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Negative Reprice Reported; Prices Falling; Caution Ahead of FOMC
Posted to: Micro News
Wednesday, August 21, 2013 11:28 AM
The bounce back after Existing Home Sales may have mitigated negative reprice risk but it apparently didn't eliminate it as one investor just repriced negatively. Fannie 4.0s are down 6 on the day at 102-13, still well off their post-data lows at 102-10. 10yr yields are similarly off their weakest levels (2.849 vs 2.858 earlier).
The combination of equities and bond market trading gives the impression of growing apprehension ahead of FOMC Minutes at 2pm, or at least a move to the sidelines. Reprice risk still isn't implied by MBS price movement, but the presence of a large investor reprice now suggests we can't rule out the same for other investors.
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