Stocks are once again in rally mode after testing the lows of the day. Benchmark TSY yields continue to rise which is putting selling pressure on mortgages (again)....

Since 5pm "Going Out" Marks....

FN30__________________________________

FN 4.0 -------->>>> -0-02   to  99-27   from 99-29

FN 4.5 -------->>>> -0-02   to 101-23  from 101-25

FN 5.0 -------->>>> -0-03   to 102-26  from 102-29

FN 5.5 -------->>>> -0-01   to 103-20  from 103-21

FN 6.0 -------->>>> -0-01   to 104-14  from 104-15

GN30_________________________________ 

GN 4.0 -------->>>> -0-01   to 100-03   from 100-04

GN 4.5 -------->>>> -0-02   to 102-01   from 102-03

GN 5.0 -------->>>> +0-01  to 103-16   from 103-15

GN 5.5 -------->>>> -0-02   to 103-27   from 103-29

GN 6.0 -------->>>> -0-01   to 104-08   from 104-09

Production  MBS coupons have gone sideways with a slight downward bias in a calm and quietly traded mortgage environment this afternoon. There is little originator selling (locking in pipeline profits) of "rate sheet" influential coupons. On the other end of the stack....leveraged and real money YIELD HOGS are taking the opportunity to reconsider the risks of meddling in the relatively rich prepay sensitive side of the MBS stack (5.5s are quite cuspy/at risk of prepaying...6.0s are negative yield depending on CPR assumptions...YES I KNOW TOO TECHNICAL).

Remember: When placing a value on an MBS coupon, investors who are considering the purchase of expensive MBS coupons must manage the risks of losing their MBS cash flows (before they expect). The these MBS coupons are trading "in the money"...meaning the loans that back the MBS pool they've invested in have a higher probability of being refinanced because current market interest rates are lower than their note rate (their call option is in the money). Before placing a buy order these MBS investors must ensure they will be able to hold these risky ("in the money") MBS coupons long enough to collect enough income to recover the price they paid for the MBS pool.....which is why expensive prices (104 handles) are not welcome by MBS investors.

Since 1pm the trend channel has turned negative (red) and prices have bounced  between a 4 tick range.  If TSY yields continue to climb the FN 4.0 may look to test our long term 99-24 price floor...which means a late "afterhours" reprice for the worse is a possibility.