MBS ALERT: REPRICE FOR WORSE POSSIBLE

By:

THE UST5YR AUCTION DID NOT GO WELL...2.02 BTC...WEAKER THAN AVERAGE FOREIGN PARTICIPATION....HIGH YIELD = 1.849 which is 8bps higher than what the 5 yr TSY was trading at pre-auction.

MBS DID NOT REACT WELL TO INCREASED TSY YIELDS...SELLING OF MORTGAGES QUICKLY ENSUED

REPRICE FOR THE WORSE A POSSIBILITY