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MBS Pricing
  Settlement Price Change
MBS
30YR FNMA 3.0   0-00 0-00
30YR FNMA 3.5   0-00 0-00
30YR FNMA 4.0   0-00 0-00
30YR FNMA 4.5   0-00 0-00
30YR FNMA 5.0   0-00 0-00
30YR GNMA 3.0   0-00 0-00
30YR GNMA 3.5   0-00 0-00
30YR GNMA 4.0   0-00 0-00
30YR GNMA 4.5   0-00 0-00
30YR GNMA 5.0   0-00 0-00
30YR FHLMC 3.0   0-00 0-00
30YR FHLMC 3.5   0-00 0-00
30YR FHLMC 4.0   0-00 0-00
30YR FHLMC 4.5   0-00 0-00
30YR FHLMC 5.0   0-00 0-00
  Price Change Yield Change
Treasury
2 YR 0.0000 0.0000 0.0000 0.0000
3 YR 0.0000 0.0000 0.0000 0.0000
5 YR 0.0000 0.0000 0.0000 0.0000
7 YR 0.0000 0.0000 0.0000 0.0000
10 YR 0.0000 0.0000 0.0000 0.0000
30 YR 0.0000 0.0000 0.0000 0.0000
Change the chart by clicking any security in the list.

MBS Live Updates
  • 7/24
    Just a Reminder: Still Some Reprice Risk

    While trading levels haven't changed much since the last reprice alert, but in general the tone remains downbeat in bond markets.  Treasuries are doing a fair job of holding sideways near their high yields of the day, but MBS are arguably in a very slight downtrend.

    Point being, even though current prices aren't much lower, negative reprices are still possible due to the shape of the trend (weak trend heading toward close, some lenders may feel it's safer to reprice).  This wouldn't be a widespread phenomenon at current levels, but we could see a few unless Fannie 3.5s bounce back to 102-04 or higher in fairly short order.

  • 7/24
    Reprice Risk Still Here!

    More of a heads up, and no incremental weakness beyond the first alert of the day, but prices are now back to the levels that first prompted that alert. 

    This is only worth mentioning again due to the fact that New Home Sales data looked as if it would blunt those losses enough to alleviate reprice risk.  In fact, it did, but only for a bit.  Now we're back where we were: modest reprice risk for a few of the fastest-acting lenders.  It would still take more weakness for broader-based reprice risk.

  • 7/24
    Horrid New Home Sales Data Prompts Only a Modest Bounce

    On several occasions in the past, we've seen pronounced reactions to big beats/misses in New Home Sales data.  Today's miss is every bit as big as past 'big misses' (the ones that resulted in big moves), yet we're not seeing much of a response.  Fannie 3.5s have only recovered 2 ticks and 10yr yields are only down to 2.5052 from 2.518. 

    Does this suggest a stronger inherent bias back toward higher yields?  Or do the big miss and big revision to last month's New Home Sales data suggest that it's too volatile at the moment to pay much mind?  Maybe some of both?  Whatever the case, the modest bounce is enough to alleviate the reprice risk that had been building ahead of the data.  Here's a run-down of the report:

    • June New Home sales 406k vs 479k forecast (annual rate)
    • In percentage terms -8.1 percent is biggest drop since July 2013.
    • May revised to 442k from 504k
    • Northeast down 20 percent, Midwest -8.2, South -9.5, West -1.9
    • Supply at 5.8 months, highest since October 2011
  • 7/24
    Another Day With Early Negative Reprice Risk

    For the third straight day, we have a 4+ tick gap between some lenders' rate sheet print times and current prices in the AM hours.  This is the bleeding edge of negative reprice risk and only occasionally results in a lender or two pulling the trigger, but it's still technically a risk.  Risks will likely increase if New Home Sales are stronger than expected at 10am.

    Fannie 3.5s are currently down 9 ticks on the day (4 of them since 9:20am) at 102-05.

  • 7/24
    Bond Markets Notably Weaker Overnight, and Again After Claims Data

    Jobless Claims were significantly stronger than expected.

    • Claims 284k vs 308k forecast, 303k previously
    • Continued Claims 2.5mln vs 2.508mln previously, lowest since June 2007

    Bond markets were already quite a bit weaker overnight, mostly following German Bunds' bounce off recent lows (another one).  10yr yields bounced in a similar fashion between yesterday and today.

    For their part, MBS aren't under quite as much pressure as Treasuries with Fannie 3.5s down only 7 ticks in price compared to 10yr Treasuries' 11 ticks.  The next significant data is New Home Sales at 10am.

  • 7/23
    Selling Accelerates; Negative Reprices a Near Certainty

    While there are always a few lenders that don't reprice with the rest, most of the herd is likely to reprice if current losses don't reverse immediately.  Fannie 3.5s are now down 6 ticks on the day, and at least 6 ticks from the most conservatively-priced rate sheets.  Some lenders are looking at 9 ticks since rate sheets.  If you haven't seen a reprice yet, you probably will.

  • 7/23
    Negative Reprice Risk Increasing Again

    After more of an equivocal reprice situation earlier in the day, we're now seeing enough weakness to expect a bit more reprice risk (still not full-blown though). 

