MBS Live: MBS Afternoon Market Summary
After a morning fraught with volatility, MBS finally bounced just after the noon hour.  Even then, such a bounce wasn't really indicative of much more than an automatic buying point being reached when MBS spreads had finally blown out wide enough.  In other words, in the midst of planning the day filled with avoiding buying MBS, perhaps some trade desks left notes for whoever was left manning the desk to 'only buy if spreads get this wide.'  Everyone else was off for the weekend, especially after 11am.  The fact that we only got a moderate handful of negative reprices today helps paint that same picture.  Given the volatility, we'd almost always expect more reprices that we got, but when combined with yesterday's rate sheets being weaker than MBS losses suggested, it built the sense that business for the week was wrapped up then, and today was just going through the motions.  The skeleton crew buying took prices back to their predominant afternoon range from yesterday, further building the sense that the bounce was programatic, even if executed by human fingers.  Markets are closed on Monday and the next MBS Commentary will be Tuesday morning.  
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
101-20 : -0-02
FNMA 3.5
104-18 : -0-02
FNMA 4.0
106-02 : +0-00
FNMA 4.5
107-05 : -0-01
GNMA 3.0
102-31 : -0-02
GNMA 3.5
106-14 : -0-02
GNMA 4.0
107-06 : +0-00
GNMA 4.5
107-15 : +0-00
FHLMC 3.0
101-08 : -0-00
FHLMC 3.5
104-10 : -0-03
FHLMC 4.0
105-26 : -0-00
FHLMC 4.5
106-09 : -0-02
Pricing as of 3:32 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.
1:18PM  :  Lows May Be In For The Day. Reprice Risk Now Varies By Lender
We finally got a bounce that has materialized into something meaningful. The lows look like they starged coming in as early as 11:30, but were dragged lower still at 12:11pm. At that point, the cries of "come get me down here sellers!" from the bid side dried up and value buying at the wides kicked in. In other words, spreads blew out so much that the "limit" was reached for the day, and should continue to hold as long as Treasuries hold their range.

Negative reprice risk now ebbs for the quick-acting lenders and those who already repriced. There could still be some laggards yet to come with a negative reprices, but the bounce is such that we wouldn't rule out a corrective positive reprice as well. Either way, bleeding stopped for now. Fannie 3.0s at 101-20 after hitting 101-13 lows. The floor is somewhere between 101-14 and 101-16 though, and the absolute lows of the day stand out as more isolated "overrun." 10's are up to 2.013 and we'd be a bit concerned if they run above 2.03. Otherwise, this might be the last update until Tuesday morning! Let's hope that it is.
12:20PM  :  ALERT ISSUED: In Case The Last Two Alerts Weren't Clear, There Will Be More Reprices
Because MBS have completely left the building. Well... Buyers have left the building anyway. Fannie 3.0s are at 2013 lows (lowest prices since May 2012 actually), currently down 8 ticks at 101-14. This is not event driven. There's no headline or fundamental data motivating the movement. Instead this is purely a factor of tradeflows in bond markets in general and MBS-specific illiquidity. Quad-witching and an early close are not helping. No one's a buyer right now. That said, we may catch a bounce, but not before we see more reprices.
11:56AM  :  ALERT ISSUED: More New Lows, More Reprice Risk
MBS are now dangerously close to the levels that they really need to hold in order to go into the weekend "sideways" between yesterday and today. Fannie 3.0s are down 5 ticks to 101-18 and the first two negative reprices have already been reported. 10's are green! down a bp to 2.005! That means MBS are getting beat up relatively and spreads have blown out further into pre-QE3 wides (the gap between MBS yield and Treasury yields is rising, and is as high as it's been since August 2012). Things are choppy, illiquid, and just generally ugly. We wouldn't rule out a negative reprice from any lender at this point.
11:20AM  :  ALERT ISSUED: Negative Reprice Risk: A Morning Tradition in May
It's getting to be tragically comical at this point, but yet again, MBS prices have shifted lower by precisely a sufficient amount and at precisely the right time to introduce early hints of negative reprice risk. This is all tradeflow related with no significant news or data driving the move.

Fannie 3.0s are down to 101-23 from the 101-30 highs at which some lenders may have priced. Even the earlier crop of lenders are already looking at a 4 tick loss and a negative trend in both MBS and Treasuries. Reprice risk is at least 'moderate' at this point and we're rather concerned about the current shape of the trend unless it reverses course very soon.
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  :  "REPRICE: 12:58 PM - Chase Worse"
Curt Sandfort  :  "agree to the .23 I think Hugh - Hodge, search mileage in the comments, we were just talking about it a few days ago"
Tom Schwab  :  "REPRICE: 12:04 PM - AMC Worse"
Hugh W. Page  :  "MH you can add back "Business Mileage" using the current rate which I can't remember at this point. Somewhere between 20 and 23 cents I think per mile."
Roger Moore  :  "REPRICE: 12:02 PM - NYCB Worse"
Douglas Seder, MBA  :  "MH a portion of the millage is depreciation, I just found this out recently, so if he takes the per mile deduction, you can add back the depreciation portion of per mile write off. I do not know the exact numbers, but I just learned this was possible the other day"
Matt Hodges  :  "uw question - i have a self employed with a car payment. He also writes off work mileage. Can i add back mileage... i'm tight on ratios"
Christopher Stevens  :  "REPRICE: 11:55 AM - Wells Fargo Worse"
Christopher Stevens  :  "MG- nice call on the lock em up at 11:20"
Christopher Stevens  :  "REPRICE: 11:49 AM - Flagstar Worse"
Christopher Stevens  :  "market closes I close"
Donna McKenna  :  "I agree take a long weekend off "
Dio Vannucci  :  "I can't believe it's the Friday before Memorial Day Weekend and we are talking about death crosses and Negative reprices instead of golf or heading to the lake. I'm about to blow this popsicle stand b/c I hear a wakeboard calling my name......"
MMNJ  :  "i don't remember seeing more days in a row with no traction -- up every day and then disappearing into the negative reprice abyss"
Christopher Stevens  :  "MBS is not happy with fed speak about selling them and holding treasuries. They feel like the jilted girlfriend I think."
Ted Rood  :  "MBS buyers just left for the weekend."
David Romero  :  "I love this system"
Matthew Graham  :  "and gals"
Matthew Graham  :  "lock em up guys"
Jude Bridwell  :  "Depressing!"
Christopher Stevens  :  "JB- small victories...held 2.03 yesterday now lets see if we hold 2.00 today"
James Barnes  :  "Stop this bleeding off again!"
Matthew Graham  :  "http://www.mortgagenewsdaily.com/05172013_qualified_mortgages.asp"
Matthew Graham  :  "http://www.mortgagenewsdaily.com/03142013_qm_qrm_definitions.asp"
Matthew Graham  :  "1077 is the one we were discussing earlier re: CRL vs MBA "
Andrew Benson  :  "which one is that?"
Christopher Stevens  :  "just got an email that HR1077 just got 2 new cosponsor's. Rep. John Kline(R-MN2) and Rep. Steve Stockman (R-TX36)"
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