MBS Live: MBS Afternoon Market Summary
Most of this afternoon's drama is extensively relayed in the catalogue of alerts and updates below.  To recap that recap, an article from the Financial Times came out at 2pm, and essentially served as a dueling banjo to Hilsenrath's article on Thursday.  Whereas Thursday's piece generally suggested "don't freak out" about Fed tapering, today's piece was more in the vein of "no, you should actually freak out a little bit."  In neither case was any new, significant suggestion made about what's likely to happen on Wednesday, and it's a testament to the level of anxiety and anticipation (as well as thinly traded markets being easier to push around) that we saw as much movement as we did given the relative lack of actionable data/news.  All eyes continue to be on Wednesday's FOMC events.  Markets were ghost towns today and should pick up a bit tomorrow.  Nothing about today's movement really mattered in the big picture other than to reinforce a sideways approach to Wednesday. 
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
100-05 : -0-11
FNMA 3.5
103-10 : -0-06
FNMA 4.0
105-11 : -0-01
FNMA 4.5
106-29 : +0-06
GNMA 3.0
101-19 : -0-12
GNMA 3.5
104-20 : -0-12
GNMA 4.0
106-05 : -0-03
GNMA 4.5
106-27 : +0-03
99-27 : -0-11
103-05 : -0-06
105-06 : -0-02
106-05 : +0-09
Pricing as of 4:06 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.

3:18PM  :  More on FT Article and the Seemingly Oversized Reaction
Robin Harding is the FT's version of WSJ's Hilsenrath, and some would argue a more credible one at that. Whereas Hilsenrath was out on May 10th with a piece that was generally "pro-tapering," and then out again last Thursday with a sort of "yeah but" piece regarding the Fed Funds Rate portion of monetary policy, Harding seems to have re-grounded the discussion this afternoon.

There's nothing new offered by the FT piece, but it's all about that "re-grounding" of the discussion. Harding points out the fact that Payrolls were averaging 130k in the 6 months running up to QE3 and have averaged 194k in the past 6 months, also making note of the decreased volatility (which has been one of our most important observations about the most recent NFP, in that it further smoothed out volatility in the data-set).

The less mainstream suggestion is that the current level of job growth may be just fine for the Fed considering recent research suggests the participation rate might not bounce back as quickly as initially thought. This is a reiteration of the warnings offered on MBS Live after the last NFP when we addressed the "myth" of a 200k line of demarcation between insufficient and substantial growth needed to trigger a reduction in Fed asset purchases.

Harding's conclusion is that the Fed intends to fire a warning shot of sorts, but not to bombard markets with ongoing tapering unless the recently steady--if tepid--pace of improvement can be sustained. Said warning shot is unfortunately vague: "Ben Bernanke is likely to signal that the US Federal Reserve is close to tapering down its $85bn-a-month in asset purchases when he holds a press conference on Wednesday, but balance that by saying subsequent moves depend on what happens to the economy."

This one seems to have made the rounds fairly quickly and was immediately latched onto by bored, flat markets shortly after it's 2pm print time. The extreme lack of volume, the 2 and a half days of gains for bond markets, and concurrent comments from the G8 summit give the illusion of an oversized reaction to news that isn't really new. In the grand scheme of things, those three factors precipitated a modest pre-FOMC bounce, very much contained by recent trends. They've done nothing to alter the bigger picture or create any change in prevailing momentum (which continues to be sideways).
2:46PM  :  ALERT ISSUED: Broad-Based Negative Reprice Risk Now
Fannie 3.5's are bouncing around 9-10 ticks weaker on the day, hitting 103-07 and 103-08 support levels (which have been a central pivot in late May and early June). 10yr yields look to be leveling off in a triangle/pennant around 2.17 and equities have already bounced at 2:28pm.

A majority of lenders will likely reprice at current levels, and more than a few have repriced already.
2:28PM  :  ALERT ISSUED: More Negative Reprice Risk after G8 Comments, FT Article
Treasuries, stock markets, and MBS are all selling following comments from the G8 summit. Perhaps of equal or greater concern given the nature of the moves is an article from the Financial Times making rounds at the same time, indicating that the "Fed is Likely To Signal a Tapering Move."

Fannie 3.5s are down 6 ticks on the day now at 103-11. 10yr yields are up to 2.1727, and negative reprice risk is incrementally higher than it was last time. Most of the 'early crowd' lenders will reprice at these levels, and likely some of the middle of the pack as well.
2:15PM  :  ALERT ISSUED: Now Edging Into Reprice Risk Territory
After holding ground quite well all day, the 2pm hour has seen MBS break to new lows with Fannie 3.5s down 3 ticks to 103-13+. This puts some lenders down an eighth from rate sheet time. Combined with the fact that volatility looks to be picking up in Treasuries as well and negative reprice risk is making a debut for the day. Nothing severe yet, but we've moved from "unlikely" to "possible." A few of the fastest-acting lenders might be closer to "probable" if we don't bounce higher in the next minute or two.

1:23PM  :  Calm Overall, but Back Near Lows
Trading activity continues to be muted at best with 3.5s well contained between 103-17 and 103-14+. While MBS haven't fallen past the day's previous lows, they're back in line with them. At the same time, 10yr yields are near their highs. Combine this with recently higher likelihoods of afternoon shakiness and it's potentially worth increasing one's level of vigilance.

