MBS Live: MBS Morning Market Summary
Please note the timestamp on the pricing snapshot below, and that it's about an hour and 15 minutes old.  The snapshot will continue to be generated between 11:00-11:10am while the MID-DAY Commentary time may vary depending on market volatility.  Lately, MBS have had an unfortunate tendency to reverse course after making gains (or at least holding ground) in the first two hours of the day.  When this occurs, our resources are fully allocated to reprice alerts for the MBS Live community.  One of those is already reflected in this recap, but there were two additional instances at 11:33am and 12:12pm.  Those operational details tell about as much of the story as there is to tell for bond markets this morning.  There hasn't been any data, headlines, or events to fuel the volatility.  Tradeflows and pre-FOMC positioning have been dominant, and MBS are not too happy about it this morning.  The biggest pop of selling arrived heading into the 11:00am hour.  That took prices to the levels seen below.  Around 11:30, we moved down another 3-4 ticks in Fannie 3.0s and are currently holding there.  Most every lender has repriced for the worse, beginning at 11:27am.
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
102-15 : -0-02
FNMA 3.5
105-04 : -0-01
FNMA 4.0
106-06 : -0-01
FNMA 4.5
107-02 : -0-01
GNMA 3.0
103-29 : -0-03
GNMA 3.5
107-04 : -0-02
GNMA 4.0
107-28 : -0-02
GNMA 4.5
107-17 : -0-03
102-02 : -0-02
104-28 : -0-02
105-30 : +0-01
106-09 : -0-01
Pricing as of 11:09 AM EST
Morning 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 morning.

10:58AM  :  ALERT ISSUED: Negative Reprice Risk Shows up Early as Techs Break Down
As per the last update, we were just sort of waiting for intraday pivot points to play their cards. They have and we lost this round. the break of 1.94 in 10's resulted in a quick jaunt up to 1.95 and MBS shed their next three ticks fairly quickly. Fannie 3.0s are down to 102-17 and have been trading somewhat choppy between there and 102-18. For lenders who were out with rates before 10am, negative reprice risk is already increasing, even if not "full-blown" yet. We'll let you know if that changes.
10:36AM  :  Some Pressure on Bonds as Stocks Warm up
After topping out at 8:54am, bond markets have ebbed in a linear fashion, back in the other direction. Equities rose out of the gate and there's potentially a small bit of intraday stock lever in play, but things have been too disconnected on that front to draw any solid conclusions.

Whatever the case, 10's are up from 1.92 to 1.94 since 8:54am and MBS are down from 102-24 to 102-20. Early rate sheets most likely took their marks with Fannie 3.0s at 102-22, so we're not quite into 'reprice risk territory' yet.

On a final note, the 1.94 area in Treasuries is both an intermediate and intraday pivot point (meaning it's been more likely to result in bounces vs breaks when approached from either side). We've seen a good bit of sideways grind between there and 1.938 in the past half hour so the next break higher or lower by more than a few bps could result in a bit of follow-through momentum (to around 1.955 on the upside and 1.918 on the downside).

The latter could pose problems for MBS, where Fannie 3.0s would stand a good chance to move into negative territory, making reprice risk more of a reality.
9:13AM  :  Bond Markets in Positive Territory After Overnight Weakness
Treasuries spent most of the overnight session in weaker territory before beginning a grind lower in yield in the few hours leading up to the domestic open. Weaker Yen and Japanese government bonds continued to offer pressure during Asian hours, but European markets didn't play their normal role of reversing said weakness.

German Bunds opened weaker and never made up much ground as peripheral markets tightened (read: Spain and Italy yields fell vs German yields, and anything positive for the periphery has tended to be negative for the core). Lower volume due to holidays in Europe greased the skids for volatility, but the first domestic trading of the day reversed the losses

Treasuries turned positive just before 8am and continued lower to 1.92 just before 9am. They've since bounced up to 1.93 as the day gets underway. MBS opened flat to Friday's close and are now up 6 ticks at 102-23.

Stepping back a few feet and filtering out a relative inconsequential overnight session, you could view this morning's market as a moderate push back against a volatile Friday afternoon. That said, with no data on the calendar and plenty of speculation time ahead of Wednesday's FOMC Minutes (and Bernanke testimony in the morning), volatility can't be ruled out. For now though, confirming a supportive bounce at Friday's lows is "so far so good" with respect to the ongoing set-up of the pre-FOMC range.
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 Anderson  :  "No one wanted to pull the plug when we were up 7 earlier with me. Where's Valins with a hold. It is nice to see an all green board. Let's keep it that way, please."
Jason Anker  :  "yea we gassed out up 6 now we will spend the rest fo the day finding a bottom"
Hugh W. Page, M.B.A.  :  "Borrower has to go I'm pretty sure. Should work though"
Bert Swyers  :  "we will be red soon"
Steve Chizmadia  :  "Somewhat close, but will they talk to me, or does the borrower have to go?"
Steve Chizmadia  :  "Tried ordering the SSA validation 5 different ways with all combinations of First, Middle, Last."
Ted Rood  :  "Just finding this out at funding, Chiz?"
Steve Chizmadia  :  "Have the borrowers SS Card, but we cannot get the SSA to validate the SSN"
Matthew Graham  :  "the last 3 weeks is making any green look good for sure."
Jason Anker  :  "at this point +6 looks good I'm ready to take it"
Jeff Anderson  :  "I'd be happy to call it a day right here. Who's with me?"
Jeff Anderson  :  "Gm, all. Must have turned after 6:05 Oso. Loose Lips Fisher on CNBC right now. He's a character."
Oliver S. Orlicki  :  "Nice turn since 6"
Oliver S. Orlicki  :  "Red already?"
Joel Krupa  :  "Good morning everyone, buckle up!"

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