dataQollab

AI, big data, community, bond trading

[dataQollab @dataQollab]

Econ Calendar is now live on the https://t.co/veGdiY42Qq app. Visit our page to request a demo

[Fast Below Par @AQ_MND]

.@Pulte seems to have taken on @FHFA press secretary responsibilities so I started using @impactcapitoldc's AI to track his tape bombs. Have enjoyed the layered perspective it provides re: the potential impacts on housing and the mortgage market.

Quarter end can't come soon enough. Here's my 03272025 closing marks .

[Fast Below Par @AQ_MND]

FHA has decided to "end the wasteful misappropriation of taxpayer dollars to benefit illegal aliens" ie you gotta have a green card to get an FHA loan now. Times are certainly changing but Alf, ET, and the Dos Equis guy aren't too worried because all 12 of their FHA insured "owner-occupied" properties are locked in at 3.00%. ET is phoning so many homes. Today we heard about 25% tariffs on cars not built by FHA eligible borrowers. Tomorrow @Pulte might make Radon great again.  Stocks sold all day and bonds could not have cared any less. Durable goods data didn't help yields nor did $70bn 5s trading with a tail.  Bear steepening pressed mortgage spreads uniformly wider but performance played out in a choppy manner. Basis movement had me double checking my model all day. Quarter-end window dressing might get weird...

AQ

[Fast Below Par @AQ_MND]

AEI says Donald and his team of Rescue Rangers should consider selling or leasing unused government property to help alleviate the housing affordability crisis. Realtors are lining up to stage CFPB's headquarters for showings and rental agents have been spotted putting bunk beds inside the Dept of Education. Note: Agent sales commissions will not be clearly stated in any listing and will not be negotiated. Rates trading was a tale of two sessions today. Us vs. them. Yields ticked persistently higher overnight and then yields bounced consistently lower all day until a floor was finally found after 3pm marks flashed . It feels like the market is still finding its footing which means consolidation patterns are our friend until tariff tapebombs take out local highs/lows or fawnflation fears are verified with validated econ data. Mortgages naturally underperformed into the superficial intraday bull flattener but the bounce back was enough for lenders to reprice for the better. Mortgage rates have little to show for it though.  Not the worst news for pipeline hedgers...

Durable goods data at 0830, some Fedspeak around 10am, and then $70bn 5s get dutched at 1....

AQ

[Fast Below Par @AQ_MND]

Treasury Secretary Scott Bessent ("Bessy") says the American Dream is all about homeownership, finding purpose, and achieving financial security without having to work two jobs. Bessy also believes "hopelessness" eats away at the American Dream which explains why some loan officers are purposely working two jobs to remedy a lack of financial security because many Americans think homeownership is a hopeless dream. That wasn't the joke for today btw. No no...these MOOOOOving comments from Bessy were preceded by @Pulte completely reshuffling Fannie's and Freddie's boardrooms. Shortly after those 8-Ks printed, GSE employees received a passive aggressive ,,|,, email from HR announcing the Enterprise Hunger Games challenge. As I read it, the vaguely obvious rules outlined in the body of the  ,,|,, email  are actually quite simple . You just have to read between the   ,,|,,  lines. If GSE employees refuse to return to office 5 days a week and do not agree to purchase their lunch from the world class cafeterias that costs a ton of money to operate...then they will get the Tony Soprano series finale treatment. At least markets were calm and volatility isn't an issue for hedgers ,,|,,

[Fast Below Par @AQ_MND]

A WSJ story claims there's a secret Fannie Mae blacklist preventing condo owners from selling their units. Reporters were unable to confirm the story after DOGE eliminated Fannie Mae's condo review team. FED DAY. Jerome sees clouds but has no idea when/if it will actually rain..

[Fast Below Par @AQ_MND]

Commentary opener today: All five parties of Greenland’s parliament have bluntly dismissed Donald’s bid to take over the Arctic island. I guess U.S. property insurers will have to find another less risky geo to replace the business they’ve abandoned in Florida and California.

[Fast Below Par @AQ_MND]

.@dataQollab Class A 48hr day marks. Three different marks provided. Each with a distinct pricing recipe. One of the benefits for hedgers trading OTC products with embedded optionality. There is no right price as long as you can explain logic and demonstrate consistency...#mbs

[dataQollab @dataQollab]

Pre-NFP TBA MBS marks and trading volume summary. Busy morning. Slow afternoon.

[dataQollab @dataQollab]

Our 445pm mortgage market screen. TBA basis has been squirrelly intraday since rate touched max resistance on 3/4/25. LOs now taking calls instead of making them. Will be interesting to see through-the-box reports. Expecting steep <12 WALA ramps next month. #IRRRL #recapture

[Fast Below Par @AQ_MND]

Mortgages saw their heaviest trading volume since May 15th yesterday. FNCL 6s priced near par are the biggest contributor with consistent spikes in the 4pm hour as lenders hedge out. Do not wait for 72-hour day to roll! @MBSLive @dataQollab

[dataQollab @dataQollab]

Did rates go too far too fast again? Benchmark 10s rallied all the way down to 3.77% on a potential Fed pivot but quickly jumped back to 4.00% once 2024 trading opened. Fast Money added heavy new short positions into the move. Market profile matters when setting desk durations.

[dataQollab @dataQollab]

Heavy post-4pm volume today as lenders squared up risk ahead of the holiday. Bid/ask gapped wider when originators were most active though. Dealers finally paying respect to their models again. Steep S-curves have pressed moneyness coupon hedge ratios noticeably lower this week.

[dataQollab @dataQollab]

The mortgage basis couldn't keep pace with the post-FOMC rates rally yesterday. Higher and wider in heavy trading volume. 156% of the 20 day moving average. Lender P&Ls will struggle with margin calls, lock renegotiations, and MSR multiple repricing....

[dataQollab @dataQollab]

TBA MBS closing marks and desk ratios for 11282023. Take note of basis outperformance and volume spikes in 4.5s, 5s, and 5.5s. This is becoming a trend as investors chase a potential 2024 bull steepener. Buying on the relative cheapness of future moneyness within the stack

[Fast Below Par @AQ_MND]

Waterlogged and playing possum...

[Fast Below Par @AQ_MND]

Wonky session along the curve. No amount of lipstick can pretty up this pig. Duration flows were full-bodied as desks scrambled to cover risk amidst an unexpectedly immense bear steepener. Hedge ratios somehow traded thru weightings. Fast below par pls once credit cards come due

[Fast Below Par @AQ_MND]

Lenders are in Philadelphia for the mortgage bankers conference this week. Attendees will be treated to free samples at Costco, gift bags from Five Below, and a set of Britney Spears steak knives. Registration also includes raffle entry. Winner gets one free GSE loan repurchase.