MBS Live: MBS Afternoon Market Summary
If this, by some happy chance, is the first time today that you've looked at bond market activity, congratulations!  Knowing that we were heading into a hugely volatile NFP situation and seeing that MBS lost less than a quarter of point (or that lender pricing deteriorated even less than that vs Thursday) wouldn't seem like that horrible of a day.  It's only those of us that made the mistake of paying attention who were subject to the pain.  Fannie 3.0s eclipsed the week's highs within minutes of NFP,   We doubled them a few minutes later (meaning that we gained 12 ticks at first, bounced, and then another 12 ticks higher) before losing it all by the the close.  Looked at another way, 10am to 4pm was a 24 tick (.75 points) loss, matching the high/low gap of January 3rd, which was the biggest since 9/14/12, a day after the QE3 announcement.  Perhaps the worst thing about the day, other than the throngs of negative reprices, was the doubt cast on the week ahead.  Volume was absolutely staggering, but it was concentrated in the morning hours (it usually is).  Up until noon, prices and yields had been holding their ground more effectively (10yr yields were well behaved under the 1.97% pivot point until noon.  We can only hope that means something when trading starts next week.  We wouldn't be surprised to see this go either way, but if we do get a bounce back toward 1.97, the more important technical zone for 10yr yields to challenge would be 1.92.
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
103-02 : -0-07
FNMA 3.5
105-12 : -0-03
FNMA 4.0
106-09 : -0-02
FNMA 4.5
107-11 : +0-00
GNMA 3.0
104-04 : -0-07
GNMA 3.5
107-14 : -0-03
GNMA 4.0
108-24 : -0-02
GNMA 4.5
109-03 : -0-01
102-19 : -0-07
105-01 : -0-03
106-01 : -0-01
106-13 : +0-00
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.

3:49PM  :  ALERT ISSUED: Things Just Got Crazy... More Reprice Risk.
As intimated in the last alert, we have those little sections of MBS prices marked with corresponding "feelings." The lowest and ugliest is "get me off this crazy thing."

Unfortunately, things just got crazy as Fannie 3.0's ticked below 103-04, currently 103-03. Additional reprices are possible and in many cases, probable.
1:19PM  :  ALERT ISSUED: Reprices All But Guaranteed If You Haven't Seen One Yet. Not Cool...
For those of you in the field today and not witnessing the nauseating splendor of today's chart overlays on the dashboard, we've noted several sections of the chart with descriptions ranging from the most positive "awwwright!" to the most negative: "get me off this crazy thing." We've just now entered the territory one step above the latter, aka "Not Cool..."

Indeed it's not... Fannie 3.0's just ticked into the red for the first time since NFP and are currently 2 ticks above unchanged on the day at 103-10. Reprices have already hit, and from one lender, round 2 just hit. Many appear to have been waiting for the first sign of leveling off before their first round of reprices.

If you haven't seen one yet, they're all but guaranteed. 10's are pushing the mid 1.99's, well over their 1.97 pivot that broke earlier, and stocks are moving in a "risk-on" pattern, stock lever fairly intact. We're clearly meant to believe that "the great rotation" continues to rotate. Markets are being as convincing as they can about that possibility next week while still leaving room for 10yr yields near 2.0 to look like some sort of long term support if we recover. That said, 1.92% looks like the bigger deal for now, just like 1.86 did before it broke.
12:03PM  :  ALERT ISSUED: Unfriendly Breakouts Developing...
Same story... a few more pages in now...

Fannie 3.0's down to 103-14 and 10's up to 1.9762. We'd still see reprices as more justified under 103-14, but the risks are increasing at current levels (obviously, already there for some lenders).
11:57AM  :  ALERT ISSUED: 10's Testing 1.97, MBS Testing 103-16, Reprices Reported!
A few smaller lenders are just out with negative reprices despite MBS having held their ground at a supportive 103-16 pivot. Whether this is the result of increased lock volume or a preemptive defense against an uncertain Friday afternoon, we can only guess. Current levels and recent movements in MBS prices are "not quite there yet" in terms of justifying reprice risk.

That said, recent moves have been more disconcerting than reassuring with Fannie 3.0s back down against their 103-16 pivot point and 10yr yields just barely testing their important pivot at 1.97. Again, we'd emphasize that support is holding there for now, but that we're on the edge.
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.

Matt Sullivan  :  "kinda think we are luck to be where we are"
Chris Kopec  :  "I'll take my 103.07 on the 3.0 and sashay (?) out the door."
Chris Kopec  :  "If someone told me that the Dow would be breaking 14,000 on NFP day, I would have predicted an MBS wipeout."
JRS  :  "REPRICE: 2:56 PM - Franklin American Worse"
JRS  :  "Suntrust is repricing as we speak"
Tom Schwab  :  "2nd AMC worsening"
Tom Schwab  :  "REPRICE: 1:53 PM - AMC Worse"
Jason York  :  "REPRICE: 1:50 PM - Plaza Worse"
Jodi White  :  "REPRICE: 1:45 PM - BB&T Worse"
Gus Floropoulos  :  "REPRICE: 1:44 PM - PHH Worse"
Eric Leithliter  :  "REPRICE: 1:43 PM - MSI Worse"
JRS  :  "REPRICE: 1:39 PM - Stonegate Mortgage Worse"
Michael Tadros  :  "REPRICE: 1:12 PM - Provident Funding Worse"
Eric Franson  :  "REPRICE: 1:12 PM - Wells Fargo Worse"
Tom Schwab  :  "REPRICE: 1:01 PM - Flagstar Worse"
Michael Tadros  :  "REPRICE: 1:01 PM - Sierra Pacific Worse"
Ira Selwin  :  "REPRICE: 1:00 PM - Chase Worse"
Scott Valins  :  "REPRICE: 12:58 PM - Icon Wholesale Worse"
Thomas Nelson  :  "REPRICE: 12:56 PM - NYCB Worse"
Victor Burek  :  "REPRICE: 12:55 PM - Plaza Worse"
Nate Miller  :  "REPRICE: 12:53 PM - Caliber Funding Worse"

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