MBS Live: MBS Morning Market Summary
Please note the timestamp on the pricing snapshot below.  Since then, prices fell a bit more and we sent out one additional reprice alert to MBS Live subscribers.  Quite a few lenders subsequently came out with negative reprices.  Leading up to 10am, the morning had been shaping up relatively well for bond markets, though we noted some frustration in the morning update that 10yr yields had as tough of a time as they did with the 2.51% resistance zone.  In fact, resistance won out as 10's now trade closer to 2.57 with Fannie 3.5s down to 100-09.  At least half of the rally in bond markets vs yesterday had arrived before GDP data.  In that light, and given the fact that GDP is one of the Fed Forecast data-sets (ostensibly meaningful with respect to Fed Policy), we would have liked to have seen a more committed rally to a 0.6% negative revision (1.8 final vs 2.4 preliminary).  Perhaps bond markets showed their hand by shying away from that commitment, or perhaps they're simply staying cautious ahead of the 5yr Auction coming up at 1pm.  Whatever the case, we at least look to be holding ground now, and still in positive territory on the day.
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
96-18 : +0-17
FNMA 3.5
100-15 : +0-17
FNMA 4.0
103-09 : +0-13
FNMA 4.5
105-11 : +0-04
GNMA 3.0
97-08 : +0-17
GNMA 3.5
101-02 : +0-21
GNMA 4.0
103-26 : +0-20
GNMA 4.5
105-10 : +0-10
FHLMC 3.0
96-09 : +0-17
FHLMC 3.5
100-10 : +0-17
FHLMC 4.0
103-04 : +0-13
FHLMC 4.5
104-23 : +0-04
Pricing as of 11:06 AM EST
Morning 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 morning.

11:06AM  :  ALERT ISSUED: Some Post-POMO Volatility. Reprice Risk Increasing Slightly
Whereas there was a small amount of reprice risk at the time of the last alert, there's slightly more now. It's still too soon to say that we're entering any sort of abrupt sell-off, but pressure is mounting to the downside after the results of the Fed's scheduled daily Treasury operation (permanent open market operation, or "POMO").

There's no strategic significance to that data, but it can cause supply/demand imbalances that cause price movements. MBS are getting some of the ill effects of that at the moment and have just moved to their post-GDP lows at 100-014 in Fannie 3.5s. This is certainly justifiable reprice risk territory for some lenders though it's still half a point higher vs yesterday. 10's broke 2.54 support and are up to 2.548 currently.
10:18AM  :  ALERT ISSUED: Already a Hint of Reprice Risk for Early Lenders
This is one of those alerts that's very much a 'heads-up' and may be inconsequential for most lenders. The gist is that MBS prices hit their highs just as the earliest lenders of the day are taking down their marks or putting out rate sheets. From 100-26 highs in Fannie 3.5s, we're currently down to 100-17. While this is still 19 ticks higher on the day, those 19 ticks (and then some) were already present when early lenders took down marks and/or sent out sheets.

Although the bar has been raised during recent volatility, in terms of how much movement it takes to justify reprice risk, the 9 tick gap from the highs is certainly right in there. It's the sort of level where a certain 'early' lender or two could reprice and we wouldn't be surprised, but the structure of the price action so far this morning is also such that we could see no reprices and still be relatively unsurprised.

So take caution if needed, but also note that trading levels aren't yet melting down in some catastrophic way. The only major concern there is from a technical standpoint as the 2.51 barrier in 10's CONTINUES to hold firm and is now at risk of looking like somewhat of a reversal pattern from a technical perspective. That would get more confirmation on a break above 2.54.
9:08AM  :  Bond Markets Stronger Overnight and After GDP; MBS Outperform
The good news: MBS are significantly higher with Fannie 3.5s up 26 ticks at 100-24 and Fannie 4.0s up 20 ticks at 103-17. 10's are more than 9bps lower at 2.52, but therein lies the bad news--at least for now.

10's had rallied from 2.61 to 2.55 in the overnight session. From there, the next significant band of resistance would be between 2.51 and 2.524. After a weaker-than-expected GDP report, 10's indeed rallied right to 2.51, but bounced higher and have yet to revisit that floor. We're not sure they won't make another attempt to do so, but given the size of the 'miss' in the GDP data, one would hope that QE expectations would be sufficiently rattled so as to allow a revisit to more recently nostalgic levels.

The saving grace for mortgage markets may be the heartiness of MBS' outperformance. Spreads continue their convicted move tighter to 10s and while the latter are still a few bps away from yesterday's best levels, MBS are already there. Stability here would be better than an ongoing rally as far as rate sheets are concerned. The firmer platform lenders have at rate sheet time, the more they may be willing to pass on. So in that sense, sideways from here isn't a bad thing (if 10's continue to be thwarted at 2.51. If they don't, then hopefully they too can hold sideways underneath a post-GDP high yield just over 2.54).

