Yes we did get a few reprices for the worse (more than one from a couple of lenders)
MBS market participants took the opportunity to put some cash in their pockets as the belly of the yield curve(TSYs) took some gains of their own (THEY FOLLOW GUT-FLOP TOO). Going forward Treasury traders will be more willing to put pressure on rates given the fundamental inflationary effects that come with monetizing your domestic debt (Fed buying Treasury Debt)...not to mention the Treasury Department announced it would auction $98bn more Treasury notes next week (2s/5s/7s= belly of the yield curve=maturities that have relative value implications for MBS)
Here's how the stack is looking at the moment...
APRIL FN30_____________________________
FN 4.0 -------->>>> -0-04 to 100-20 from 100-24
FN 4.5 -------->>>> -0-06 to 102-09 from 102-15
FN 5.0 -------->>>> -0-03 to 103-04 from 103-07
FN 5.5 -------->>>> -0-05 to 103-19 from 103-24
FN 6.0 -------->>>> -0-03 to 104-00 from 104-03
APRIL GN30_____________________________
GN 4.0 -------->>>> +0-04 to 100-25 from 100-21
GN 4.5 -------->>>> -0-07 to 102-15 from 102-22
GN 5.0 -------->>>> -0-01 to 103-20 from 103-21
GN 5.5 -------->>>> -0-05 to 103-30 from 104-03
GN 6.0 -------->>>> -0-05 to 104-04 from 104-09
Remember as MBS/TSY spreads tighten (MBS outperforms TSYs) mortgage investors will be more likely to remove their earnings from the table. As spreads get wider MBS sellers become buyers again. Look what happened...10 yr note sold off...4.0MBS followed shortly thereafter...
The additional supply of loans that resulted from the profit taking was, as usual, uneventfully eaten up by the Federal Reserve. On a side note one trader actually blamed the basketball game for the sell off... I am more apt to believe tightening spreads was the culprit...did you notice the huge rally yesterday???
The Federal Reserve just released the details of WHAT MBS they bought over the past 5 days...between March 12 and March 18 the Federal Reserve bought $28.195bn MBS and sold $8.520bn. $28.195bn - $8.520bn = $19.675bn net MBS purchases. That works out to $3.935bn in MBS per day which has been more than enough to offset the lackluster origination offerings of late...
63.3% of the purchases were in FRE MBS, 26.3% in FNs and 10.4% in GNs. The Fed continues to prove they are doing everything they can to lower interest rates....64% of the purchases were 4.5 coupons and 35% were 4.0 coupons. Add those two numbers together and you conclude that the Federal Reserve spent 99% of their weekly outlay in 4%s and 4.5%s.
That brings the grand total of Federal Reserve purchases to $236. billion ($4.6 billion per day). How much do they have left to support the mortgage market?
$500,000,000,000 + $750,000,000,000 = $1,250,000,000,000. $1,250,000,000,000 - $236,000,000,000 = OVER A TRILLION LEFT FOR AGENCY MBS PURCHASES
The Fed continues to play the roll market. HMMMMM I wonder why they would have been LONG "the roll" this month? I bet they knew something we didnt know. (HINT: YESTERDAY) For explanation of "the roll" read this: READ ME TO FILL YOUR BRAIN WITH MBSmartness