MBS RECAP: Leveling Off and Holding Gains into the Close

By: Matthew Graham •

It's been an 'up and down' trading session, but the 'ups' have been the clear winners and that looks increasingly solidified as trading winds down for the day.  10yr yields hit the official 3pm close at 2.12--a solid 5bps below Wednesday's latest levels.  Fannie 3.0s were 101-16 at the same time and are now back to 101-18--a solid 10 tick gain on the day.

Shortly before that, bond markets had been trending gradually weaker since 11am.  We may have briefly been on the edge of limited reprice risk, but markets bounced before crossing the risk threshold at 101-14 (in Fannie 3.0s).

In terms of holiday volume levels compared to normal trading conditions, today was somewhere in between.  Certainly, it was far more active than any other day during these holiday weeks, but it wasn't any busier than December 19th (which we previously discussed as being the first day of the winter break).  Incidentally, this morning's trading levels were right in line with December 19th's trading range before the rally began.  The rally was a combination of tradeflows (big block trade at 8:40am kicked things off) and weaker Manufacturing data. 

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
101-18 : +0-11
FNMA 3.5
104-18 : +0-08
FNMA 4.0
106-29 : +0-04
Treasuries
2 YR
0.6690 : -0.0030
10 YR
2.1210 : -0.0493
30 YR
2.6940 : -0.0560
Pricing as of 1/2/15 3:34PMEST
Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
2:37PM  :  ALERT ISSUED: On the Edge of Slight Negative Reprice Risk; Most Lenders Not Affected
10:09AM  :  Now Well Into Positive Territory Following Weak ISM Data
9:30AM  :  Bond Markets Open Weaker, but Bounce Back After Block Trade
MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Timothy Baron  :  "Ditech, Pennymac, and Flagstar, DS."
Doug Seder  :  "Are any correspondent lenders offering the FNMA 97 program? I know Wells said they would not do it, but I have yet to see announcements from other lenders. "
Steve Chizmadia  :  "The 1 year view on both the 3.5 and the 10 year is nice to look at. "
Matthew Graham  :  "prices can be "quotes" (bid/ask) or actual trades. An errant lowball bid quote can cause such spikes. It happens more frequently when things are illiquid. We should expect 3.5's to lose some participation in favor of 3.0s at the moment, which is why you're not seeing similar spikiness in 3.0s, most likely."
Jeff Anderson  :  "Volume probably drying up a bit, BB. "
Brian Bockholdt  :  "why did we just spike down to red? Then right back uop"