Fast Below Par

Boring start to the day but (unconfirmed) headline angst eventually got the best of bonds. Benchmark rates spiked higher around 1pm and no one cared to catch the falling TBA knife. So lower and wider we went. The mortgage basis traded heavy to ratios as levels fell. Lenders repriced for the worse shortly thereafter . Not much movement in rolls but front-month FNCL 4.5s and 5s looked like Jean Claude Van Hamme and Chunk Norris by 4pm... Minimal day-over-day change in mortgage rates though. Just gyrations within the range. @dataQollab AQ mbsmkt.com

DAILY ATTRIBUTION JOURNAL: 2026-04-15 •Ceasefire still in place •G2SF 6.5 roll squeezed •Only reading newspapers now •S&P set another new all-time high •NASDAQ on an eleven-session heater •Honeybadger says oil is its spirit animal •IT denied whitelist request for Hormuz webcam •Study says cannabis creates “false memories” to fill brain gaps •Rates hiding in corner with popcorn watching other markets consume cannabis AD covers TTB in the @dataQollab MBSMKT close below... AQ mbsmkt.com ---- MBSMKT CLOSE 4/15/2026 Unlike yesterday’s sudden rates rally that sparked a good deal of convexity buying, today offered no such spark as flatlining price action along cuspy 5%s inspired no one. Where money managers and hedgies policed the current spaces on Tuesday, most were content with today’s rhythm and left well enough alone---no added duration needed. In fact, negative convexity of agency MBS worked in classic form with shorter duration the only exit ramp as prices tailed off in lower digits. Of more pressing MBS secondary trading needs is the upcoming Class C 48hr day Friday and 72 hr day tomorrow (net-out day for all DTCC clearing members -primary dealers). In that light, the ongoing short in G2 6.5s again became Artemis-like with the Apr/May roll gaining a whopping +3/32nds. Being conservative on TTB estimates and using a “modest” 60 CPR as our driver, that puts the break-even/carry figure at -4/32nds: 17 ticks above carry and a “whoppier” -614 basis point special financing- the seller gets to borrow money at -2.47%-now that’s special. Pity the buyer who needs to cover the open short-probably cheaper to “fail to deliver” at this point. Today’s market lesson-roll very early into a squeeze. • Benchmark rates close out +3bps: 10yr 4.28, 5yr 3.89%, 2yr 3.76%. • MBS prices lost 1/8th to ¼ point, lower coupons dropping the most, as spreads were a tick or two better in the upper half while lower coupons widened a tick. • Current Coupon anchored to 5.21%: +113/5&10yr tsy blend (unch’d). • MBS trading did reach $70B to date, 75% of yesterday’s amount. • Econ Monitor for Thursday: Weekly jobless claims, Philly Fed, IP/CaPU, 2 Fed Speakers (Willliams and Miran). AQ/AD

Rare three-body alignment in the mortgage market today. The right TBA rallied by the right amount at the right time without negatively impacting ratios, rolls, or mults --- and borrowers gained an eighth in rate because of it. Higher and tighter loan pricing sweet spot found! Almost like an invisible $200B hand waved its wand and made magic happen in the most precise way possible...

Bond traders have one very important question for Donald Trump after his live press conference today. How'd you get Door Dash to deliver directly to your desk instead of them leaving your lunch to rot at reception? Seriously. Asking for all my friends on the 7th floor. Hormuz blockade in place as of 10am with lots of word sparring on social media but the ceasefire remains intact. No news is good news for markets I guess because stocks exited the session near intraday highs, oil erased all weekend angst, and rates traded with less conviction than the fact-checker on Truth Social. ~2-3bps better across the curve in light volumes with no strategic progress to show for it. Same story in TBAs but a lack of volatility once again helped embedded optionality outperform. We spotted mortgages directionally 2-7ticks higher in price and 1-2ticks tighter on spread with UIC outfirming others amidst all the sidewaysness. Loan pricing improved optically but not enough to impact pull-through... Someone fact-check the commodities screen. Oil is outlandishly optimistic. AQ mbsmkt.com

mbsmkt.com 5PMs Farva

I swear to God I'll pistol whip the next guy who says "Ceasefire." youtube.com/shorts/N6eNmhi…

