, China, Celts Heat"
Victor Burek : "you dont cut rates if things are good"
Brett Boyke : "China has a bunch of econ. reports coming out tomorrow, and they are speculating they will be weak"
John M Roberts - TN Consumer : "For those of you who think a better understanding of the Eurozone and its finances are or will be a major influence on the world economy and consequently MBS, this is a pretty good read. His final conclusion is more tangential, but the explanation in the runup is pretty awesome(imho) for those of you that don't already have a good handle on how the banking system is set up in the EZ. http://money.msn.com/investment-advice/tear-up-your-paper-money-jubak.aspx?page=0"
Ira Selwin : "Gus - Class A notification day is Monday"
Gus Floropoulos : "when do we roll?"
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