As a courtesy to our readers who aren't yet subscribers to MBS Live, we wanted to bring you an early update this morning as conditions have grown exceptionally volatile in short order.  As can sometimes be the case with Chicago PMI, market participants who pay to get the data 3 minutes early, started a snowball rolling well ahead of the official 9:45am release.  Sometimes this can prove to be misdirection, but usually moves this big result in exactly the sort of 'mega-beat' seen this morning.  Not only was the headline itself bad for bond markets, but the EMPLOYMENT internal component was exceptionally strong as well as the production component.  As far as bond markets are concerned, these are the two worst internal components to be seeing such strength. 

10yr Treasuries currently look like they may be able to manage a bounce at 2.17, but MBS are currently just under half a point weaker on the morning after starting off in slightly positive territory.  The following will just be copied/pasted alerts from MBS Live (if you would have liked to have received these alerts directly to your phone or email at the timestamped times indicated, you can learn more about subscribing to MBS Live HERE, and check out our LinkedIn recommendations HERE.


Selling Off After Equities Open, Negative Reprice Risk Already?Actually yes, there's already a decent chance of negative reprice risk for any lender that was already out with pricing this morning as MBS and Treasuries are doing some early morning cliff-diving. We don't know what's behind the move at the moment but the spike in Treasuries is BIG and in BIG volume. We expect to get some headline driving the move shortly. 

Reprice risk has gone from "maybe" to "likely" for any lenders out with pricing already during the course of typing these words. More to follow as we learn more.


Update on Latest AlertIt probably would have made sense to look more closely at the clock before sending the last alert considering that we'd already warned about the 9:42am time frame as being potentially volatile due to the early release of Chicago PMI to subscribers, but yeah... that... Big nasty beat on the data. 58.7 vs 50.0. MBS now down 7 ticks to 100-26 and 10's up to 2.1335. Consumer Sentiment in 7 minutes could confirm the move or ease some of the pain. More to follow


More Selling After Consumer Sentiment10yr yields have gone from a docile stroll along the 2.10 area to aggressively testing 2.17 after Consumer Sentiment data came in marginally stronger than expected. The big move was initially motivated by the freakishly strong Chicago PMI at 9:45am. Subscribers to ISM Chicago get that data at 9:42am and when big trades start hitting around that time, it sends shockwaves through markets, usually soon-to-be-confirmed shockwaves after everyone gets a look at the data 3 minutes later.

Consumer Sentiment had a chance to kick the selling into high gear or to suggest moderation. 2.17% was likely to be the scene of the next "test" for 10yr yields and the moderately bullish data was enough to get us there, but not to break through. 10's are currently around 2.16, but trading is active and it's too soon to know whether we're looking at a consolidation for what will be a bigger move into weaker territory, or if 2.17 has indeed held its ground as a supportive ceiling. Hoping for the latter, obviously, as it suggests better prospects for MBS ground-holding.

Speaking of MBS, Fannie 3.0s are down 13 ticks now to 100-20, but quotes and trades are whipping around violently. 4 ticks in either direction is possible in mere seconds. Negative reprices are likely from any lenders who were out with pricing before 9:42am.