MBS MID-DAY: 3/8/2012

By: Matthew Graham
MBS Live: MBS MID-DAY
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FNMA 3.5
103-16 : -0-01
FNMA 4.0
105-09 : -0-02
FNMA 4.5
106-13 : -0-03
FNMA 5.0
107-29 : +0-00
GNMA 3.5
105-04 : +0-01
GNMA 4.0
107-29 : -0-01
GNMA 4.5
108-29 : -0-02
GNMA 5.0
110-11 : +0-00
FHLMC 3.5
103-09 : -0-01
FHLMC 4.0
104-32 : -0-01
FHLMC 4.5
106-03 : -0-02
FHLMC 5.0
107-19 : +0-00
Pricing as of 11:00 AM EST
Morning Market Updates
A recap of MBS Market Updates provided by MND Analysts and streamed live to the MBS Live Dashboard.
10:00AM  :  Freddie Mac: 30YR FRM Near All Time Lows at 3.88%
30-year fixed-rate mortgage (FRM) averaged 3.88 percent with an average 0.8 point for the week ending March 8, 2012, down from last week when it averaged 3.90 percent. Last year at this time, the 30-year FRM averaged 4.88 percent.

15-year FRM this week averaged 3.13 percent with an average 0.8 point, down from last week when it averaged 3.17 percent. A year ago at this time, the 15-year FRM averaged 4.15 percent.

5-year Treasury-indexed hybrid adjustable-rate mortgage (ARM) averaged 2.81 percent this week, with an average 0.7 point, down from last week when it averaged 2.83 percent. A year ago, the 5-year ARM averaged 3.73 percent.

1-year Treasury-indexed ARM averaged 2.73 percent this week with an average 0.6 point, up from last week when it averaged 2.72 percent. At this time last year, the 1-year ARM averaged 3.21 percent.
9:04AM  :  ALERT: MBS Resilient in Early Trading, Treasuries Holding Week's Range
Bond markets followed Bunds weaker overnight, but have put in some supportive bounces this morning. The ceiling for 10yr yields was just over 2.01, the same highs seen on Monday, and effectively an affirmation of a narrow range trade ahead of key events.

MBS have been outperforming so far, down only 2 ticks from 5pm at 103-16. Pivot points remain at 103-18 / 103-19 on the upside and 103-10 on the downside, although the narrowness of yesterday's range combined with the support seen this morning bring 103-13 into play as a sort of "first line of defense" against falling prices.

Weekly Jobless Claims were slightly worse than expected, and we did see some volume pick up there, but it unfortunately coincided with Mario Draghi's post-ECB Rate Decision press conference.

Either way, Jobless Claims is not a market mover for today. Markets are waiting primarily on what we'll affectionately refer to as Greek bond swap "Deadline Headlines." Speculation and reports on increasing levels of participation are assumed to be at least partially responsible for overnight bond market weakness.

Bonds might take a short term hit, and even get nudged outside recent ranges if Greece hits their targets. But NFP tomorrow will still matter, and might even trump the importance of Deadline Headlines, especially if markets have worked through the temporary euphoria (and make no mistake that it would indeed be temporary) at Greece being "saved" once again.

If NFP is better-than-expected, however, that could be a problem if it coincides with an economically bullish read on whatever news we get on the Greek bond swap today.

Things could get quite a bit more volatile between now and tomorrow afternoon, though remain range-bound for now, waiting on the first major deadline headline.
8:38AM  :  ECON: Jobless Claims Slightly Higher Than Expected
* Claims rose 362k vs 351k consensus
* Previous week revised up from 351k to 354k
* Continued Claims 3.416m vs 3.4m consensus
* Previous Cont. Claims revised up to 3.406m from 3.402m

In the week ending March 3, the advance figure for seasonally adjusted initial claims was 362,000, an increase of 8,000 from the previous week's revised figure of 354,000. The 4-week moving average was 355,000, an increase of 250 from the previous week's revised average of 354,750.

