MBS Live: MBS Afternoon Market Summary
Though MBS began the day in weaker territory than Treasuries, they were able to (eventually) keep pace with much of the rally that followed this morning's big miss in the ISM Manufacturing data.  Relative to morning levels, bond markets were glowing on both sides heading into the noon hour, even if the rally was over-boosted by short covering (traders who had been betting on higher rates closing their positions by buying bonds after the weak economic data).  But vs Friday's levels, MBS never saw the same day-over-day improvements as Treasuries and the disparity went from bad to worse heading into 1pm.  Though there were technical and tradeflow considerations in play, comments from Fed's Lockhart--simply reiterating the possibility of near term tapering--played an equal or greater part in the overall bond market weakness.  The volatile swing in Treasuries as well as the MBS-specific implications of tapering, are at least 2 factors leading to the hefty underperformance in the mortgage world today (though other factors could be in play as well, such as portfolio shuffling after Friday's month-end session).  Treasuries are currently drifting sideways near unchanged levels while MBS have been 6-8 ticks weaker.
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
100-16 : -0-06
FNMA 3.5
103-15 : -0-07
FNMA 4.0
105-11 : -0-07
FNMA 4.5
106-21 : -0-07
GNMA 3.0
101-30 : -0-02
GNMA 3.5
105-04 : -0-04
GNMA 4.0
106-03 : -0-04
GNMA 4.5
106-19 : -0-07
FHLMC 3.0
100-04 : -0-06
FHLMC 3.5
103-07 : -0-07
FHLMC 4.0
105-02 : -0-08
FHLMC 4.5
105-28 : -0-04
Pricing as of 4:03 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.
1:26PM  :  ALERT ISSUED: Fun While It Lasted. No Longer Fun. More Reprice Risk
Negative reprice risk is now high for any lender that priced or repriced after 10am. The movement looks spiky on the surface but tradeflows in Treasuries have been linear, orderly, and showing a clear bias toward selling after short bets (betting on higher rates) were covered after ISM this morning.

So in other words, bond markets are getting back to their regularly scheduled programming. We'd expect to see support kick in before getting back to pre-ISM levels, but that still leaves plenty of room to fall. Fannie 3.0s are down 6 ticks now at 100-16 and 3.5s are down 4 at 103-18. 10's are back to unchanged on the day at 2.1318.
1:09PM  :  ALERT ISSUED: MBS Change Course; Negative Reprice Risk Building
The current reprice risk environment depends heavily on the lender. Any lender that priced near the highs during the 11am hour may be at risk of negative reprices as we've moved lower by more than 8 ticks since then. Fannie 3.0s are currently unchanged on the day at 100-22 and Fannie 3.5s are down a tick at 103-21. 10yr yields bounced at 2.07 earlier and now look to be confirming that bounce as they move up to 2.12.
11:32AM  :  MBS Well Into Positive Territory; Reprices Soon if Not Already Here
Several lenders have already reported positive reprices as MBS have continued to gain traction into this morning's rally. Fannie 3.0s are up 11 ticks to 101-01 and 3.5s are up 5 ticks to 103-27 (lows earlier this morning were 100-08 and 103-08 respectively, meaning the gains have been well over half a point).

10's are down to 2.086 and briefly tested 2.07. Stocks are sliding lower as well, rounding out the picture for a quintessential 'risk-off' trade following the weak ISM data (and perhaps with some eye toward the technical boundaries of the selling trend.
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.
Rob Clark  :  "REPRICE: 3:06 PM - Provident Funding Worse"
Nate Miller  :  "REPRICE: 3:04 PM - Caliber Funding Worse"
Matt Hodges  :  "REPRICE: 2:13 PM - Suntrust Worse"
Eric Franson  :  "REPRICE: 2:12 PM - Wells Fargo Worse"
Eric Franson  :  "REPRICE: 12:07 PM - Wells Fargo Better"
Gus Floropoulos  :  "REPRICE: 11:58 AM - PHH Better"
Mike Drews  :  "REPRICE: 11:55 AM - USBank Better"
Victor Burek  :  "set by mg, so to change, simply click which you want on the chart..i always keep mine on the 10yr"
Jodi White  :  "REPRICE: 11:55 AM - BB&T Better"
Victor Burek  :  "because that is the current coupon "
Darren Costa  :  "but it defaults back to the 3.0 coupon when I re-open MBS live"
Bryan LaFlamme  :  "Just click that coupon in the Live Pricing box"
Darren Costa  :  "anyway to change the coupon showing on the "Current Chart"?"
Matthew Carver  :  "REPRICE: 11:52 AM - Fifth Third Mortgage Better"
Craig LaBruno  :  "Nice to see some green. I logged on this AM and it looked like it was going to be another one of those days. Nice reversal. "
Bryan LaFlamme  :  "Have we talked about holding below 2.10? One day a trend does not make, but it'd be nice to get started, yeah? Or is that fool's gold until Friday?"
Daniel Kramer  :  "cole taylor better by .40-.50 bps too"
Daniel Kramer  :  "REPRICE: 11:46 AM - Cole Taylor Better"
Chris Kopec  :  "I think it's just a matter of being ready to lock at a moment's notice and making sure all clients have eyes wide open with respect to float risk."
Steven Stone  :  "im normally very bullish on mortgage rates, but i think there is still too much downside...i already lost 3 points, why do i want to lose 6?"
philip mancuso  :  "gus, i'm with you. at worst I'm waiting to post adp to cover some of my long position. I have some house money from the last 2 moves, so I feel pretty good about riding this to just under 102. I'll be much more conservative on Thursday. I'm having a hard time guessing the number. I strongly think we'll be around 125-185 with some downward rev to help. I'm waiting for adp to make a final stab at it though."
Daniel Kramer  :  "REPRICE: 11:31 AM - M&T Bank Better"
Daniel Kramer  :  "M&T .42 bps better"
Andy Pada  :  "finally 12 bps better"
Matthew Graham  :  "yes, testing the trend, in order to move on to the next round, which would be the post Bernanke/FOMC Minutes inflection point seen on 5/22"
Mike Drews  :  "so we're testing right now?"
Victor Burek  :  "very nice...below the trend"
Andy Pada  :  "fannie taking its time refleclting this pop"
Matthew Graham  :  "Here's where we are with respect to the May uptrend in yields: http://screencast.com/t/I55iTyq2Rg0N"
Gus Floropoulos  :  "Im floating to 103"
Frank Guirguis  :  "REPRICE: 11:18 AM - Provident Funding Better"
Matthew Graham  :  "REPRICE: 11:16 AM - Plaza Better"
Roger Moore  :  "got .3 back on that one"
Jason Adams  :  "REPRICE: 11:08 AM - Franklin American Better"
Roger Moore  :  "REPRICE: 11:08 AM - NYCB Better"
Matthew Graham  :  "usual suspects are 2.07-ish short term and 2.04 later in the week"
Victor Burek  :  "mg, any level on the 10yr that could trigger a short squeeze?"
Victor Burek  :  "definitely less likely after today, just how much less is the question"
Jeff Anderson  :  "Exactly, VB. The Fed still can't go anywhere. "
Victor Burek  :  "stocks like qe"
Mike Ford  :  "no stock selloff on the news..weird"
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