Trading levels began the day in better territory this morning after a strong overnight session for Treasuries. It wasn't so much that they gained an especially large amount, but rather that they defied the input from related markets that have been consistently performing better. The clearest example would be German Bunds (the benchmark for the European bond market). They sold-off in a big way today.
That selling pressure threatened to drag US bond markets into weaker territory early this morning, but fortunately Retail Sales completely missed expectations. This reset the baseline for bond market selling, but bond market selling continued nonetheless. In fact, notwithstanding some volatility surrounding the auction and the European close, the selling was fairly linear leading back from the initial Retail Sales rally. The day ended with MBS and Treasuries in just slightly weaker territory.
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 3.0 101-04 : -0-02 | FNMA 3.5 104-06 : -0-02 | FNMA 4.0 106-13 : -0-01 |
| Treasuries | 2 YR 0.6640 : -0.0200 | 10 YR 2.1100 : +0.0010 | 30 YR 2.6940 : +0.0090 |
| Pricing as of 3/12/15 5:14PMEST |
Today's Reprice Alerts and Updates
1:13PM : ALERT ISSUED: Incremental Increase in Negative Reprice Risk
1:04PM : ALERT ISSUED: 30yr Auction Was Bad; Negative Reprice Risk
9:56AM : ALERT ISSUED: Once in a Blue Moon, We See a Negative Reprice in This Situation
9:16AM : Stronger Overnight and After Data; US Bonds' Turn to Outperform!
MBS Live Chat Highlights
Adam Dahill : "locked 4 deals before the reprices that were underwater from Friday. Back in Black on all of them. Good job MG and Crew! "
Tim McNerney : "yep yep MH saved two clients today...thanks MBS Live!"
Sergio Szyrko : "got 4 locked in before the reprices...love this site"
Matthew Graham :
"or use the new referral tool and get free time for referring friends/colleagues (http://mndne.ws/1ApUc1s)" Jason Anker : "same here HP"
Tom Schwab : "HP, keep this on the down low and look smarter than him!"
Hugh W. Page : "FYI MG, a cohort in my office uses a competitor service (I'm trying :) ) and literally 1 minute ago rec'd the notice to "lock" due to a bad auction #tenminsaftermbslive"
Matthew Graham : "bottom line 6/32nds vs 9:15am prices = reprice risk. Nothing to do with my outlook on the auction. 30yr auction have a wide range of misses/beats. "
Matthew Graham : "reprice risk is a matter of math."
Matthew Graham : "why would I disagree?"
Scott Rieke : "A 2bp tail on a 30yr auction isn't that bad"
Noah Thompson : "ouch"
Diodato Vannucci : "lots of blinking red"
Matthew Graham : "D"
Matthew Graham : "RTRS- U.S. 29-YEAR 11-MONTH BOND BID-TO-COVER RATIO 2.18, NON-COMP BIDS $11.30 MLN"
Matthew Graham : "RTRS - U.S. SELLS $13 BLN 29-YEAR 11-MONTH BONDS AT HIGH YIELD 2.681 PCT, AWARDS 98.37 PCT OF BIDS AT HIGH"
Matthew Graham : "For those who need to, but haven't read the jargon link, WI is "when-issued." It's a separate 30yr security that trades at the expected yield of today's 30yr auction. So it's like the 'forecast' in a sense."
Matthew Graham : "current WI is 2.667, but that could change by 1pm"
Matthew Graham :
"Average BTC has been 2.54. Average yield has been about half a bp lower than 1pm when-issued. Indirects taking 47%. (jargon definitions if this looks greek: http://mndne.ws/1gIJmzh)"