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MBS-Specific Weakness Following Scheduled Fed Buying
Posted to: Micro News
Monday, August 4, 2014 12:38 PM
The day's scheduled Fed buying in MBS wrapped up at 11:45am. Not even one minute later, MBS reversed course and began losing ground. Not only that, but they increasingly underperformed Treasuries in the process. Fannie 3.5s are down a fairly quick 6 ticks, introducing some small measure of negative reprice risk.
That risk is limited to "on the horizon" for the most part as the 6/32nds of weakness is based on the day's highs. No lenders released rates at the highs. Prices are only 1-3 ticks off from rate sheet print times. If the weakness continues, however, negative reprice risk would increase with another 2 ticks of losses (102-09 and below).
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