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Volatility Increases After EU Close, MBS At Lows, Reprice Risk
Posted to: Micro News
Friday, January 25, 2013 12:35 PM
Fannie 3.0 MBS are at their lowest levels since before QE3, edging just 1 tick lower than January 4th's lows. Depending on the time of day of the initial rate sheet, negative reprice risk is increasing.
The recent leg down arrives after the close of European markets. Treasuries futures volumes dropped off much more than usual indicating that European tradeflows kept trading activity especially active this morning. Lower volume can always lead to volatility and it's working against us at the moment. 10yr yields are also testing a break of their highest yields of the morning in the mid 1.92's.
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