MBS Live: MBS Afternoon Market Summary
As noted previously, trading was basically wrapped up very early in the day as most participants didn't want to be here any longer than necessary. The "ifs/thens" of the post-NFP trade seem to have been for 10yr yields to rise at least to 2.67 and not go back below--pretty ominous when you consider the previous high in late June was 2.67 and the level now runs the risk of turning into a pivot for a run into higher yields.  We did note that 2.723 looked like the market's technical target on the other side of the coin, and 10's managed to hold under there by the 3pm close before drifting higher after hours. 

For their part, MBS have completely left the building. Words can't really do justice to the destruction. The fact that this sell-off was on the table as a possibility and followed an important piece of data may make our analytical response less frenzied and confused than Black Wednesday in May 2009, but today's losses are actually worse (70 ticks max intraday losses today vs 66 ticks on Black Wednesday).  When we consider the change vs the previous close, today only widens its lead.  If yesterday was "happy 4th," today is "unhappy 5th."  Black Friday is taken, but we're open to suggestions.  
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
94-28 : -2-12
FNMA 3.5
98-25 : -2-06
FNMA 4.0
102-03 : -1-19
FNMA 4.5
104-16 : -1-04
GNMA 3.0
95-19 : -2-29
GNMA 3.5
99-16 : -2-10
GNMA 4.0
102-11 : -1-24
GNMA 4.5
104-21 : -1-08
FHLMC 3.0
94-20 : -2-17
FHLMC 3.5
98-21 : -2-01
FHLMC 4.0
101-29 : -1-18
FHLMC 4.5
103-30 : -1-03
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.
12:20PM  :  ALERT ISSUED: Omnipresent Negative Reprice Risk; What Next?
All bets are off in terms of lender rate sheet behavior. The severity of the sell-off wreaks havoc untold, even for the best-prepared lenders (read: most conservatively priced). Fannie 3.5's (which don't even matter at these levels) are down to 99-07, 1-24 off on the day ( that's 56 ticks). Fannie 4.0s are down a mere 42 ticks at 102-12 while 10s are up around 20bps still flirting with 2.70.

There's very little by way of "analysis" that would relevant right now. Outright predictions about what happens next week are certainly out the window. That said, it is absolutely possible that we do NOT see the same sort of healthy bounce back that we've historically seen after losses this big. 6/19 was the same sort of breakaway sell-off, and we never made it back above those levels.

The past 8 sessions have been a holding pattern ahead of today's NFP which has brought on another breakaway sell-off. Temptation to float over the weekend and pass this off as a low-volume overreaction is understandable, but this isn't low volume and given that 10yr yields have only extended highs by less than 5bps over June 24th, it's hard to argue this is an overreaction if it's doing that much more to solidify the fears that caused the weakness on June 24th in the first place.
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  :  "REPRICE: 3:35 PM - Wells Fargo Worse"
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