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MBS Eerily Steady as Treasuries Weaken Progressively

It's easily the calmest trading day since February for MBS, at least as far as outright volatility is concerned.  2.5 UMBS have almost exclusively maintained an eighth of a point range.  Moreover, they've managed to do so even as 10yr yields have weakened progressively throughout the day, now up 8bps to .68.

All of the above makes for strong amount of tightening in terms of MBS yields vs 10yr Treasury yields.  As a reminder, we only watch MBS prices on MBS Live.  Yields are subjective, based on models of anticipated consumer behavior over time.  The following chart compares that computed yield (courtesy of Eikon) with 10yr Treasury yields.  The lower the blue line, the better MBS are performing vs Treasuries.

20200406 update

Reprice risk has been exclusively a factor of lender-specific considerations (such as capacity, either in terms of staffing or funding lines).  This has been and will continue to be one of the leading factors driving reprice risk in this environment, and there's no reliable way to track it unless you have reason to suspect a particular lender's rate offering is significantly better than others' and better than their previous rate sheet.  

Scheduled economic news has been a non-event today.  The 3yr Treasury auction was poorly received, but not so poorly as to spill over into any discernible market movement (at least not in the markets we care about.  The yield curve did flatten ever-so-slightly).  

MBS / Treasury Market Data

UMBS 3.5
97.70
-0.92
UMBS 4.0
99.61
-0.86
UMBS 4.5
100.88
-0.78
2 YR
3.2298
+0.1810
10 YR
2.8268
+0.1331
Pricing as of: 8/5 5:05PM EST
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