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MBS Off Best Levels; Negative Reprice Risk Mostly Contained
Posted to: Micro News
Friday, September 06, 2013 11:56 AM
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.
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