Here I sit, loan sale completed. Came to lift, but Donald tweeted. Please enjoy the recap below of news and commentary published on mbsmkt.com today as written by our finely-tuned AI line trader..... AQ/AD ---- Geopolitics dictated direction from the open again today. Stalled U.S.-Iran negotiations, Kharg Island strikes, and an 8pm Hormuz deadline kept noses to the screen and oil on alert with NYMEX briefly pushing north of $117 before backing off. The inflation impulse from energy wasn’t lost on the Fed, with both Williams and Goolsbee flagging rising oil as a stagflationary risk, complicating an already fragile macro backdrop. Rates followed suit early, pushing up toward 4.38% in 10s before retracing as the day wore on, while mortgages once again underperformed in a volatile environment, with spreads leaking wider and the belly taking the brunt amid heavy flows. Prepayment data added another layer albeit already known, with speeds jumping sharply—particularly in higher coupons—as the prior rate rally briefly reignited refinance activity, though more recent rate backup suggests that window may already be closing. By the close, markets had largely round-tripped, equities stabilized despite intraday weakness, and MBS liquidity proved robust but unforgiving—one of those sessions where everything traded, just not particularly well, reinforcing that in a headline-driven, high-vol regime, positioning discipline matters more than conviction. Fact check every headline and then ask yourself if you actually think it's real... AI Grunt

Lenders dropping coal into the primary/secondary spread and watching diamonds pop out. So tight...

Perfect Pull-Through at Max Margins... Rates have no bid for babble or bullsh*t right now.  Empty headlines and endless hot air sent 10s to eight-month highs and left TBAs to bleed out in price and blow out on spread (again). Not the best timing as month-end/quarter-end draw near but lender P&Ls were totally prepared for this shock. Hedgers pre-emptively maxed out shorts (within tolerance, of course) on their perfectly pulled-through, immediately ready for sale pipeline of loans ...all of which were locked without any payup baked into the rate sheet and super conservative day 1 MSR mults that haven't been updated since rates bottomed a month ago....said no one ever. $200B and some old school expertise would go a long way here. @Pulte was that you pushing prod coupons special this afternoon???? Atta boy...keep pushing pls. AQ

Insert hit song by Justin Timberlake and Andy Samberg Things getting weird after hours: "BBG - Trump Says Iran Gave ‘Present’ Tied to Energy Flows in Talks. The president wouldn’t detail the gift, “worth a tremendous amount of money,” but confirmed it was related to energy flows through the Strait of Hormuz." Here's @dataQollab 5PMs if you need 'em...

nodesiretobeonthedeskanylongerthisweekespeciallywithmarchmadnessontvbutfelttheneedtocommentonmarketssoheregoeshnothingasfastaspossible...tailriskriskpushedbenchmarkratesupandthroughseveralsupportstopsthisweekandforcedmortgageswaylowerandwaywiderwiththeonlysignoflifeshowingupinrollsbutonlywherecarryhasroomtoflipspecialunfortunatelythatdidlittletostoplendersfromrepricingfortheworseandthenrepricingfortheworseandthenrepricingfortheworseandnowborrowersareluckytoget6375becauseinvestorsareexploringoutliershockscenariosthatwillonlyleadusdeeperdowntherabbitholetohell.thankyouforyourattentiontothismatterhaveagreatweekendbye. AQ mbsmkt.com MBSMKT CLOSE 3/20/2026 Starting to feel like a war correspondent with all these battle action updates, but Iran war controls oil markets which now control stocks and bonds. It is interesting to see risk averse vehicles like treasuries not benefiting from the fallout elsewhere. The FTQ bid is wavering to say the least and that’s not a good thing for US concerns-- it spills out into all sorts of pricing and interest rate costs and pushes mortgage rates higher, not lower, by a panic elsewhere. The week ahead offers Tier 2 data at best, especially after the latest FOMC meeting indicated no rate cuts and the usual wait and see attitude to rising energy costs and flushing out the effects of tariffs on inflation. Again, we are pushing the range upward, with few dips seemingly bought as we head into the weekend. Have a good one and try and immerse yourselves into whatever diversionary hobbies u can find-NCAA brackets, golf, tennis, anything outdoors-cheer up. • Benchmark Rates rise 13 bps intra-day: 10yr 4.39%, 5yr 4.00%, 2yr 3.89%. • MBS prices lost ¾ to 7/8ths of one point, with spreads 6/32nds wider in 30yr space, while 15/30s were +1/4 point as UIC and shorter duration won. • Current Coupon higher 18bps today alone; 5.47%, +127/5&10yr tsy blend (4bps wider). • MBS trading volume just $80B today as fear won out with traders throwing in the towel early. • Global headlines rule the roost, looking for signs of support  AQ/AD

@iBladesi Grunt responds to a few other names. NSFW

@AQ_MND Thanks grunt.

