MBS ALERT: REPRICES FOR THE WORSE POSSIBLE

The FN 4.0 is -0-19 at 98-00 yielding 4.192% and the FN 4.5 is -0-17 at 100-28 yielding 4.405%. The secondary market current coupon is 4.33%. The current coupon yield is 63.5 basis points above the 10yr note yield and 59.4bps over the 10 yr swap.

While many lenders hit rate sheet rebate by about 30bps at the open, not all desks cushioned pricing. Since the initial knee jerk reaction move lower, MBS prices have fallen further and a REPRICE FOR THE WORSE is possible. I already saw one of the GSEs reprice by another 25bps after the data was released. 

Looking ahead, I am hopeful the FN 4.5 will find support at the100-28 pivot (that was my pre-payrolls target).  3.68% is our next level of support in 10s.