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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

12/4

Drifting Sideways, Holding Near Highs After Hours

Fannie 4.0s are right in line with the prices seen immediately following this morning's weaker-than-expected ISM data (103-16). They've held between there and 103-13 ever since. If anything, they're erring toward the highs as we work our way through after hours for bond markets (3pm-5pm).

That strength is more a factor of their relative outperformance of a more decidedly flat/neutral Treasury complex. 10's aren't nearly as close to their best post-10am levels. In other words, after nearly two weeks of MBS getting trounced by Treasuries, we have a bit of a correction over the past 5 and a half hours. Not much else to it, and certainly nothing significant, though the stability has afforded a few lenders the opportunity to reprice positively.
12/4

New Home Sales Stronger Than Expected

- New Home Sales 444k vs 428 forecast, 354k previously
- Single Family Sales +25.4 pct, biggest rise since 1980
- Median prices $245.8k, down 0.6 pct year over year

Market Reaction: Taken in and of itself, this would have a negative impact on MBS prices, but the ISM data out at the same time is a more potent market mover. As such, bond markets are slightly improved since 10am, but this New Home Sales data has likely limited the positive bounce.

Sales of new single-family houses in October 2013 were at a seasonally adjusted annual rate of 444,000, according to estimates released jointly today by the U.S. Census Bureau and the Department of Housing and Urban Development. This is 25.4 percent (±19.2%) above the revised September rate of 354,000 and is 21.6 percent (±15.6%) above the October 2012 estimate of 365,000.

The median sales price of new houses sold in October 2013 was $245,800; the average sales price was $321,700. The seasonally adjusted estimate of new houses for sale at the end of October was 183,000. This represents a supply of 4.9 months at the current sales rate.

http://www.census.gov/construction/nrs/
12/4

ECON: ISM Non-Manufacturing Weaker Than Expected

- ISM Services PMI 53.9 vs 55.0 forecast, 55.4 previously
- Employment 52.6 vs 56.2 previously
- Employment lowest since May

- Market Reaction: helping to stem the losses inspired by this morning's ADP data, though it's only been worth 2bps in terms of 10yr yields so far and 7 ticks for Fannie 4.0s.

"This indicates continued growth at a slower rate in the non-manufacturing sector. The Non-Manufacturing Business Activity Index decreased to 55.5 percent, which is 4.2 percentage points lower than the 59.7 percent reported in October, reflecting growth for the 52nd consecutive month, but at a slower rate. The New Orders Index decreased slightly by 0.4 percentage point to 56.4 percent, and the Employment Index decreased 3.7 percentage points to 52.5 percent, indicating growth in employment for the 16th consecutive month, but at a slower rate. The Prices Index decreased 3.9 percentage points to 52.2 percent, indicating prices increased at a slower rate in November when compared to October. According to the NMI®, 11 non-manufacturing industries reported growth in November. Respondents' comments for the most part indicate the non-manufacturing sector is maintaining a steady course of incremental growth and a positive outlook for the upcoming months."

http://www.ism.ws/ismreport/nonmfgrob.cfm
12/4

Bond Markets Reeling After ADP Data; Waiting on ISM

Overnight volatility was minimal with 10yr yields holding under 2.81 until the start of the domestic session. The ADP Employment figures hit at 8:15am coming in at 215k payrolls vs a forecast of 173k. Bond markets immediately sold off and have only leaked lower since then.

Fannie 3.5s are off the radar now and we'll be switching to follow 4.0s today (down 18 ticks to 99-22). Fannie 4.0s are down 17 ticks at 103-10. 10yr yields are up more than 7 ticks at 2.8479. S&Ps are off 10 points but did most of their selling before the data.

There's more to come as well. ISM Non-Manufacturing is an important report coming up at 10am and can have a big impact. If it's similarly stronger than expected, MBS could continue lower. If it's weaker, it could mark the point at which we level off for the day.
12/3

Weakness Becoming Incrementally More Serious, Still not Full-Blown

Fannie 4.0s have shed a few more ticks and are now down 2 on the day at 103-29. Fannie 3.5s are down 1 at 100-10. Both are the lowest levels of the day and both speak to the incrementally increased possibility of negative reprices. The losses still aren't enough to bring all lenders in to the mix, but a few are likely at this point.
12/3

MBS Back to Lows; Reprice Outlook Shifting

The reprice outlook is shifting negatively once again, though remains far from full-blown. Fannie 4.0s are back to their lows of the session, still up 1 tick on the day at 103-31. Fannie 3.5s are still up 1 tick as well, but 7 ticks off earlier highs (101-11 vs 101-18). Some lenders may consider negative reprices at these levels, but increasingly so if we move and hold lower. That's yet to be determined as these are the same lows seen this morning. Bottom line: slight risk for some lenders, but most probably won't reprice unless we lose a bit more ground.
12/3

