MBS MID-DAY: Roughly Half of Yesterday's Gains Erased; All Part of the Process?

By: Matthew Graham

The day began well enough, with only moderate weakness in domestic bond markets.  Moreover, 10yr yields were doing a great job of holding on to important technical support at 1.95.  The short version of the rest of the day is that 1.95 broke and a classic case of technically-motivated snowball selling carried yields a modest 3bps higher.  If you'd like to hold on to a more positive bigger picture point of view, that's really all you need to know.

If you'd like to know the specific intraday damage, here you go.  It's not the end of the world in terms of losses (roughly half of yesterday's gains), but it seems to have caught mortgage lenders off guard.  Fannie 3.0s are down only 7 ticks, yet lenders have been repricing in droves. 

As for motivation for the weakness, there's nothing salient and satisfying to point to.  Certainly, it had nothing to do with economic data this morning.  Trading levels stayed fairly flat for that.  The biggest factor on days like today is usually the tradeflow shuffle that occurs as a natural byproduct of a big move in either direction.  It's like an afterparty.  Sometimes it's cool, and sometimes this happens.


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
101-31 : -0-08
FNMA 3.5
104-25 : -0-06
FNMA 4.0
106-23 : -0-04
Treasuries
2 YR
0.6130 : +0.0560
10 YR
1.9670 : +0.0490
30 YR
2.5310 : +0.0220
Pricing as of 3/19/15 1:37PMEST

Morning Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
12:52PM  :  ALERT ISSUED: If You Haven't Seen a Reprice Yet, You Probably Will
12:01PM  :  ALERT ISSUED: Slightly More Negative Reprice Risk Now
11:29AM  :  ALERT ISSUED: Slight Increase in Negative Reprice Risk for Some Lenders
9:43AM  :  Quiet Morning; Technical Levels Holding Despite Modest Pull-Back

Live Chat Featured Comments
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Matthew Graham  :  "RTRS- PHILADELPHIA FED EMPLOYMENT INDEX MARCH 3.5 VS FEB 3.9"
Matthew Graham  :  "RTRS- PHILADELPHIA FED PRICES PAID INDEX MARCH -3.0 VS FEB 4.7"
Victor Burek  :  "more weak data"
Matthew Graham  :  "RTRS- PHILADELPHIA FED BUSINESS CONDITIONS MARCH 5.0 (CONSENSUS 7.1) VS FEB 5.2"
Matthew Graham  :  "RTRS- US JOBLESS CLAIMS ROSE TO 291,000 MARCH 14 WEEK (CONSENSUS 292,000) FROM 290,000 PRIOR WEEK (PREVIOUS 289,000)"