There's no remaining significant data today though there are two Fed speakers at 10am and a potentially important 5yr Note Auction at 1pm.
8:42AM  :  ECON: GDP Appreciably Weaker Than Expected
- Final Q1 GDP +1.8 vs +2.4 Forecast
- Final Sales +1.2, lowest since Q1 2011
- Deflator +1.3 vs +1.1 consensus
- PCE Price Index +1.0, and Core +1.3, as expected
- Corporate Profits -1.1 vs -1.7 consensus

- Market Reaction: broadly positive for bond markets, which were already rallying ahead of the data. We'd like to see a bit firmer conviction for 10's to rally past yesterday's low yields, but they're currently blocked by 2.51 and up at 2.533.

Real gross domestic product -- the output of goods and services produced by labor and property located in the United States -- increased at an annual rate of 1.8 percent in the first quarter of 2013 (that is, from the fourth quarter to the first quarter), according to the "third" estimate released by the Bureau of Economic Analysis. In the fourth quarter, real GDP increased 0.4 percent.

The GDP estimate released today is based on more complete source data than were available for the "second" estimate issued last month. In the second estimate, real GDP increased 2.4 percent. With the third estimate for the first quarter, the increase in personal consumption expenditures (PCE) was less than previously estimated, and exports and imports are now estimated to have declined.

The increase in real GDP in the first quarter primarily reflected positive contributions from PCE, private inventory investment, and residential fixed investment that were partly offset by negative contributions from federal government spending, state and local government spending, and exports. Imports, which are a subtraction in the calculation of GDP, decreased.
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  :  "I would have certainly liked to TS. Not altogether shocked, but disappointed."
Tom Sawyer  :  "MG, shouldn't we see more from the GDP number? It stinks"
Matthew Graham  :  "man.... ya'd kinda hope to see that sort of GDP miss helping a bit more than it is. Bit groggy maybe. Looks like it's a work in progress"
Matthew Graham  :  "RTRS - US Q1 CORPORATE PROFITS AFTER TAX REVISED TO -1.1 PCT (CONSENSUS -1.7 PCT) FROM -1.9 PCT"
Matthew Graham  :  "RTRS- US Q1 CONSUMER SPENDING +2.6 PCT (PREV +3.4 PCT); DURABLES +7.6 PCT (PREV +8.2 PCT) "
Matthew Graham  :  "RTRS- US FINAL Q1 GDP DEFLATOR +1.3 PCT (CONS +1.1 PCT), PREV +1.2 PCT "
Matthew Graham  :  "RTRS - US FINAL Q1 GDP +1.8 PCT (CONSENSUS +2.4 PCT), PREV +2.4 PCT; FINAL SALES +1.2 PCT, SMALLEST RISE SINCE Q1 2011 (CONS +1.8 PCT), PREV +1.8 PCT "
Oliver Orlicki  :  "gdp time"
Christopher Stevens  :  "my previuos comment stated high cost and I meant sub-prime test. Just wanted to be clear."
Matt Hodges  :  "he just said that the treasury yields rising are basedon fed funds rate increases, not QE adjustment"
Matt Hodges  :  ""We are in the business of accomodation""
Matt Hodges  :  "he's talking fed funds rate...dude, we don't care about that AT ALL right now"
Matt Hodges  :  "Kocherlakota on CNBC right now"
Matt Hodges  :  "i think it's probably way too simplistic... there truly are many 99 weekers and discouraged that will come back in"
Matt Hodges  :  "aging populace simply is done with traditional employment"
Matt Hodges  :  "interesting...cnbc analyst is suggesting employment participation rate decline is not cyclical, but structural. "
Ira Selwin  :  "A loan app taken beginning of June, will have an APR that cannot exceed 5.58%"
Christopher Stevens  :  "I have had two loans go to high cost that I have had to lower rate on before closing."
Ira Selwin  :  "Im asking as I'm curious if you are running into the NY subprime test"
Christopher Stevens  :  "getting up there Ira"
Ira Selwin  :  "CS - what is your avg APR looking like on FHA loans ?"
philip mancuso  :  "Speaking of fallout, I know that provident a lock policy is pretty tough. Anyone having any issues or has provident indicated any temp changes (as crazy as that sounds knowing them). I have to believe there are a ton or nervous borrowers and Los."
Gus Floropoulos  :  "we killed almost 1/3 of the pipeline "
Christopher Stevens  :  "GM all. Big managers mtg today to talk about fun stuff like fall out and where we are headed the 2nd half of the year. XL dunkin to get prepared for that."

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