    Fannie 3.5s are down 3 ticks on the day, but 6 ticks from some lenders' rate sheet print times.  10yr yields continue to meet technical resistance around 2.45 and are once again pushing back toward the highs of the day (currently 2.464). 

  • 7/23
    Bond Markets Bounce at Range Boundary; Negative Reprice Risk Increasing

    Much like yesterday's morning weakness, today's introduces a very small amount of reprice risk.  Moreover, some lenders would be more at risk than others depending on the time of morning that they put out rate sheets.

    Fannie 3.5s are down only 1 tick on the day, but 4 ticks (.125) from 10am highs.  This is only the leading edge of negative reprice risk and we may see few, if any, unless prices fall a bit more.

    10yr yields made it as low as 2.449, roughly in line with the recent range boundary before bounding higher to 2.462.  Stocks moved off their morning lows at the same time.  Both moves appear to be pausing for consideration at the moment.

  • 7/23
    Bond Markets Improve Into Domestic Session

    The overnight session was uneventful for Treasuries.  Asian hours saw US 10's hold steady at very slightly weaker levels.  European trading carried yields just a bit higher at first, but we've been in a moderate rally trend since 4am.

    There are very few salient sources of motivation for the move apart from the fact that bond markets seem inclined to be hovering around long term range boundaries ahead of a week that's big enough to potentially break them. 

    If anything, Bank of England (BOE) Minutes and subsequent comments from Carney helped global bond markets in general.  The BOE had talking about raising rates, but the Minutes painted them as less eager to do so.  Carney's comments concerned a weaker labor market--the same sort of cautionary tone with which Yellen speaks of the US labor market. 

    10yr yields have worked their way down to 2.453 and Fannie 3.5s are up 2 ticks at 102-21.  In a departure from recent connectivity with bonds, stocks are also improved, but only after spending the overnight session trading weaker.  It's notable (and sort of a dead giveaway) that stocks and bonds both broke toward more positive levels after a huge central bank remained friendlier than expected with QE.  (i.e. we see this consistently when the Fed, ECB, BOJ, or BOE embarks on or maintains their easy money policies, which benefit both stocks and bonds).

  • 7/22
    Back in Positive Territory After Familiar Rally

    Is European trading having an outsized effect on the domestic bond market?  The past two sessions would seem to suggest this.  Yesterday, bonds rallied together before US markets pulled back in the other direction after Europe closed. 

    Today's dynamic was the same, but in the opposite direction.  In both cases, Treasuries have seen a bit of a 'pop' just before 1pm, as if they were released from some previous obligation and could suddenly do what they please.  This will shortly be marked up on the dashboard chart of 10yr TSYs.

    Whatever the case, the important part is that MBS are back in positive territory and any earlier negative reprice risk is effectively off the table.  Fannie 3.5s are up 1 tick on the day at 102-17.  10yr yields continue to hover around 2.47.

  • 7/22
    Negative Reprice Risk Already a Consideration for Some Lenders

    The timing of this morning's gains and losses makes for one of the earliest possible reprice risk situations.  Indeed, there are still lenders that have yet to put out their first rate sheet of the day while others may already be considering changing theirs.

    Reason being: the highs of the morning were in right at the time of morning when the earliest lenders are generating rate sheets for the day.  Since then, MBS have fallen 6 ticks, more than enough for reprices for some lenders.  While lenders likely didn't base rates off those brief highs, it's still enough weakness that negative reprices among a few early lenders can't be ruled out.

    Fannie 3.5s are down 3 ticks on the day at 102-13.

  • 7/22
    Bonds Bounce Back on CPI After Opening Weaker

    MBS opened 5 ticks weaker after Treasuries spent the overnight session moving steadily higher.  As has been the case of late, stocks and bonds continued moving together, but this time back toward riskier territory.  Of particular note was the move higher in German Bund yields as it's basically another bounce at all time lows.

    The morning's only 8:30am data--CPI--has marked a turning point in the weakness.  In fact, Fannie 3.5s just made it back to positive territory 10 minutes after the data.  10yr yields are down from 2.505 to 2.478.  Here's the run-down:

    • June CPI +.2573 vs +.3 forecast
    • Core CPI +.1291 vs +.2 forecast
    • Food +0.1, Housing +0.1
    • Inflation-adjusted average earnings +0.0 vs -0.1 previously

    This reaction is very important because it's by far and away the most pronounced response to CPI data in at least 4 years.  And for most of that time, it was an utter non-event.  In other words, we knew the day would come where markets would begin tuning back in to the price index data series.  Although we've noted a slight uptick in interest in recent months, today's leaves nothing to the imagination.

    In today's case, it looks like some market participants are/were defensive about the possibility that inflation could come in stronger than expected.  The simplest conclusion is that they're increasingly expecting changes in Fed policy based on inflation metrics.  That stands to reason considering the other half of the Fed's mandate (employment) is already showing the steady improvement needed in order to consider raising rates.  The more inflation we see, the sooner the Fed is seen raising rates.  As a final exclamation point on that thought, short end rates (those most tied to Fed Funds rate) are in positive territory while 10yr and 30yr Treasuries aren't quite there yet.