**PLEASE ENJOY OUR AI GRUNT'S RECAP OF THE MBSMKT NEWS FEED TODAY** A little long-winded and probably too vanilla considering how far mortgages have extended in the past two days, but that's on us and how we've fine-tuned and what temperature settings we're using... AQ mbsmkt.com ---- MBSMKT NEWS FEED RECAP: 3/12/2026 War plus oil shocks rarely make for pleasant bond math, and today’s tape proved that point. The Strait of Hormuz narrative continues to dominate price discovery, and markets spent most of the session repricing the possibility that this conflict lasts longer than traders initially hoped. Energy surged again, equities rolled over, and rates markets found themselves pinned near the upper end of the recent yield range. Treasuries tried several times to stabilize but the tone never improved meaningfully after the overnight session. The 10yr hovered near the mid-4.20s most of the day, unable to attract sustained demand even with equities sliding. That leaves the rate complex in the awkward spot where risk assets are falling but duration still struggles to catch a bid—usually a sign that inflation and energy risk are the dominant macro inputs. Mortgages were predictably softer. When volatility comes from the oil side of the equation, spreads rarely tighten and today was no exception. Lower coupons again took the brunt of the pressure as the stack decompressed and the market questioned how much more widening might be required before the knife stops falling. Trading volume remained respectable but conviction was light, with desks reluctant to add spread exposure while the geopolitical picture remains this fluid. Energy markets were the other major story of the day. Crude surged toward the $100 mark as markets priced the growing probability that the Hormuz closure persists longer than initially assumed. Gasoline prices are now moving rapidly higher domestically, reinforcing the inflation narrative that continues to complicate the rate outlook. The Treasury market did manage to digest the afternoon’s $22B 30-year bond auction without incident. Demand metrics came in better than average and the issue stopped through, suggesting long-end buyers are still willing to step in around current yield levels even if the broader macro backdrop remains uncertain. Economic data offered a mixed but generally stable picture—jobless claims held steady while housing data surprised to the upside with stronger starts, though permits slipped. None of the releases meaningfully shifted the macro narrative already dominating markets: geopolitics, energy, and inflation expectations. Looking ahead, the bigger question remains whether the conflict expands further and keeps energy markets under pressure. For now, traders appear unwilling to make aggressive duration or spread bets until there is clearer visibility on the geopolitical front. Markets could probably use a quiet weekend headline cycle, but given the recent pace of developments that may be asking a bit too much. Market Highlights: -Benchmark Rates pushed higher: 10yr ~4.26%. -Treasury curve flattening further: 2s/10s +52, 5s/10s +39, 2s/5s +13. -MBS prices lower by ¼ to ⅜ point, with lower coupons underperforming. -Current coupon yield ~5.30%, spreads ~125 over 5s/10s blend. -MBS trading volume around $120B. -Oil surged toward $100 as Hormuz disruption risk grows. MBSMKT GRUNT

Doodoo trifecta along moneyness lines for mortgages today. Rate sheets needed a bidet after 10s pushed through 4.20 support. TBA prices lower + MBS basis wider + Stack decompression= Lenders reprice for the worse but worse than usual because that's what happens when you're pricing near par and juicing the IO!  Our cash window model puts the par 30 year fixed C30 rate +10.2bps higher at 6.279%. At some point you gotta admit 6.125% needs to extend in your model... AQ

Market profile matters. A lot.

@iBladesi ha piglet

Bad day to be an mREIT piglet. Added some PMT 11.51.. MFA 9.81.. prob can puke more. Not great bob.

Big volume day in TBAs with some funny movement in rolls (looked like gestation repo). Here's where @dataQollab mbsmkt.com had the market pictured at 445pm.

30yr fixed #mortgagerates only moved up an eighth this week. Not so bad considering 10s jumped 18bps and the MBS Current Coupon gave back 24bps. Hidden rate sheet internals helping stabilize borrower pricing here. Thank you @FannieMae and @FreddieMac for juicing buyups and passing payups thru the cash window (forcing large correspondent buyers and wholesalers to cut margins). That $200B isn't just spent on MBS....