MBS RECAP: Ides Of March Not As Scary As Billed


Ahead of the 3pm Treasury close, 10yr TSYs are retesting their morning lows at 1.9929 and SP’s have fallen off 3-4 points ahead of “rebalancing” (can imply high volatility in the power hour from 3-4pm).

MBS are suddenly popular since mid-week and they’ve been outperforming ever since. In high volatility, lower-liquidity environments like this afternoon (lower liquidity for MBS due to light supply), we can get a bit of mini snow-ball of price gains. It’s worked out well for us today with Fannie 3.0s up 10 ticks to 102-23.

Most lenders have already repriced, but such levels leave the door open for others (and perhaps some “round 2’s”). There’s no telling what will happen after 4pm though. It’s good for now. If you’re sensing or seeing increased locks at a particular lender, beware the pipeline control reprice from the few lenders that have been known to do such things.

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