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MBS RECAP: Ugly Sell-Off As Econ Data Adds Momentum To Overnight Moves
Posted to: MBS Commentary
Thursday, January 17, 2013 4:07 PM

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MBS Live: MBS Afternoon Market Summary
After Japan's Economy Minister said the Yen had room to move up to 100.0 before becoming problematic, overnight markets started moving higher in rate.  Rumors that the ECB is considering tighter collateral requirements squeezed core EU debt sharply higher in the European hours, and the knockout punch arrived with much stronger-than-expected economic data at the beginning of the US session.  Compared to the overnight and early morning movement, the rest of the day was meaningless, just drifting slightly weaker, then bouncing back microscopically before tripping the really gut-wrenching technical signals in Treasuries.  The 40-60bps chunk missing from rate sheets is gut-wrenching though.  In most cases, half of that was already missing in the first round of rates, with the other half evaporating after MBS leaked lower into the afternoon.
MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
FNMA 3.0
104-00 : -0-13
FNMA 3.5
105-30 : -0-09
FNMA 4.0
106-20 : -0-06
FNMA 4.5
107-20 : -0-03
GNMA 3.0
105-02 : -0-13
GNMA 3.5
107-31 : -0-10
GNMA 4.0
109-05 : -0-07
GNMA 4.5
109-08 : -0-03
FHLMC 3.0
103-22 : -0-13
FHLMC 3.5
105-22 : -0-09
FHLMC 4.0
106-09 : -0-07
FHLMC 4.5
106-27 : -0-03
Pricing as of 4:04 PM EST
Afternoon Reprice Alerts and Updates
Below is a recap of instant Reprice Alerts and updates issued via email and text alert to MBS Live subscribers this afternoon.

12:34PM  :  ALERT ISSUED: Negative Reprices More Likely Now as FN 3.0s Break 104
This will be a quick one as markets are moving quickly. Fannie 3.0's are now down 14 ticks to 103-31. 10yr yields broke over intraday support ceilings, as did stocks. Negative reprices are more likely for a wider group of lenders at these levels.
11:58AM  :  ALERT ISSUED: Back To AM Lows. Negative Reprice Risk Slightly Increased
Fannie 3.0s are back to 104-04, mathcing their lows of the morning. There hasn't been a ton of similar movement suggested by Treasuries, which are instead just traipsing sideways near their highs of the day.

But the move in MBS is a more directional mini-selling-spree from the 104-08 territory during rate sheet print times. It's not necessarily enough movement for most lenders (who already priced conservatively), to add a negative reprice on top of that, but it hasn't shown much desire to bounce back to higher prices.

if we hold here, it's possible we could see an outlying reprice. It would probably take a few ticks of additional weakness to get more than 1 or 2 lenders on board with such things though.
Live Chat Featured Comments
A recap of the featured comments from the MBS Live Dashboard's Live Chat feature, utilized by hundreds of industry professionals each day.

S John Murray  :  "REPRICE: 2:55 PM - Citi Worse"
Steve Chizmadia  :  "REPRICE: 2:00 PM - Pinnacle Worse"
Ira Selwin  :  "REPRICE: 1:50 PM - Wells Fargo Worse"
Charles Tadros  :  "REPRICE: 1:20 PM - Provident Funding Worse"
Chris Kopec  :  "REPRICE: 1:18 PM - Kinecta Worse"
Nate Miller  :  "REPRICE: 1:11 PM - Interbank Worse"
Nate Miller  :  "REPRICE: 1:09 PM - Caliber Funding Worse"
Christopher Stevens  :  "REPRICE: 1:01 PM - Flagstar Worse"
Justin Dudek  :  "REPRICE: 12:58 PM - Everett Financial Worse"
MC  :  "REPRICE: 12:57 PM - Sierra Pacific Worse"
Jason Adams  :  "REPRICE: 12:53 PM - Platinum Mortgage Worse"
Scott Kiesling  :  "REPRICE: 12:49 PM - Florida Capital Bank Mortgage Worse"
Andrew Horowitz  :  "MF Citi's numbers were not as bad as reported their reserve loss will be made up over the course of this year, think they wanted to make the new guy look good "
Matthew Graham  :  "RTRS- FED'S LOCKHART SAYS BOND BUYING WILL LIKELY NEED TO CONTINUE BEYOND MID-2013 "
Matthew Graham  :  "the reason for the pain is in the morning alert and again in the "mid-day." Simply put, the issues are bigger considerations than "mere" US bank earnings."
Mike Ford  :  "but with BofA and Citi awful reports of less profit and huge charges why isn't this helping fixed income markets more today? reports out this morning..they are sucking"
Matthew Graham  :  "RTRS - CITIGROUP CFO: WANT TO SEE OUTCOME OF US DEBT TALKS BEFORE REDUCING MORTGAGE RESERVES "
Justin Bayle  :  "The next time a listing agent insists that my client gets prequalified with her preferred lender I'm going to agree and then tell her that I insist her seller meet with my preferred realtor to be sure he wants to sell his house"

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Mortgage Rates:
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  • 15 Yr FRM 3.12%
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  • Jumbo 30 Year Fixed 3.73%
MBS Prices:
  • 30YR FNMA 4.5 108-12 (0-01)
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  • 30YR FNMA 5.0 110-12 (0-02)
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  • 30YR FNMA 5.5 111-25 (0-00)
Recent Housing Data:
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  • Refinance Index 0.90%
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  • FHFA Home Price Index 0.67%