MBS OPEN: Bond Market Cheaper Ahead of NFP

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Good Morning. Happy NFP Day!!!

The bond market has opened weaker ahead of jobsdata...here is a screen shot of my matrix. I covered up the MBS yields because I do not like Reuter's prepayment speed assumptions (too fast). I use my own...

By the way prepayment factors were released last night by eMBS. Here is what Larry Giola sent me this morning re:speeds.

January factors indicated that December prepayments increased for  fixed-rate and ARM pools across all 3 agencies.  December fixed-rate issuance increased by a combined $25B.

  • Freddie 30yr Gold CPRs increased 2.4% to 17.7%CPR, while 15yr Gold CPRs increased 2.1% to 17.5%.
  • Fannie Mae 30yr increased 3.7% to 18.2%CPR while 15yr were up 1.2% to 16.4%. 
  • Ginnie Mae I 30yr prepays increased another 5.8% CPR to 27.7%, Ginnie I 15yrs were about even at 15.2% CPR.
  • Ginnie II Jumbo 30yrs were up 1% to 25.3% CPR, while Ginnie II 15yrs increased 5.6% to 18.5% CPR.

Freddie fixed-rate issuance jumped $9B to $34B, Fannie Mae issuance increased $9.6B to $40.1B.  Ginnie Mae I issuance increased $2.3B to $18.1B.

Ginnie II issuance increased $4.3B to $19.9B, as Ginnie Mae issued a third Ginnie II Jumbo 30yr 5%  pool over $10B (4599M)  just as they did in November (4578M) and October (pool 4559M).

Here is a screenshot of the "rate sheet influential" side of the stack:

I ran FN 4.0s at a 2 CPR and FN 4.5s at 5 CPR all month.  :-D

There is rumor that President Obama has scheduled a press conference for later today. Nothing confirmed but one would assume he will be using today's data as a reason to congratulate his administration and instill hope in the hearts of America. Again just gossip, nothing confirmed.

NEXT EVENT: NON FARM PAYROLLS AT 830 AM. Reuters consensus is no job cuts and a 10.1% unemployment rate.

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