MBS Live: MBS Afternoon Market Summary

One of the bullet points in this morning's commentary said "bond markets would rather be napping."  As it turns out, they made that dream a reality right from the start of the day.  10yr Treasuries held an outrageously narrow 2.86-2.88 range for all but a few brief moments and MBS were similarly staid.  Additionally, both of them traded increasingly narrow ranges throughout the session, with the afternoon levels well-telegraphed by the "triangles" that were forming in the morning (instance of lower highs and higher lows, implying converging trends in the future).  I've run out of ways to say that bond markets have pulled up stake and are already setting up camp for Wednesday's FOMC Announcement.

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
95-13 : +0-06
FNMA 3.5
99-24 : +0-05
FNMA 4.0
103-10 : +0-03
FNMA 4.5
106-07 : +0-02
GNMA 3.0
96-21 : +0-10
GNMA 3.5
101-01 : +0-06
GNMA 4.0
104-08 : +0-03
GNMA 4.5
106-29 : +0-04
95-04 : +0-08
99-18 : +0-06
103-03 : +0-04
106-01 : +0-02
Pricing as of 4:05 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.

3:21PM  :  Sideways Grind Into Final Hours; Nothing Interesting Happening
There continues to be very little to report as bond markets have stuck to the "exhaustion" script from this morning's commentary. Everything from yesterday morning has been a gigantic, narrow range-trade. The fact that Treasuries and MBS continue in their triangular trading patterns this afternoon is just more confirmation that they'd already given up by the time we first pointed out the triangle this morning.

Even if trading levels deviate from this consolidative pattern, we wouldn't read any significance into that given the drop off in volume (both for the day as a whole, but especially after 12 noon). To reiterate, it's all about next Wednesday's FOMC.
11:39AM  :  Nice Supportive Bounce in Treasuries; MBS Calming Down Now
By way of an update to the last alert, MBS have bounced back a tick and a half after Treasuries put in a solid bounce at 2.88 for the second time today. There's a pretty good base of support underlying that in Treasury futures as well (from a technical standpoint), so the negative risk is dialed back just a bit.

Fannie 4.0s are back up 1 tick on the day at 103-08. They'd fallen to 103-06 at their weakest levels just over 10 minutes ago. Activity is already slowing down for the day.
11:22AM  :  ALERT ISSUED: Already on the Edge of Negative Reprice Risk
If you're looking at the 2-day charts of Fannie 4.0s, Things look a bit worse than they are due to the narrowness of the range. That said, we're not fully immune from negative reprice risk.

Fannie 4.0s are unchanged on the day, but down 7 ticks from their 103-14 highs. Some early lenders may have been looking at prices just below that when they generated rate sheets this morning.

The spikiness of the morning highs make the level of risk a bit of a moving target. Things are likely fairly well contained, but we couldn't rule out one or two lenders pulling the trigger at this point. More developed risk would kick in at 103-05.
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.

Matthew Graham  :  "no way to know exactly when lenders will price it in AD, but probably not all at once (though I think a few did that last time. If so, it wouldn't be for another month or two depending on the lock time frame)."
Alex Lavelle  :  "BS, yes you can do a HARP that has LPMI. It will need to be converted to BPMI. NOO should be fine, depending on lender LTV overlay."
Adam Dahill  :  "sorry if this was asked already (i've been on the road all week) What's going on with the G-Fee? Are rates going to pop another 10bps next week?"
Bryce Schetselaar  :  "HARP experts. A Harp deal can be done if current loan has LPMI, right? Is PMI converted to BPMI? This is a NOO now, is that a problem?"
Jason Anker  :  "FNMA published a guide ont his in 2013"
Victor Burek  :  "did you get a LOE from borrower or employer to overcome"
Matt Hodges  :  "i think solution was LOX from borrower and VOE from HR that her position is held and at same pay"
Matt Hodges  :  "i had this come up specifically with a HP loan this Spring"
Ethan Brizzi  :  "how could they prove it Curt?"
Curt Sandfort  :  "can a lender require proof that a borrower out on maternity leave intends to return to work?"
Jeff Anderson  :  "Interesting charts on the day ahead, MG. Looks like the beginning of the 2013 Year in Review piece. Nice job."

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