The advance seasonally adjusted insured unemployment rate was 2.7 percent for the week ending February 25, unchanged from the prior week's unrevised rate.

The advance number for seasonally adjusted insured unemployment during the week ending February 25, was 3,416,000, an increase of 10,000 from the preceding week's revised level of 3,406,000. The 4-week moving average was 3,417,500, a decrease of 27,500 from the preceding week's revised average of 3,445,000.
Featured Market Discussion
A recap of the featured comments from the Live Discussion on the MBS Live Dashboard.
Daniel Kramer  :  "To comment on some chat from the other day about Du Refi Plus, and some where saying that if the original loan was originated as a Fast and Easy, or Sisa, or any other limited doc program, it isnt able to be doen under Du Refi Plus, i inquired with two of my lenders, Wells Fargo, and Plaza, and they both have no issues with that. As long as DU findings come back as Du Refi Plus eligble, and the findings are approve, they wil do the loan. "
Matthew Graham  :  "http://www.reuters.com/article/2012/03/08/us-usa-economy-jobs-challenger-idUSBRE8270NG20120308"
Brent Borcherding  :  "What was the news on the challenger report?"
Victor Burek  :  "annual mip is based on balance, so does decrease"
Daniel Kramer  :  "PMI question, does the monhtly amount of PMI decrease each year, as a borrower's loan is lower each year? I have a borrower whose initial MI was $200 5 years ago, and his current mortgage statement shows MI at $87"
Matthew Graham  :  "Wow, what a slow morning... "
Matthew Graham  :  "RTRS - DRAGHI - WE HAVE DONE THE LTROS, WANT TO SEE WHAT EFFECTS ARE"
Victor Burek  :  "An announcement will be published Friday morning at 0600 GMT on the official government website for the exchange [www.greekbonds.gr]. The deadline of bids is Thursday at 2000 GMT. "
Joe Ridings  :  "what time is the deadline?"
Matthew Graham  :  "It's not going to cause much of a rally with Greek swap deadline headlines expected today and NFP tomorrow"
Matthew Graham  :  "RTRS - US CONTINUED CLAIMS ROSE TO 3.416 MLN (CON. 3.400 MLN) FEB 25 WEEK FROM 3.406 MLN PRIOR WEEK (PREV 3.402 MLN) "
Matthew Graham  :  "RTRS- US JOBLESS CLAIMS ROSE TO 362,000 MARCH 3 WEEK (CONSENSUS 351,000) FROM 354,000 PRIOR WEEK (PREVIOUS 351,000) "
Matthew Graham  :  "RTRS- BELGRADE - ITALIAN PM MONTI SAYS OVER 60 PCT OF GREEK BONDHOLDERS TO TAKE PART IN DEBT SWAP, "SOLUTION IS VERY CLOSE" "
Matthew Graham  :  "RTRS- IIF'S DALLARA SAYS EXPECTS VERY HIGH INVESTOR PARTICIPATION, UNSURE IF IT WILL REACH 90 PCT "
Victor Burek  :  "i am locking everything closing this month before tomorrow..floating others"
Andrew Horowitz  :  "planned layoffs, weekly jobless claims will be background noise today"
Andrew Horowitz  :  "http://www.bloomberg.com/news/2012-03-07/investors-with-39-of-greek-debt-agree-to-join-in-swap-iif-says.html"
Andy Pada  :  "was hoping for a few ticks better than now so I can lock in before jobless #s"
Andrew Horowitz  :  "challenger won't move market AP"
Matt Hodges  :  "i'm shut out at 5pm until about 10:30 every day"
Matt Hodges  :  "good for you to have overnight protection, as it were"
Andy Pada  :  "cash window open at 8:15; so I have 15 minutes to make decisions on locks before the 8:30 jobless #s come out."
Andy Pada  :  "*affect"
Andy Pada  :  "not sure about their past performance, but it is the only data that may affects the market before the 8:30 jobless claims"
Matt Hodges  :  "oh... not one i follow - are they any more accurate than ADP?"
Andy Pada  :  "let's see what challenger layoffs give us this early morning"