MBS Alert - MBS Holding Ground

MBS and Treasuries have both managed to crawl back from their lows of the day and are holding ground. Reprice risk has diminished as we are near opening levels.
12/3

MBS at Lows; Negative Reprice Risk Increasing

MBS and Treasuries both put in their best levels of the morning at 9am. They'd weakened moderately at first, but have been more serious about it in the past 10 minutes. Fannie 3.5s are far enough off from a few early lenders' rate sheet print times that negative reprices can't be ruled out (6 ticks off highs, currently still +1 on the day at 100-12). 10yr yields are up to 2.784 from 2.765 earlier.
12/3

Bond Markets Hold Ground Overnight, Extending Gains in Light Volume

Treasuries trickled sideways to begin the overnight session with yields never going higher than Monday's highest. 10's began improving into European hours despite German Bunds making new yield highs.

Volume has been light in the absence of significant data or events. Both the domestic and overseas accounts that are trading have treated 2.81% in 10yr yields as supportive ceiling pending more compelling reasons for weakness.

As such, if yields aren't moving higher, they're moving lower--albeit modestly. 10's are down to 2.768, Fannie 3.5s are up 6 ticks to 100-16 and Fannie 4.0s are up 4 ticks at 104-03. Again, there is nothing significant on the calendar today and so far, it's turning out to be a modest, corrective bounce back against yesterday's data-driven weakness.
12/2

MBS Hit New Lows; Negative Reprices Can't be Ruled Out

Fannie 3.5s are now about half a point lower on the day at 100-12. 10yr yields are just now pushing into new highs, up 6bps at 2.8024. Lenders who released rate sheets before this morning's ISM data may be considering negative reprices.
12/2

ECON: ISM Manufacturing Comes in Stronger, MBS Sell Off

- PMI 57.3 vs 55.0 forecast, 56.4 previously
- Employment Index 56.5 vs 53.2 previously
- PMI highest since April 2011
- Makret Reaction: MBS and Treasuries both move to weakest levels of the session, but haven't extended much beyond the previous boundaries yet.

Manufacturing expanded in October as the PMI™ registered 56.4 percent, an increase of 0.2 percentage point when compared to September's reading of 56.2 percent. A reading above 50 percent indicates that the manufacturing economy is generally expanding; below 50 percent indicates that it is generally contracting.

A PMI™ in excess of 42.2 percent, over a period of time, generally indicates an expansion of the overall economy. Therefore, the October PMI™ indicates growth for the 53rd consecutive month in the overall economy, and indicates expansion in the manufacturing sector for the fifth consecutive month. Holcomb stated, "The past relationship between the PMI™ and the overall economy indicates that the average PMI™ for January through October (53.3 percent) corresponds to a 3.5 percent increase in real gross domestic product (GDP) on an annualized basis. In addition, if the PMI™ for October (56.4 percent) is annualized, it corresponds to a 4.4 percent increase in real GDP annually."

http://www.ism.ws/ismreport/mfgrob.cfm
12/2

Bond Markets Weaker After ISM Data

ISM 57.3 vs 55.0 forecast and 56.4 previously. MBS and Treasuries are both weakening. More to follow...
12/2

Bond Markets Weaker Overnight; Waiting on ISM Data

The overnight session began with moderate selling in Asia, but Treasury losses were relatively contained until European hours. Stronger-than-expected data in Europe as well as technical selling in German Bunds pushed US Treasury yields higher from 3:30am to 6am. 10yrs crested 2.80 but have eased somewhat into domestic hours--now down to 2.781.

MBS opened almost 3/8ths of a point weaker and Fannie 3.5s are currently down 9 ticks at 100-18 and 4.0s are down 6 ticks at 104-05. At these levels, Fannie 4.0s get a majority of new origination, but 3.5s remain relevant because virtually every rate sheet will have available rates destined for 3.5 coupons.

Today's one and only significant piece of domestic economic data arrives at 10am with the ISM Manufacturing Index--seen coming in at 55.0 vs 56.4 last time.
11/29

Bond Markets Slightly Weaker; Very Light Activity

Unsurprisingly, there is not a lot going on today for bond markets and MBS. The light volume means that anyone left trading now comprises a bigger piece of the overall market, thus making it easier to push prices around. That's resulted in losses so far today.

Essentially nothing happened for Treasuries throughout the overnight session. After closing at 2.74 (10yr yields) on Wednesday, they traded between there and 2.76 overnight. Right around 8:30am, a larger block sale came through in Treasuries futures, kicking off a run to 2.766.

