MBS RECAP: Volatile But Range-Bound to End Month

Given all the volatility of the past 2 months--and especially the past 2 weeks--today's movements in MBS and Treasuries were relatively tame by comparison.  This is most true in terms of the outright highs and lows.  For instance, MBS went no higher than yesterday's highs and didn't even come close to early morning lows.  The volatile aspect of the day was the speed with which prices whipped between those highs and lows.  It was more or less a classic case of month-end/quarter-end volatility and it leaves the broader rate outlook very much in limbo heading into next week's employment data.  There is probably a little bit of positivity that rates markets could scrape together, but pivot points around 2.47 in 10yr yields and 101-15 in Fannie 3.5s are looking fairly ominous unless we happen to blow through them first thing Monday morning. 

MBS Pricing Snapshot

Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.

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.

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3:25PM  :  Month-End 'Pop,' Now Dropping. Nothing Alarming Yet

Nothing severe, but just a quick note to confirm that the rally into 3pm was indeed due to the month-end buy flows suspected. In the grand scheme of late-day month-end buying, the rally was pretty small and the unwind is similarly small, but it is enough to take MBS back into negative territory by a few ticks. Fannie 3.5s are currently down 4 at 101-11. These price levels don't connote any new negative reprice risk.

The next bout of volatility may come from money being shuffled for the stock market close in just under 40 minutes. It will take more pronounced movement to shift the reprice risk situation. Just looking to make it to the exit without dropping below, say, 101-08 in Fannie 3.5s, or rising much above 2.52 in 10s.

2:59PM  :  ALERT ISSUED: GREEN!

Month-end buyers coming out of hiding for a push into the 3pm close. No telling how far it will run, but it's nothing too crazy at the moment. 10's are down to 2.48, but Fannie 3.5s are lovin' it, IN THE GREEN 2 ticks at 101-16. Lenders may be less aggressive than normal with positive reprices amid month-end volatility, but they're possible.

(for what it's worth, we'd also note that we have seen negative reprices on days like this in the past. That doesn't mean we expect them right now, but simply a reminder that "strange" things can happen on month-end. On another note: all this could abruptly reverse at 3pm. Month-end!).

2:11PM  :  Holding Ground For Now, Potentially Thinking About Rallying

After looking shaky heading into the 1pm hour, MBS have been able to hold mostly above 101-06 and are now back up to 101-10. 10yr yields avoided making new highs and stocks have been advancing over the same time. There's still time left for month/quarter-end volatility to upset the relative balance we've been moving toward, but as of right now, the "upsetting" is happening in the right direction for MBS.

1:06PM  :  ALERT ISSUED: Some Signs of Negative Risk Swirling amid Month-End Volatility

Things are getting slippery for MBS. 10's just broke higher from a docile range, up to 2.53 and then quickly back down to 2.525. Fannie 3.5s have gone "illiquid," meaning near-term swings could be shaving bigger than normal chunks of prices off (or adding them quickly back, to be fair).

The bottom line is that it's an incrementally negative development for lenders that repriced positively earlier, but true negative reprice risk is just barely surfacing at best. We're not in a panicked sell-off--just a steady illiquid downtrend since noon. Risks are worse than they were an hour ago, but not disturbingly high. One or two "early crowd" type lenders might consider a negative reprice soon.

11:51AM  :  Fed's Lacker Reiterates "September"; Says Markets Overestimated QE

RTRS- FED'S LACKER SAYS SEPTEMBER IS ONE OF THE POSSIBLE MEETINGS AT WHICH FED COULD TAPER BOND PURCHASES, BUT WILL DEPEND ON THE DATA

RTRS- FED'S LACKER: MARKET REACTION SINCE BERNANKE PRESS CONFERENCE A SIGN THAT MARKETS HAD OVER-ESTIMATED AMOUNT OF BONDS FED WOULD BUY

RTRS- LACKER SAYS FED FACES COMMUNICATIONS CHALLENGE, WAS TOO MUCH TO ASK MARKETS TO SEPARATE NEWS ON SCALING BACK ASSETS FROM EXPECTATIONS OF FUTURE FED RATE HIKES

RTRS- FED'S LACKER SAYS UNREASONABLE NOT TO EXPECT MARKETS TO PULL FORWARD RATE HIKE EXPECTATIONS AS THEY RECALIBRATE ESTIMATES ON BOND BUYING

Live Chat Featured Comments

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Bill Laffey  :  "REPRICE: 3:58 PM - Provident Funding Better"

Michael Mitchell  :  "REPRICE: 3:34 PM - Kinecta Better"

Nate  :  "REPRICE: 3:33 PM - Chase (retail) Better"

Chris Joseph  :  "MG- I'm fairly new to MND, and it helped to save my clients, thousands. Following the site, I was able to lock two of my clients on 6/14 before a worse reprice....and another...and another [you get my point]. Great site, and I can't imagine not having access to this. I recommended it to several colleagues. Thanks."

Rob Clark  :  "REPRICE: 1:10 PM - Provident Funding Worse"

Matthew Carver  :  "I hear ya, MG- point being...this site allows us to operate in real time and make and save real money. "

Matthew Carver  :  "I snuck 2 locks in at Flagstar after the repriced better by almost .375... which lasted an hour as they took it back.... on about 400k - MBS just saved/made me an extra $1,500 in an hour. Love it!"

Matthew Carver  :  "REPRICE: 12:45 PM - Flagstar Worse"

Ira Selwin  :  "Steven - http://www.ffiec.gov/ratespread/aportables.htm"

Steven Klodzin  :  "is there a good website to view the APOR and see its history?"

Matthew Graham  :  "REPRICE: 12:32 PM - Plaza Better"

Jason York  :  "REPRICE: 12:17 PM - Fifth Third Mortgage Better"

Matthew Graham  :  " Matthew Graham (6/19/13 2:42PM): FED'S BERNANKE - IF ECONOMIC FORECASTS CORRECT, ASSET PURCHASES WILL END BY THE MIDDLE OF NEXT YEAR "

Andy Pada  :  "who thought we would be out in June?"

William Hansen  :  "REPRICE: 12:11 PM - NYCB Better"

Andrew Horowitz  :  "yeah that was the REALLLY scary part of his press"

Brent Borcherding  :  "I didn't realize he estimated being out by June."

Gary Bracht  :  "When an airplane stalls out, lots of shuddering, etc. I think the analogy is the same for the economy and FED Speak...lots of bouncing around before we start to fall. "

Andrew Horowitz  :  "it will be market dependant Brent, based on Ben though he anticipated being out of the asset purchase business by June of 2014 (i don't think that happens BTW) so 6/9/12 months under his scenario would be out of the question"

nashjerrod  :  "REPRICE: 12:02 PM - PennyMac Better"

nashjerrod  :  "REPRICE: 12:02 PM - Chase Better"

Eric Franson  :  "REPRICE: 11:51 AM - Wells Fargo Better"

JRS  :  "REPRICE: 11:47 AM - Flagstar Better"

JRS  :  "REPRICE: 11:41 AM - Franklin American Better"

Rob Clark  :  ".25 on 30 year .125 on 15"

Rob Clark  :  "REPRICE: 11:38 AM - Provident Funding Better"

Brandon Feikle  :  "wow.. 3.5 GNMA just went green."

FPH  :  "bam GREEN!!"

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