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FNMA 3.5
103-02 : +0-03
FNMA 4.0
105-07 : +0-03
FNMA 4.5
106-22 : +0-03
FNMA 5.0
108-01 : +0-01
GNMA 3.5
104-18 : +0-04
GNMA 4.0
107-15 : +0-04
GNMA 4.5
109-10 : +0-03
GNMA 5.0
111-02 : +0-01
102-28 : +0-03
105-01 : +0-03
106-07 : +0-03
107-16 : +0-00
Pricing as of 4:04 PM EST
Afternoon Market Updates
A recap of MBS Market Updates provided by MND Analysts and streamed live to the MBS Live Dashboard.
1:44PM  :  ALERT: Benchmarks Hold Their Ground, MBS Gaining, Reprice Risk Unwound
We got the cue for which we were waiting in benchmarks as 10's crossed back over their earlier pivot along this AM's high yields. At exactly the same time, MBS crossed over their longer term pivot highlighted on this morning's MBS Commentary. The current tick-by-tick chart is linked below, but the bottom line is that previous risks of rate-sheet deterioration are basically gone. MBS looking stronger vs weaker at the moment actually.
1:21PM  :  ALERT: MBS Sideways, Waiting on Cue From Benchmarks
At the risk of putting out too many "alerts" following the auction, we figured the significant portion of our mobile audience would rather have the update than not. We're in a bit of limbo following the the 10yr breakout. Charts are either forming a bear pennant for a continuation higher in yield (bad for MBS) or digging in for a supportive reversal, or even just a sideways grind. (good for MBS). Until that's determined, MBS are sort of hovering around 103-00, with no major moves up or down. Same analysis stands as last time re: meaningful move below 102-30 = riskiest reprice situation.
1:08PM  :  ALERT: Negative Reaction to 30yr Auction Brings MBS Lower
Too soon to say how this will shake out by the end of the day, but 10yr yields popped right out of their range to the high side following a weak 30yr auction. MBS Followed in the form of lower prices, but illiquidity makes price levels a moving target at the moment. Judging by benchmark 10's already over 1.94, and MBS having dipped into the 102-20's a few times since the auction (currently 103-00 though), we'd say reprice risk has certainly increased, but again it's too soon to say for sure what the extent of MBS' capitulation will be given yesterday's underperformance (i.e. maybe they'll make up a bit of that lost ground here). Still, some jumpy lenders might reprice shortly and it wouldn't surprise us. more of a risk if Fannie 3.5's dip meaningfully below 102-30
Featured Market Discussion
A recap of the featured comments from the Live Discussion on the MBS Live Dashboard.
Roger Moore  :  "REPRICE: 2:31 PM - NYCB Better"
Matthew Graham  :  "30yr Auction Considerations: Today's auction is a re-opening of the 3.125 Coupon first auctioned on 11/10/11. Treasury cycles 1 refunding followed by 2 reopenings. The refunding (Treasury RE-"Funding" = new issue) on 11/10 was a sloppy 4.70bps higher than 1pm when-issued whereas the first re-opening on 12/15 was 2.80bps under. In general, re-openings have tended to stop-through lower than 1pm WI's, but have had lighter bid-to-cover ratios. The last 4 refundings have averaged 2.91 while the l"