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Managing Pull-Through in a Volatile Rate Environment

Notes on the Current State of the Secondary Mortgage Market

Concerns Grow Over Freddie/Fannie Price Dislocations

Prospects For Liquidity in Conventional 3.0 MBS And Mortgage...

Loan Pricing, Pipeline Hedging, and MBS Coupon Swaps

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Managing Pull-Through in a Volatile Rate Environment

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by AQ on June 14 2012, 2:50 PM

Benchmark TSYs and rate sheet influential TBAs are continuing their consolidative ways today. I describe this behavior as the market " storing energy " --- energy that can be detrimental to pipeline hedges when released. It was after all the release of...
Notes on the Current State of the Secondary Mortgage Market

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by Bill Berliner on June 05 2012, 2:22 PM

The impressive rally in the bond markets has pushed the 10-year yield to all-time lows, and MBS prices to record high levels. Front-month prices of Fannie 3.5s closed on 6/1 at 105-10, the same day that 10-year yields closed for the first time below the...
Concerns Grow Over Freddie/Fannie Price Dislocations

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by Bill Berliner on May 15 2012, 2:47 PM

One of the themes discussed at the MBA’s recent conference in New York was the idea of “a merger” of the mortgage-backed securities issued by Fannie Mae and Freddie Mac. The FHFA itself now lists one of its goals to "build a single securitization...
Prospects For Liquidity in Conventional 3.0 MBS And Mortgage Rate Implications

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by Bill Berliner on May 02 2012, 1:18 PM

At current near-record levels of consumer mortgage rates, and with MBS prices grinding higher, a natural question is whether rates are poised to push downward to new lows. In turn, a critical issue is whether the market for 30-year conventional 3.0s has...
Loan Pricing, Pipeline Hedging, and MBS Coupon Swaps

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by Bill Berliner on April 26 2012, 2:55 PM

While servicing valuations and the various adjusters are the most obvious factors impacting loan execution and pricing, the price spread between different coupons in the same product (i.e., coupon swaps) also play important factors. We'll take a brief...
Trading in MBS Pools Backed By HARP Loans

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by Bill Berliner on April 18 2012, 12:21 PM

Last week, I wrote about specified pool trading and how originators need to take advantage of pay-up opportunities by selling their production into the specified pool market. A separate but related subject is the market for pools backed by loans issued...
Targeting Slower Prepay Speeds With Specified Pools

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by Bill Berliner on April 11 2012, 10:47 AM

Last week's head-fake selloff and subsequent rally have put MBS prices back in sight of their early-February (and all-time) highs. This in turn has forced investors to look for ways to improve their investment results and carry-adjusted returns. Research...
The Non-Existent Non-Agency Market and Jumbo Lending

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by Bill Berliner on March 30 2012, 10:29 AM

My interest was recently piqued by a report in National Mortgage News entitled “Confidential Report: Jumbo Conduits Folding.” The report stated that “…’several’ conduits formed over the past year have been shuttered...
Examining Some Effects of a Sell-Off on The Secondary Mortgage Market

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by Bill Berliner on March 15 2012, 2:30 PM

The Treasury market has sold off over the last few sessions with a violence that brought the debacle of 1994 to mind for industry veterans. The yield on the 10-year has backed up by about 24 basis points since Monday’s close. What makes it feel...
Effects of Cash Flows on Mortgage Servicing

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by Bill Berliner on March 08 2012, 4:10 PM

As capital market consultants, we spend a lot of time talking and thinking about servicing-what it is, how it is valued, and how it can be expected to behave. While a lot of people in the industry have an understanding of servicing and its related securities...
Examining Factors Affecting ARM Loan Pricing

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by Bill Berliner on February 29 2012, 4:08 PM

A topic of particular current interest is the state of the ARM market , particularly with respect to the factors that drive ARM lending rates. Despite the record-low levels of fixed mortgage rates , the mortgage “curve” remains fairly steep;...
MBS Market Technical Factors: Dollar Rolls

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by Bill Berliner on February 24 2012, 7:25 PM

Previously we discussed the technical factor convexity . Another set of technical factors that impact secondary managers are in the dollar roll market that we discussed a few weeks ago. Dollar rolls (i.e., the price difference between the same security...
MBS Market Technical Factors: Explaining Duration and Convexity

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by Bill Berliner on February 21 2012, 5:33 PM

In a few recent columns, we’ve talked about duration and convexity in the context of changing market prices. They are some of the most misunderstood and misused terms in finance, and clarifying them is probably worth a few column inches. I won’t...
MBS Market Technical Factors: Convexity

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by Bill Berliner on February 12 2012, 10:07 PM

A lot of analysis that gets written will refer to "technical factors" driving valuations. What this is referring to are situations where unique factors are impacting valuations. The classic business school example that comes to mind is the unique case...
The Hidden Mortgage Tax and it's Effect on Loan Pricing

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by Bill Berliner on February 09 2012, 6:50 PM

Normal 0 false false false EN-US X-NONE X-NONE MicrosoftInternetExplorer4 The latest hot issue in the mortgage markets has been the 10 basis point addition to G-fees mandated by the payroll tax cut passed late last year. Unfortunately, the media has only...

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