MBS Live: MBS Afternoon Market Summary
Despite 10yr yields rising more than 3bps (up over 2.20% !), MBS were slightly improved by the 3pm Treasury close and look to be heading out the door in similar territory. The outperformance is partly a factor of tomorrow's Class A settlement constraining activity, but more to do with an outright lack of activity in MBS in the first place. Supply and volume were light, making for more intraday volatility. If any logical fundamental behavior was present, it would likely have been MBS looking "reassured" after Treasuries held their ground inside Junes previous highs of 2.235 just after 12:30pm. That was the week point in the day for both MBS and Treasuries, with the former bouncing back more convincingly. There was no scheduled data and it would be a stretch to point at any fundamental event or headline as a distinct market mover--perhaps with the exception of this morning's S&P sovereign upgrade of the US giving equities markets a boost before the opening bell (but that soon looked like a set-up for fast money trading as stocks tanked at the open and spent the rest of the day between those lows and the high that immediately preceded them). Note: the roll is TOMORROW afternoon.
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
100-02 : +0-01
FNMA 3.5
103-08 : +0-02
FNMA 4.0
105-10 : +0-02
FNMA 4.5
106-24 : +0-02
GNMA 3.0
101-13 : +0-01
GNMA 3.5
104-22 : +0-06
GNMA 4.0
106-00 : +0-03
GNMA 4.5
106-23 : +0-01
FHLMC 3.0
99-23 : +0-01
FHLMC 3.5
103-03 : +0-03
FHLMC 4.0
105-06 : +0-03
FHLMC 4.5
105-27 : +0-02
Pricing as of 4:04 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.
2:40PM  :  Volatility Continues; MBS Back in Positive Territory
Several positive reprices have been reported as Fannie 3.5s managed to avoid a second trip to 103-00. They're currently up 2 ticks on the day at 103-07 which has been a well-traveled pivot over the past 3 weeks. The gains come despite 10's being more than 3bps higher at 2.21, and we're NOT reading much into the outperformance at this point (tomorrow's settlement for Fannie/Freddie 30yr MBS looks like it's constraining volatility).

Relative to the past few weeks "constrained volatility" still allows for a fairly wide range, and MBS would certainly be within their right to vacillate between gains and losses several more times on the day. The tangential implication is that we wouldn't expect throngs of lenders repricing positively just yet.
12:31PM  :  Treasury Yields hit Highs, MBS Back in Negative Territory, but Outperforming
Volatility continues, but more for Treasuries than MBS. 10yr yields just hit new highs for the day at 2.23 (back down to 2.22) in a fairly quick move. Fannie 3.5s moved back into negative territory, hitting 103-02 (down 4 ticks on the day) in a similarly quick fashion. MBS have been outperforming since Thursday morning, and continue losing less ground than Treasuries.

Despite the outperformance, this latest move likely erases any positive reprice potential, taking the broader outlook back to neutral. At current levels a positive reprice could still be justified for some lenders if we hold these lows, and a negative reprice could be almost as justified by lenders who priced near this morning's highs.
11:44AM  :  MBS Move Quickly but Modestly Back into Positive Territory
After both equities and Treasury yields topped out for a 2nd time this morning (2nd time slightly lower levels than 1st), MBS had their green light to back away from the ulta-defensive posture of the morning. Fannie 3.5s are back up to 103-08 after trading as low as 102-29 earlier. Considering that some lenders priced near those lows, this is enough for positive reprices if these levels are held or improved upon (one positive reprice already reported).
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.
Matthew Graham  :  "note: that math may become incrementally less applicable as future G-Fee increases hit."
Matthew Graham  :  "At this point Moshe, 4.0s would be more heavily originated than 3.0s (but as always, you will know this before MBS Prices or I can tell you because you will see the evidence on rate sheets. If we moved from a rate range centered on 3.625 to a rate range centered on 4.125, then we've moved from 3.0 to 3.5 coupon)"
Matthew Graham  :  "originations had been in the process of switching to primarily fall into the 3.5 coupon bucket last week. It could have been any time last week and still been appropriate, but I was waiting for NFP to have its say."
Andy Pada  :  "no one seems to be trading the 3.0"
Bert Swyers  :  "because 3.0 is no mo"
Moshe Berg  :  "For the layman here, why did we switch coupons?"
Jeff Anderson  :  "Uh oh. Throwing around guarantees. Sure sign that will blow up in his face. Here comes higher inflation for the ECB."
Ted Rood  :  "One of the most important things I try to impact to my clients and referral partners is that service is first and foremost, a "great rate" doesn't matter so much if loan doesn't close or is a cluster you know what to get done due to lender inefficiency, capacity, or business model."
Matthew Graham  :  "RTRS- ECB'S DRAGHI SAYS "I GUARANTEE" THAT WILL NOT USE HIGHER INFLATION RATE TO SOLVE DEBT CRISIS"
Andy Pada  :  "so funny, I just heard a ridiculous rate being offered by TD"
William Hansen  :  "anyone else finding you cant compete against TD retail? "
Troy Evans  :  "REPRICE: 11:40 AM - Franklin American Better"
Adam Dahill  :  "that's what I thought, just checking if there were any new super cool lenders doing any funky stuff"
joon choi  :  "2yrs with 20% down, primary only"
Matt Hodges  :  "i think you can on VA deals, AD"
Adam Dahill  :  "hey guys, any lenders allowing a new purchase after a short sale 1 year ago??"
Jeff Anderson  :  "Did anyone see Hilsenrath's interview from Friday? http://video.cnbc.com/gallery/?play=1&video=3000174307 . Interesting about the Fed and their growth forecasts and tapering vs going to zero. "
Victor Burek  :  "400"
Jared Lurie  :  "what was the total bps lost in May?"
Jason Wilborn  :  "but I position myself to be ready for that "
Jason Wilborn  :  "I dont usually tell clients I think rates are going to go down in the future"
Matt Hodges  :  "i think the theory is lock up your deals and look for refi opportunities in the future"
Matt Hodges  :  "only in theory"
Jason Wilborn  :  "doesn't it?!?!"
Jason Wilborn  :  "reality has to kick in some day "
Jason Wilborn  :  "Not to rock the boat, but I don't think this is the end of low rates, the selloff may last a little longer than others and even be a bit more severe, but the bounce back to all time low rates will happen again"
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