MBS ALERT: ANGRY 4.5 COUPON

Since the opening post the tide has turned and we are witnessing some selling in the FN 4.5s....

Fn 4.0-> -0-01+ to 101-05+          

Fn 4.5-> -0-07 to 102-12       

Fn 5.0-> -0-01+  to 103-10          

Fn 5.5-> +0-01 to 103-21+            

Fn 6.0-> +0-03 to 103-29+    

As might be expected on the first day of a roll with a much-speculated NFP report, volatility is high.  There's no telling how lenders will respond to this, but the safer bet for your shortest term deals is to assume reprices for the worse will be coming.  HOWEVER, the losses we are seeing (which may well recover), are perfectly acceptable by way of paying "admission" to be able to say what rates will do later next week.