MBS RECAP: NFP Fires! QE3 Shield Sustains Moderate Damage


It’s not uncommon for MBS to outperform Treasuries into a sell-off, but the pace at which that’s occurring today is surprising. Fannie 3.0s were remarkably UP 1 tick at 105-12 until moments ago, having fallen to 105-09. 10yr yields are almost 5bps higher on the day at 1.72.

Depending on the time of day that a rate sheet was released, the gains already set the stage for potential positive reprices, and we’ve seen a few reported already, but chances of additional reprices are waning as long as we’re back in the red.

105-10 continues to be a good line in the sand to serve as a base of operations as we head into the afternoon. Moving up from there, positive reprice possibilities increase.

Negative reprices are a bit less certain and the levels at which they might occur, harder to gauge. For some lenders, it might require a revisit to the lows of the day, while the ledge of support at 105-04 would be reprice target for lenders who priced slightly later or more aggressively.

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