MBS Pricing Snapshot

Though only a moderate, negative reprice risk continues as MBS continue to trend lower on the day. Fannie 3.0s haven't gone more than an hour today without hitting a new intraday low and are currently 5 ticks in the red at 105-25.

While the 5/32nds loss lets you know the weakness is moderate, we'd also view it as fairly incidental. It's not unfeasible to credit this morning's data with some of the weakness, but even without data, today's price movements simply look like a logical part of the broader trends heading into Friday NFP.

That said, it's been weak enough for a few lenders to reprice for the worse already, and at current levels the door remains open for other lenders to follow suit. For those more predisposed to "wait and see," some comfort could be found in the fact that 105-24 has held up to a few bounces just before and after the noon hour. We'd probably watch for a break of 105-24 vs 105-27 for the next cue higher or lower. In terms of 10yr Treasuries' suggestion on broader trends, 1.640 is the magic number at the moment. 10's are currently at 1.630.

Weakness that occurs between 10am and Noon is a bit of a mixed bag in terms of its suggestion of negative reprice risk. A lot depends on the time of day that a given lender released their first rate sheet. Naturally, rate sheets released before prices dipped at 10:07am are at more risk than the sheets that came out later in the morning.

Fannie 3.0s hit 105-30 just before 10am and are now down to 105-26. This 4 tick (or .125) change in prices is sort of the preliminary line in the sand beyond which, further losses create more developed risk. Some lenders may reprice at current levels, but the risks increase as we move lower from here.