More simply put, there's no negative reprice risk now, but if that's going to change, this is the first chance in about 3 hours. Stay tuned.
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.

Christopher Stevens  :  "to which steve liesman responded @RobinBHarding How did you think mkts would react when you write an unattributed story starting "Bernanke is likely to signal..""
Christopher Stevens  :  "Harding's tweet "But people need to chill out. The Fed does not leak anything to any journalist to steer markets - especially during blackout""
Andy Pada  :  "oh geez, now Harding is tweeting a qualification to his article"
Nate Miller  :  "REPRICE: 3:31 PM - Interbank Worse"
Ira Selwin  :  "(first famc was at 249 pm)"
Justin Dudek  :  "REPRICE: 3:22 PM - Everett Financial Worse"
Ira Selwin  :  "REPRICE: 3:22 PM - Franklin American Worse"
Ira Selwin  :  "REPRICE: 3:22 PM - Franklin American Worse"
Rfellner  :  "REPRICE: 3:17 PM - Chase Worse"
Christopher Stevens  :  "REPRICE: 3:11 PM - Wells Fargo Worse"
Josh Stika  :  "Loansifter works well - I've used them for years Steven"
Steven Klodzin  :  "Hey all. Does anyone have any insight on NYLX vs Loansfiter?"
Sam  :  "http://www.zerohedge.com/news/2013-06-17/ft-joins-fray-fed-likely-signal-tapering-move "
Steve Chizmadia  :  "REPRICE: 2:54 PM - Pinnacle Worse"
Steve Chizmadia  :  "REPRICE: 2:53 PM - Sun West Mortgage Worse"
Nate Miller  :  "REPRICE: 2:50 PM - Caliber Funding Worse"
Hamid Hamrah  :  "REPRICE: 2:48 PM - PennyMac Worse"
Morgan Hammer  :  "REPRICE: 2:43 PM - United Wholesale Mortgage Worse"
Matthew Carver  :  "REPRICE: 2:42 PM - Flagstar Worse"
Brandon Blue  :  "REPRICE: 2:42 PM - Stearns Lending Worse"
David Hanks  :  "REPRICE: 2:39 PM - Provident Funding Worse"
Hamid Hamrah  :  "REPRICE: 2:34 PM - Suntrust Worse"
Matthew Graham  :  "main reason: all goes back to the fact that I think the Fed already conducted this upcoming Wednesday's announcement and presser back in March, but not one was paying much attention."
Matthew Graham  :  "no. In general, I'm probably less confident in dovishness than the median outlook, I'd guess."
FPH  :  "Mg are you more confident in a dovish statement come Wednesday than you were a few weeks ago?"
Brent Borcherding  :  "Without knowing the exact message, would you agree that it is safe to expect much more clarity?"
Matthew Graham  :  "not sure if it would hurt more than help, but I'd like to see him address probable amounts and hypothetical flow of policy. If he could simply say "10-20 bln. Would look for early indications of adverse effect on mortgage market. would certainly re-up buying if necessary based on mortgage/housing market, or if Jobs dip for x amount of time." Flesh out the hypothetical scenarios a bit more and yields can fall a bit, simply by pricing out some of that uncertainty."
Matthew Graham  :  "If the next NFP is in that same 175k range or better, I think there would be healthy debate as to whether or not the late July FOMC Announcement would include a token reduction in purchases. My main concern is forecasts and the evolution (if any) of the Announcement itself. Hard to pin it down this time though. All three have potential in their own way."
Matthew Graham  :  "if the notion of "200k / month job growth" is discussed in the press conference, and if Bernanke says "not so important, we could taper with less as long as it was sustainable," then that's obviously the downside risk for MBS, and it would make the next NFP a biggie. "
Matthew Graham  :  "I think it's safe to say we rally to whatever extent the Announcement itself (unlikely), the forecasts (unlikely), or Bernanke (more likely) say something to push the average start date for tapering further into the future. "
Raul Lopez  :  "Safe to say with a dovish fed on Wed we rally? I fear the opposite though."
Jason Anker  :  "SV sounds like an ovelay to me as well"
John Barbee  :  "Scott - that sounds like a Lender Overlay"
Matt Hodges  :  "here you go SR: http://www.newyorkfed.org/markets/pomo_landing.html"
Scott Rieke  :  "MG - need that POMO page again. This time I'll bookmark it."
Scott Valins  :  "QUESTION: does anyone know if FHA guidelines differentiate between an actual NSF charge and an account balance going negative with no charge by the bank? I have a client who has negative balances on his bank statement but the bank doesn't hit him with an NSF fee. Underwriter has bank statements and is telling me she has to switch file to manual uw with max 31/43 DTIs."
Tim McNerney  :  "CS that would mean an acknowledgement of the 'misspeak' of the tapering trial balloon...do u think they are up to doing that?"
Christopher Stevens  :  "I was referring back to the 12:46 newsfeed Friday where Hilsenrath and Liesman discussed Hilsenraths blog and Fed mtg."
Christopher Stevens  :  "according to Hilsenrath Bernanke will never utter the word taper..."
Matthew Carver  :  "Hasn’t the majority of the data released since the last FOMC supported more of a neutral or negative trend (except for housing), and certainly not a compelling positive direction; which is what we would need to continue the expectation of a tapered progression. I’m curious MG; what do you expect to hear Wednesday, based on this data we’ve seen recently? "

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