MBS Live: MBS Afternoon Market Summary
The week continues to be every bit as riveting as expected, which is to say it's not-at-all riveting.  At least today's version of inconsequential drifting was the one where we move higher in price.  The counterpoint is that not much of the gains in price made it through to rate sheets, largely because lenders held off on repricing worse yesterday and today's prices didn't even crest yesterday's 9:30am levels until after the 10yr Auction.  When they did, it was by 2 and a half ticks.  Not a huge deal, and not a huge gain on rate sheets.  The auction was the only tradable event of the domestic session, with most of the volume and movement coming in the European hours.  Tomorrow offers another chance to see if data can stir sleepy summertime markets with Jobless Claims.  If the data and the auction result are on the same page, it could be good for bond markets, but lenders are likely to be less aggressive until Class A settlement is over.  Tomorrow is roll day (prices will "drop" at the close as August Fannie/Freddie 30's are retired and September prices take over).
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
97-01 : +0-12
FNMA 3.5
100-29 : +0-10
FNMA 4.0
104-01 : +0-08
FNMA 4.5
106-08 : +0-08
GNMA 3.0
98-02 : +0-11
GNMA 3.5
102-00 : +0-09
GNMA 4.0
104-22 : +0-07
GNMA 4.5
106-17 : +0-06
FHLMC 3.0
96-21 : +0-11
FHLMC 3.5
100-19 : +0-10
FHLMC 4.0
103-26 : +0-07
FHLMC 4.5
105-24 : +0-08
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.

2:38PM  :  Postive Reprice Potential Moderately Increases as Post-Auction Gains Hold
Treasuries have calmly rallied under 2.60 and MBS have even more calmly followed. That's about it. Volume is extraordinarily low for MBS and it took very little effort for those inclined to squeeze Fannie 3.5s and 4.0s to their highs of the day just after 2pm. It's taking very little effort to push back now that Treasuries look to have bottomed out (whether temporary or for the rest of the day, remains to be seen) at 2.587. Even so, if we can hold these extra few ticks of improvement, a few more lenders stand the chance of repricing positively (emphasis on "few" and "chance"... We're not looking at widespread positive reprice guarantees on this move).
1:19PM  :  Bond Markets hit Best Levels After Strong 10yr Auction
As noted, the low bid-to-cover at 2.45 was to be expected. While a little bit lower than our "decent" category (which was 'anything over 2.5'), it's near the upper end of the "acceptably weak" category of 2.3-2.5). The real star of the show was the high yield which stopped through 1 bp at 2.620 vs a 1pm WI of 2.621. This is more impressive than it sounds due to the fact that 10's rallied into the auction (as opposed to building in a concession).

10's are down at 2.604 currently and were slightly lower (2.602) moments ago. There hasn't been any sort of frenzied rally response, but it's just "nice" for now. Volume is steady. The improvements are nominal, and MBS aren't completely ignoring the supportive environment.

Fannie 3.5s are up a tick since the auction at 100-26. This is roughly 4 ticks from prices that prevailed during some lenders' rate sheet print times this morning and introduces a mildly increased chance of positive reprices among a VERY small group of lenders. Those prospects could increase if we spend more time holding these levels, but several more ticks of improvement would be required before positive reprices became more likely.
12:59PM  :  10yr Auction Preview
The following contains weird words and abbreviations that are further explained in this Brief Discussion of Treasury Auction Jargon ).

This is a REFUNDING auction which happens once every three times (the other two being REOPENINGS). They're stats differ a bit as follows:

- Refundings tend to have slightly lower bid-to-cover, but that gap has closed recently. The last refunding was 2.70 which was high at the time. The previous 3 were 2.68, 2.59, and 2.49 respectively. The last 2 reopenings were 2.57 and 2.53. It'd be fairer to expect today's BTC to be there or under. In other words, anything over 2.5 is decent. 2.7 or more would be quite strong. 2.3-2.5 would be acceptably weak and sub 2.3 would be scary.

Refundings are less likely to "stop through" the 1pm "when-issued" (hereinafter: "WI") yield. In fact, none of the last 4 auctions have stopped through and the last 4 refundings have tailed (come in higher than 1pm WI) somewhat significantly. WI is currently 2.623, but we'll update it in chat in a few minutes.

The strength or weakness of the auction is more about the yield than the bid-to-cover. Indirect demand can tell us something as well (somewhat of a proxy for foreign demand) and has been around 35% for refunding auctions.
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.

Morgan Hammer  :  "REPRICE: 2:51 PM - Franklin American Better"
Thomas Nelson  :  "REPRICE: 2:47 PM - NYCB Better"
Rob Clark  :  "REPRICE: 2:45 PM - Plaza Better"
Chip Harris  :  "Advancial will do it. Just looking to see if I can do better on the rate for him. He refers us a ton of business."
Caroline Roy  :  "if a borrower buys a primary or second home and there are tenants in the property at the time of closing, but they are moving out in two weeks, could you show the rent credit on the HUD? UW says no, that makes it an investment prop. "
Charles Tadros  :  "REPRICE: 2:03 PM - Provident Funding Better"
Matthew Graham  :  "RTRS- OBAMA SAYS IN INTERVIEW WITH REAL ESTATE WEBSITE ZILLOW HE WANTS TO GET HOUSING REFORM MEASURES PASSED BY THE END OF THIS YEAR "
Victor Burek  :  "C- from rick"
Matthew Graham  :  "Bish is fair. A- really, given the absence of concession, but rickster may see it more like B-/C+"
Ted Rood  :  "B-ish?"
Matthew Graham  :  "santelli might freak a bit too much about the BTC, but note the auction preview for an explanation"
Matthew Graham  :  "RTRS- US TREASURY - PRIMARY DEALERS TAKE $9.21 BLN OF 10-YEAR NOTES SALE, INDIRECT $11.09 BLN "
Matthew Graham  :  "RTRS- U.S. 10-YEAR NOTES BID-TO-COVER RATIO 2.45, NON-COMP BIDS $54.42 MLN "
Matthew Graham  :  "RTRS- U.S. SELLS $24 BLN 10-YEAR NOTES AT HIGH YIELD 2.620 PCT, AWARDS 91.54 PCT OF BIDS AT HIGH "
John Tassios  :  "10 yr Auction go well?"
Matthew Graham  :  "2.621 WI"
Michael Gannon  :  "we are seeing the same thing on a secondary level. Chase blew away the competition on FHA until now. They are still better but the gap has closed. I think with lower volume pricing is going to get really aggressive"
Steve demyer  :  "I am offering 4.25 no points today with a loan size north of 300k"
Ken Crute  :  "joon, seeing some of the big retail lenders going crazy on pricing recently to get the purchase biz "
Adam Dahill  :  "Retail will eat that scenario all day long "
Jason Harris  :  "Good deal if you can get it at zero points"
joon choi  :  "possible?"
joon choi  :  "30yr fix @ 4.250, 54ltv, 60day escrow fico 740, OO 1unit"

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