MBS Live: MBS Afternoon Market Summary
It was a heavy day of selling for Treasuries and only a slightly less heavy day of selling for MBS.  In fact MBS did actually lose ground against Treasuries throughout the course of the day but Treasuries lost so much more overnight that the net effect was a Fannie Current Coupon that continued to grind tighter to Treasury benchmarks.  Fannie 3.0s made new all time highs this morning, hitting 104-24, a few ticks higher than yesterday's 104-20 highs and significantly higher than the previous record of 104-13.  Rate sheets seem to suggest that lenders had a lot left to price in to yesterday's rally as rates generally improved despite 3.0s losing more than half a point on the day.  Next week will be very telling as to whether or not we're simply working out the post QE3 kinks or preparing for a stomach-churning reenactment of late 2010's post-QE2 sell-off. 
MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
FNMA 3.5
106-07 : -0-14
FNMA 4.0
107-05 : -0-10
FNMA 4.5
108-02 : -0-06
FNMA 5.0
109-04 : +0-00
GNMA 3.5
108-16 : -0-17
GNMA 4.0
109-24 : -0-11
GNMA 4.5
109-20 : -0-07
GNMA 5.0
110-19 : +0-03
FHLMC 3.5
106-03 : -0-13
FHLMC 4.0
106-30 : -0-09
FHLMC 4.5
107-14 : -0-06
FHLMC 5.0
108-16 : +0-03
Pricing as of 4:05 PM EST
Afternoon Reprice Alerts and Updates
Below is a recap of instant Reprice Alerts and updates issued via email and text alert to MBS Live subscribers this afternoon.

3:41PM  :  ALERT ISSUED: MBS Leaking Slightly In Late Day Illiquidity
Fannie 3.0s are toeing the line at 104-00 currently, their lowest levels since 11am. This is more of a heads up than an out-and-out reprice alert, but this could vary depending on the lender. In terms of price levels vs rate sheet generation time, negative reprices aren't justified, but on a Friday afternoon with potentially high lock volume, the gentle downtrend of the past two hours may be enough to tip the scales. The more we dip below 104, the more those risks develop.

The moves are purely flow-based and not the result of any recent headlines. So there are no fundamental shifts occurring and no events pulling MBS down other than illiquid conditions at the end of a busy day.
3:06PM  :  ALERT ISSUED: Fannie Releases Updates To Refi Plus and DURP, SEL-2012-09
To help lenders more efficiently reach an even broader base of eligible borrowers, Fannie Mae is announcing a number of enhancements to the underwriting and documentation policies for Refi Plus (manual only) and DU Refi Plus mortgage loans including:

  • Reducing representations and warranties
  • Providing an alternative to income verification for Refi Plus loans with payment changes less than or equal to 20%
  • Reducing documentation for income and assets
  • Providing an alternative qualification method when removing a borrower
  • Clarifying use of Hardest Hit Fund programs
  • Removing requirement for Single-Family Comparable Rental Schedule (Form 1007) for investment properties
1:48PM  :  Price Stability Continues As Friday Afternoon Volume Kicks In
Perhaps it would be better to say that Friday afternoon LACK of volume has kicked in as the recent hours have looked much like any other Friday PM. Since experiencing the steep adjustment into the 10am hour, everything has been relatively stable for production MBS with Fannie 3.0s riding a slightly positive trendline from the 103-28 lows to 104-07 currently. 10's haven't backed off their highs quite as much as we'd like but are currently at or under a moderately important pivot point around 1.86. Stocks are at their lowest levels since the cash open at 9:30.

Many lender's rate sheets remained aggressive enough that we wouldn't expect a positive reprice on the current level of stability, but we might not be that far off in other cases. If it were any other day but a Friday, we'd probably expect more, especially among lenders who released their first rate sheet after 10am Eastern. Bottom line, it's possible, but we wouldn't necessarily hold out for it. We'd also stay guarded against the "usual suspects" with respect to pipeline control reprices.
11:30AM  :  ALERT ISSUED: Fight To Hold Ground Resolves In MBS Favor For Now
While the losses mentioned in the latest alert are still sufficient for a few earlier lenders to be repricing for the worse, actual MBS prices seem to have found their footing just under 104-00. 10yr yields rose 1.892 briefly and bounced several times in high volume near those levels before gently inching back down to 1.85's.

We're not especially convinced that we're "out of the woods" yet with respect to further weakness today and are just waiting to see how it plays out. As far as the day's weakest levels just after 10am, all we can say is "so far so good" in terms of defending them. We'll update you if they're threatened again.
Live Chat Featured Comments
A recap of the featured comments from the MBS Live Dashboard's Live Chat feature, utilized by hundreds of industry professionals each day.

Jeff Statz  :  "New: https://www.efanniemae.com/sf/guides/ssg/annltrs/pdf/2012/sel1209.pdf"
Rob Clark  :  "REPRICE: 11:31 AM - Provident Funding Better"
Clayton Sandy  :  "G-Fee for 45 days took effect today. "
Tom Schwab  :  "I am betting my drink money we will be GREEN across the board by end of day today. If I am wrong well I don't need to drink anyway. And I know that Monday will be better too."
Gus Floropoulos  :  "20-40 bps worse on spreads, dep on prog"
Gus Floropoulos  :  "REPRICE: 11:24 AM - PHH Worse"
Rob Clark  :  "Wouldnt the new G fee start coming into play now?"

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