MBS LUNCH: Reprices for the Worse Possible

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The 10yr TSY note  is now testing 3.26....

....and "rate sheet influential" prices just hit a new intraday low.

The FN 4.0 is currently -0-08 at 100-07 yielding 3.986% and the FN 4.5 is -0-07 at 102-13 yielding 4.198%. The secondary market current coupon is 3.966%. The CC yield is +71bps/10yr TSY yield and +61bps/10yr swap rate. "Rate sheet influential" yield spreads are tighter on the day as moderate originator supply has been taken down by the Fed (over $1billion) plus a few more 5.5s. On the other side of the MBS coupon stack, after having a great day yesterday, profit taking has weakened "up in coupon" valuations while the belly of the coupon stack (5.0s and 5.5s) is the best performer on the day.

RE: REPRICES FOR THE WORSE

This is what MG said in MBS MORNING....

"Even so, it's CONCEIVABLE  that a lender who priced early might be spooked by this test of the 10yr and read MBS indications into that, thus prompting a small reprice from the worse.  But we go Vizzini from Princess Bride standing by in case we need to lament broader risk of reprices for the worse.  Money or timeless comedy...  Can't lose either way..."

While I have no idea who Vizzzini is or what the Princess Bride is....that forecast still turned out to be accurate. (MG what in the world are you doing in your free time?)

We have already seen a few reprices for the worse...more may be on the way.