  • 7/21
    Bond Markets Slide After European Close; Negative Reprice Risk Considerations

    MBS are off 6/32nds from their highs and 10yr yields are up to 2.47 after hitting 2.448 earlier this morning.  Part of the bounce back is the general reversal that took place in conjunction with stocks around 11am. 

    The other factor is the European market close at 1pm.  A few big trades came through at 1:05, which accelerated the move that was already in progress. 

    A few caveats:

    1. We've already seen a few subsequent trades that have "bought the dip" for lack of a better term.  In other words, yields rose quickly, but buyers saw an opportunity there.  While this doesn't mean those buyers couldn't soon be overwhelmed by broader selling pressure, it at least slows down the selling.

    2. MBS prices still aren't far enough away from morning rate sheet print times to cause significant negative reprice risk (only 3 ticks in most cases).  One of two lenders may be considering a reprice, but we'd need to see a few more ticks of weakness before reprices became more universally possible.

  • 7/21
    Bond Market Gains Accelerate as Stocks Slide

    In the first hour of cash trading, equities markets had been choppy and slightly weaker.  They took a sharper nose dive about 5 minutes ago and bond yields followed.  In general, the stock lever has been fairly well connected as bonds don't have much else to go on today.

    10yr yields are down 3bps now at 2.453 and Fannie 3.5s are up 6 ticks at 102-19.

  • 7/21
    Bond Markets Hold Gains Through Weekend as Global Tensions Intensify

    As we discussed late last week, the ability for bond markets to hold gains related to geopolitical risk would be predicated on those risks intensifying.  Arguably, that's the case in both Ukraine and Gaza over the weekend as hostilities and casualties increased.

    That said, there weren't any surprises to catch markets off guard in the same way that some of last week's did.  As such, the bond market gains are modest.

    Japanese markets were closed for a national holiday, making for a slow start to the overnight session.  The European session saw sideways movement in core government debt.  German Bunds (10yr) traded modestly to either side of all time low yields

    Treasuries traded on either side of Friday's close, but have edged into slightly more positive territory as the domestic session gets underway.  MBS opened in line with Friday's close, but have added 2 ticks so far, bringing Fannie 3.5s to 105-21.

    There are no significant events on the calendar, leaving the focus geopolitics and perhaps domestic stock trading.

  • 7/18
    Sell-Off Subsides For Now; Slightly Diminishing Reprice Risk

    MBS are 4 ticks (.125) higher now vs their weakest levels around 12:40pm.  10yr yields bounced back into the 2.48's.  While this could always turn out to be a temporary pause in an ongoing trend of weakness, it's slightly more than a random movement for now, and one that decreases the negative reprice risk that had been increasing until now.

    Some lenders may already have those balls in motion, but others that were on a fence may now be holding off.  All that having been said, it's not the kind of bounce that's anywhere close to tipping the scales toward positive reprices.  Point being: if you were going to lock today, we're not seeing any reasons to wait.

  • 7/18
    Negative Reprices Increasingly Possible

    The technical level in 10yr yields mentioned in the last alert is now being tested (2.4944).  MBS continue to outperform on the way down, but this bout of weakness could still pull them to lower lows.  That would increase the chances of negative reprices.  Fannie 3.5s are down 6 ticks at 102-09 currently.  We'll likely see more weakness if 10's break over 2.4944.

  • 7/18
    On Shaky Ground; Negative Reprice Risk Looming

    We're just now edging up to that special imaginary line where negative reprice risk first becomes a consideration.  Depending on how things proceed from here, we may not see many, but the chances increase with each tick lower from here.  A few lenders are probably close.

    Treasury yields are well-connected with stock prices at the moment.  Global financial markets are simply trading "risk-on" vs "risk-off" yesterday.  MBS are keeping pace with Treasuries.  As 10's broke to new high yields just now, MBS hit new price lows.  Fannie 3.5s are down 6 ticks at 102-09 presently.

  • 7/18
    Bond Markets Weaker Overnight; Bouncing Back Into Domestic Session

    After yesterday's decisive rally, Asia's first conclusion was that the rally had gone far enough.  Asian accounts sold Treasuries somewhat aggressively in the first part of the overnight session, taking 10yr yields from 2.44+ to  2.49+. 

    The bad times kept rolling for a few hours of the European session, but never bad enough to lift German Bund yields more than a few bps off the all-time closing lows seen yesterday.  Selling reversed course around 5am, and Bunds pushed into new lows yet again. 

    Treasuries were happy enough to come along for the ride with the Bund rally.  10's made it back to 2.46 and have been going mostly sideways since then.  MBS are 3 ticks weaker at 102-12 (Fannie 3.5s) and going even more sideways than Treasuries. 

    Why are MBS red and Treasuries green right now?  Treasuries are technically in the green because the official close is at 3pm.  MBS's close is at 5pm.  So the day-over-day changes are based on those times respectively.  Because there was more rallying from 3 to 5pm, MBS are measured against those stronger levels while Treasuries only have to beat the 3pm levels to be green.

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