Treasuries Rally After Jobs Data; Mortgages Rally More

MBS Pricing Snapshot

To be clear, MBS are perking up in a bad way as Treasuries slide into weaker territory this afternoon. 10's are now up to 2.936, and while this doesn't necessarily mean anything compared to the much more active trading this morning, it has been a bit too much weakness for MBS to simply ignore.

Fannie 4.0s are now "only" up 19 ticks on the day at 102-07, near the same prices that earlier prompted a reprice risk warning. Same story here: moderate risk at these levels with more pronounced risk if we head lower.

MBS have marched steadily higher since the last semi-cautionary update just before noon. Paradoxically, at least two lenders have repriced NEGATIVELY during that time. We would NOT chalk this up to the moderate weakness that prompted the original update, but rather to the lenders in question.

Several lenders are prone to 'pipeline control' reprices and these are two of them. There are a few others out there, and if you do business with them, you know who they are. Heading into this Friday afternoon with significantly improved morning rate sheets, we can't rule out a few other similar reprices.

Perhaps even more interesting is the juxtaposition of positive reprice potential for other lenders. There's nothing extreme here, but the charts have that look about them that they sometimes get before a certain price leader reprices positively.

Fannie 4.0s are up 26 ticks at 102-14 and 10's are down 9.5 bps at 2.90.

There's only a small amount of negative reprice risk for a select few lenders at the moment as MBS have come off their highs by 8 ticks. Those lenders would either have had to price at those highs or otherwise come out of the chute overly aggressive this morning for prices to be forcing their hand however. Most lenders that priced later in the morning would have done so with MBS already 4 ticks or so off the highs.

Fannie 4.0s are currently at 102-08, up 20 ticks in total on the day and right in line with yesterday morning's highs. 10yr yields are down 8.2bps on the day at 2.914, but have been trending higher since the initial post-NFP rally down to 2.865. The highest post-NFP yields were hit right at 9:30 with 10's at 2.921. If they break that ceiling, MBS may be more willing to break their post-NFP floor around 102-06. Negative reprice risk would increase if that happens.