MBS Live: MBS Afternoon Market Summary
Bond markets were once again in "Holiday stance" as the economic data had precious little effect on Treasuries and less still on MBS.  The trend of MBS underperformance continued in general with Fannie 3.5s mostly flat on the day compared to 10yr yields 3.25bp drop. The caveat to the flatness in MBS is that prices started a bit higher this morning and held just above unchanged almost exclusively.  Fannie 3.5s were as high as 101-12 for a moment and are coasting out around 101-06 presently.  Tomorrow brings the most active calendar day of the week in terms of economic data and tradeflow considerations.  If today was any indication, it will take big beats/misses on the data in order to motivate significant movement in rates.
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
96-29 : +0-02
FNMA 3.5
101-07 : +0-02
FNMA 4.0
104-16 : +0-00
FNMA 4.5
106-24 : -0-03
GNMA 3.0
98-01 : +0-03
GNMA 3.5
102-09 : +0-02
GNMA 4.0
105-11 : -0-01
GNMA 4.5
107-15 : -0-03
FHLMC 3.0
96-15 : +0-02
FHLMC 3.5
100-31 : +0-02
FHLMC 4.0
104-05 : +0-00
FHLMC 4.5
106-16 : -0-02
Pricing as of 4:05 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.
2:38PM  :  Bouncing Back after Head-Fake Weakness
Just a quick heads-up. MBS are already bouncing back fairly well from the weakness mentioned in the last alert. Negative reprice risk is greatly mitigated if not altogether eliminated as we've added 3 ticks since then. Fannie 3.5s are back up to 101-08. Unfortunately, more quick swings like this aren't out of the question today and tomorrow as liquidity/participation are taking a noticeable toll on MBS trading specifically.
2:09PM  :  ALERT ISSUED: Modest Treasury Weakness; Less Modest for MBS; Approaching Reprice Risk
Fannie 3.5s continue to underperform Treasuries, now approaching unchanged levels again while Treasuries remain 3.6bps lower on the day. For some lenders, we're right on the edge of negative reprice risk where we wouldn't be shocked to see one or two, but aren't yet anywhere close to expecting widespread examples. Fannie 3.5s are +1 tick on the day at 101-05+ but that's 6 ticks off the highs and 4 ticks off prices in place during some of the morning's rate sheets.
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