MBS RECAP: 10/13/2011

By: Matthew Graham •
MBSonMND: MBS RECAP
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FNMA 3.5
101-05 : +0-09
FNMA 4.0
103-14 : +0-05
FNMA 4.5
105-04 : +0-04
FNMA 5.0
107-01 : +0-02
GNMA 3.5
103-04 : +0-11
GNMA 4.0
105-28 : +0-09
GNMA 4.5
107-31 : +0-07
GNMA 5.0
109-10 : +0-03
FHLMC 3.5
101-01 : +0-10
FHLMC 4.0
103-05 : +0-04
FHLMC 4.5
104-26 : +0-04
FHLMC 5.0
106-18 : +0-01
Pricing as of 3:59 PM EST
Afternoon Market Updates
A recap of MBS Market Updates provided by MND Analysts and streamed live to the MBSonMND Dashboard .
3:59PM  :  Last Day of the Week Busiest in Terms of Econ Data
After a fairly quiet week of scheduled economic data, Friday does its best to make up for the earlier dearth of reports. Here's the run-down.

830am- Retail Sales
830am - Import/Export Prices
955am - Consumer Sentiment
10am - Business Inventories
200pm - Treasury Budget

Apart from that, MBS and Treasuries will be trying to hold on to today's gains, the first real day of gains since October 3rd. For a more detailed look at tomorrows economic events, see the following link:
2:15PM  :  NY Fed: Agency MBS Transacation Data Update
The latest agency MBS transaction data is now available.

VIEW DATA
1:49PM  :  ALERT: Reprice Outlook Returns to Neutral. Stock Lever Pressures Bonds
That's it... Deal's Off... Instead of a rapid, directional rally, MBS and 10yr yields alike have returned to flirt with their weakest levels of the afternoon. That's not entirely a bad think as that still leaves them in better shape than earlier this morning.

But at the very least, this changes the reprice outlook away from "likely" and more toward neutral. There's still enough time for things to go either way, but it if S&P's are moving higher over 1200, then things could get ugly for bonds, possibly even resulting in potential reprices for the worse.

Fannie 3.5's are holding onto 101-06 for now. Reprice risk picks up at 101-04, and would get critical at 101-00. On the upside, we'd need to break and hold above 101-10-ish, and preferably hit and hold 101-14 for broad-based price improvements.
1:10PM  :  ALERT: Loan Pricing Should Improve Following 30yr Bond Auction
The 30yr Auction at 1pm just now was absolutely Tremendous. It stopped a whopping 4bps under the 1pm "when-issued" yield, had higher than average demand, and all of this following a disturbingly weak 10yr auction yesterday.

Fannie 3.5's are up to 101-16 now. Expect reprices for the better if these prices hold or are improved upon.
Featured Market Discussion
A recap of the featured comments from the Live Discussion on the MBSonMND Dashboard .
Brett Boyke  :  "who wins EU FTS or QE3"
Dean Gorenflo  :  "c'mon FTQ!"
AQ  :  "default looms..."
AQ  :  "DJN - DJ ECB'S TRICHET: ECB HAS REACHED ITS LIMITS REGARDING GREECE"
AQ  :  "DJN - DJ TRICHET: ECB HAS DONE ALL IT COULD TO MEET MANDATE DURING CRISIS"
Ira Selwin  :  "FAMC price change"
Steven Bote  :  "msi reprice better"
Jason Wilborn  :  "this is where MND is invaluable, where some people might be locking a loan right now, no one watching this chart will be"
Matthew Graham  :  "or confirmation if you suspected that the street had been "setting the pins back up" over the past two weeks"
Jason Wilborn  :  "MBS rocket propel"
Matthew Graham  :  "a 4bp stop-through"
Matthew Graham  :  "that's an A+ actually"
Victor Burek  :  "nexbank better"
Ira Selwin  :  "WF price change"
Ira Selwin  :  "FAMC price improvement"
Matthew Graham  :  "RTRS - US FED BUYS $4.882 BLN OF TREASURIES MATURING OCTOBER 2017 THROUGH AUGUST 2019 - NY FED"