Such a market mover would be counted in the category we refer to as "tradeflow considerations." Every time the end of the month rolls around, various accounts are compelled to buy and sell certain amounts of certain securities to meet month-end portfolio requirements. There's no special list that tells us how much of that has already happened, but observation and logic suggest "more than usual" for the last day of the month. The net effect is that we're missing out on the mild, persistent, supportive buying that we sometimes see. It's possible some of that is waiting in the wings for later in the morning, but we won't know unless/until it happens.

MBS aren't much worse for the wear, only down 2 ticks in Fannie 3.5s to 100-26. Fannie 4.0s are down 104-09. There are no relevant headline or data considerations on the calendar for the rest of the day, and bond markets close early at 2pm.
11/27

Looks Like We're Turning The Corner

We've been stepping back from the edge for just over an hour now and have put enough distance between ourselves and the lows that it's probably safe to conclude the selling momentum has abated for today. Treasuries are being scooped up opportunistically just a bit as are MBS. This has brought Fannie 3.5s up to 100-27 from 100-19 earlier. We're right in line with where we leveled-off following the Chicago PMI and Consumer Sentiment selling spree.

Does that mean lenders will now reprice positively? Tough question right now. Certainly, there is less impetus than there otherwise would be due to the extended weekend ahead (half day on Friday, to be fair). Even then, it could be a bit early still for most lenders. Indeed some may still have negative reprices to get out. But there is some small chance for an odd positive reprice or two if this bounce back holds at current levels or moves higher. All we know about those chickens is that they're, as yet, unhatched.
11/27

More New Lows for MBS; Reprice Risk is Ongoing

There are only going to be a few lenders out there who aren't at risk for negative reprices and you will likely be able to tell based on the lateness of their rate sheets and the noticeably weaker pricing. Even then, we still couldn't rule out reprice risk for any lender who was out with rates more than 5 minutes ago

Bond markets are starting to try very hard to have one of their familiar pre-Thanksgiving meltdowns. 10yr yields are off to the races, up to 2.757 moments ago. Fannie 3.5s are down almost half a point at 100-24.
11/27

ECON: Consumer Sentiment Stronger Than Expected

- Sentiment 75.1 vs 73.5 forecast
- Current Conditions 88.0 vs 89.0 forecast
- expectations 66.8 vs 66.2 forecast
- 12-month outlook 79 vs 72 previously
- Market Reaction: covered in previous alert.

(Reuters) - U.S. consumer sentiment rose in November as wealthier Americans' outlook on the economy improved, a survey released on Wednesday showed.

The Thomson Reuters/University of Michigan's final reading on the overall index on consumer sentiment measured 75.1 for November, up from a final reading of 73.2 in October and above the median forecast of 73.5 among economists polled by Reuters.

"While rising stock prices and low interest rates will favor holiday sales of upper-end consumers, lower income households were still more concerned about job gains," survey director Richard Curtin said in a statement.

The preliminary November reading of the overall index was reported at 72.0 earlier this month.

The survey's barometer of current economic conditions fell to 88.0 in November from 89.9 in October. The final figure was higher than the preliminary November reading of 87.2 but came in below a forecast of 89.0.

http://www.reuters.com/article/2013/11/27...
11/27

More Weakness After Consumer Sentiment; Reprice Risk For Some

If your lender was already out with rates before Consumer Sentiment and Chicago PMI, negative reprices are possible as MBS have fallen the better part of a quarter point. Fannie 3.5s are down 8 ticks on the day at 100-30 and 10yr yields have spiked from 2.71 to 2.74 in short order.
11/27

MBS Hit Weakest Levels Following Chicago PMI

Just a quick heads up here between PMI and Consumer Sentiment data (which will either help bookend the range or accelerate the losses) that MBS are now back to their lows of the day and Treasuries are already into new high yields.
11/27

ECON: Chicago PMI Stronger Than Expected

- PMI 63.0 vs 60.0 forecast, 65.9 previously
- Employment Index 60.9 vs 57.7 previously
- Market Reaction: as tends to be the case with Chicago PMI, a good amount of the market reaction was seen just before the official release of the data because ISM subscribers receive it (and trade on it!) 3 minutes early. As such, a spiky movement at 9:42am is usually a giveaway. In this case, the stronger data is resulting in weaker bond markets.

The November Chicago Business Barometer softened to 63.0 after October’s sharp rise to a 31-month high of 65.9. November’s slight correction came amid mild declines in New Orders, Production and Order Backlogs after double digit gains in the prior month.

Despite November’s weakening, the Barometer remained well above 60 for the second month, pushing the three month moving average to the highest level since November 2011.

Chicago area purchasers continued to report healthy expansion in New Orders and Order Backlogs, albeit at a slower rate, as well as a lengthening in Supplier Delivery Times.

Employment was up for the second consecutive month, reaching the highest level since October 2011, and the first time above 60 since February 2012.

https://www.ism-chicago.org/chapters/ism...

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