MBS RECAP: Volatility After Philly Fed, but Bonds Stay in Positive Territory

By: Matthew Graham

There was a metric ton of data on tap today, both at home and abroad.   During the European session, most of the data was weaker.  Given that Europe still responds logically to their economic data, that made for a strong overnight move in Treasuries (and of course in the European bond markets that were setting the tone for Treasuries). 

The domestic data at 8:30am was received in the same manner as most domestic data recently: nothing happened.  That was more than acceptable considering we were in stronger territory, but the 10am data was too crazy to be ignored.  The Philly Fed survey came out at the best level since 1993, beating the forecast by the largest amount ever.

MBS and Treasuries lost ground at that point, though it's tough to say if the reversal wasn't already bound to happen after stocks and bonds bounced around 9:20am.  Whatever the case may be, the Philly Fed data certainly gave bond weakness a major push at 10am, sending 10yr yields quickly to 2.34 from 2.31.  Fannie 3.5s fell from 103-19 to 103-14, but that was just small enough of a pull-back to avoid meaningful reprice risk.  Bonds were resilient for the rest of the day--especially after the 1pm 10yr TIPS auction.


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.0
100-03 : +0-06
FNMA 3.5
103-17 : +0-06
FNMA 4.0
106-11 : +0-05
Treasuries
2 YR
0.5090 : -0.0160
10 YR
2.3380 : -0.0197
30 YR
3.0540 : -0.0230
Pricing as of 11/20/14 5:48PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
11:32AM  :  Decent Bounce, Reprices on Hold
11:02AM  :  ALERT ISSUED: Negative Reprice Risk Increasing Now
10:13AM  :  Might Have to Start Thinking About Negative Reprices after 10am Data
9:36AM  :  Bond Markets Add to Overnight Gains Ahead of Stock Open

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Jeff Statz  :  "student loan debt now exceeds auto and credit card debt"
Timothy Baron  :  "So you are saying that policy might have unintended consequences??"
Hugh W. Page  :  "Make it more expensive for businesses to hire FT workers and Part Time work levels climb...funny how that works"
Timothy Baron  :  "Sounds like the housing bubble."
Hugh W. Page  :  "Regulation changes the incentives and incentives matter a whole lot. Offer easy to get student loans to anyone with a pulse and Voila tuition rates climb and climb."
Jason Anker  :  "The only type of inflation we have is the type that increases poverty not prosperity "
Jason Anker  :  "medical. my 15 costs are up 9%. Why is it ok for this and college to go up 10% every year? "
Matthew Graham  :  "shelter/medical"
John Tassios  :  "MG, been out of the loop all day. why did CPI core go up? Was it increase in Rents?"
Matthew Graham  :  "No sense in getting all crazy with higher yields if European yields aren't actually going to go through with their threats to move higher."
Matthew Graham  :  "yes BB. Thank Europe for that, in my opinion."
Brian Bockholdt  :  "haven't been able to pay much attention today other than seeing the HUGE beat this morning.. Pretty impressive resilience today though yes?"
Victor Burek  :  "looks like it is helping us a little"
Matthew Graham  :  "It was strong."
Victor Burek  :  "mg? how was the tips auction?"