MBS Live: MBS Afternoon Market Summary
As you might expect, the first day back on line after an unscheduled 1.5 days off was a somewhat volatile one for bond markets.  The fact that it was the last day of the month did end up providing a decent level of support with both MBS and Treasuries ending in the green.  MBS began the day in line with Friday's latest levels and moved higher throughout the session.  Both MBS and Treasuries made a push to their best levels of the day into the 3pm Treasury close, with each backing off slightly from their.  Fannie 3.0 MBS hit 105-00 at their highs, but were trading at 104-28 to 104-29 in the last hour.  Economic data was largely a non-issue today as structural concerns dominated.  That could change in the next two days as a glut of data hits tomorrow and Friday brings NFP.
MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
FNMA 3.0
104-29 : +0-07
FNMA 3.5
106-16 : +0-06
FNMA 4.0
107-03 : +0-07
FNMA 4.5
107-28 : +0-05
GNMA 3.0
106-11 : +0-08
GNMA 3.5
108-26 : +0-07
GNMA 4.0
109-13 : +0-08
GNMA 4.5
108-24 : +0-06
FHLMC 3.0
104-22 : +0-07
FHLMC 3.5
106-09 : +0-07
FHLMC 4.0
106-22 : +0-06
FHLMC 4.5
107-05 : +0-09
Pricing as of 4:06 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.
2:54PM  :  ALERT ISSUED: Highest Levels In More Than Two Weeks. Positive Reprices?
The day continues to live up to expectations of chunky tradeflows borne of necessity rather than liquidity, but has been surprisingly positive in the process. In other words, some folks MUST buy longer-duration fixed-income assets today (like MBS!) in order to bring their portfolios in line with certain indexes by the end of the month.

With the first day back from unscheduled down-time being the last day of the month, expecting a certain level of month-end support was a safe and logical call, but we didn't know how it would balance out against the broader strokes of risk-on vs risk-off. Were markets in some sort of weather-related flight-to-quality, destined to unwind that uncertainty premium when trading started back up?

As it happens, no... apparently not. Stocks have been mostly down since the open and we've seen a surprising amount of stock lever. But now we're seeing the rest of the last minute Month-End "duration grab." This is bringing longer-dated Treasuries lower in yield and MBS higher in price.

Prices aren't so much higher than 10am levels that we'd necessarily EXPECT positive reprices, but they're starting to feel possible at this point. That said, we'd imagine lenders are less concerned with today's locks and more concerned with attending to more pressing month-end matters. The morning rate sheets already showed us that. Bottom line, this alert lets you know that MBS prices are higher (9 ticks up in Fannie 3.0s to 104-31), and that positive reprice outlook is improved, but remains muted by the circumstances.
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.
Christopher Stevens  :  "REPRICE: 3:27 PM - Chase Better"
Andrew Benson  :  "REPRICE: 3:08 PM - Interbank Better"
Andrew Benson  :  "REPRICE: 2:58 PM - Sierra Pacific Better"
Matthew Graham  :  "NFP/ADP over time: http://tinyurl.com/cdrv6qq . lots of month-to-month inconsistency, but broadly in line as Hodges notes. "
Matthew Graham  :  "wow Hodges, bravo on making the deduction before I even had time to type it. Well done."
Matthew Graham  :  "There's a sort of underlying deduction to be made here as well... If ADP is suddenly doing a much better job of matching BLS final numbers, then it may well receive extra attention tomorrow"
Matt Hodges  :  "mg - are you suggesting that ADP will be more accepted on a monthly basis, versus just as a broad correlation over time?"
Matthew Graham  :  "it's not moving markets because it's basically "mission accomplished" if the goal was to make ADP revisions more closely match BLS revisions"
Matthew Graham  :  "september's ADP vastly overshot BLS private payrolls"
Matthew Graham  :  "it's not really much of a surprise for the new methodology to bring september's revision lower. It just brings it more in line with BLS numbers, just like ADP said would happen"
Jason York  :  "revisions are like newspaper retractions, original headline is on page 1, in bright colors, and revisions, show up in page 10, next to the obituaries"
Victor Burek  :  "doesnt seem to be having much impact as we have held aroudn this level for most of the day"
Victor Burek  :  "backward looking"
Kunal Khanna  :  "So is that ADP data/info good for us right?"
Matthew Graham  :  "http://www.adpemploymentreport.com/docs/ADP_NER_FAQ.pdf"
Matthew Graham  :  "They said they were using a new formula, but not that it would result in a relatively lower reading"
Justin Bayle  :  "that begs the question, why did they change formulas?"
Michael Kelleher  :  "didn't they just say they were using a new formula and that is why it went down 80,000?"
Paul Carlin  :  "ADP Mistakenly Sends Out September Job Creation Revision Early, Cutting Number to 88,200 From 162,000 Initially . CNBC"
Michael Kelleher  :  "under new report though right?"
Oliver S. Orlicki  :  "88k from 162k"
Rob Clark  :  "Oops. Zandi is helping them now. Sept numbers cut in half"
Justin Bayle  :  "CNBC reporting they accidentally released their Sept. job creation revisions"
Justin Bayle  :  "ADP made a boo boo?"
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