Light volume and even lighter liquidity are greasing the skids for a seemingly abrupt move into negative territory with a surprising absence of motivation. Of course if we zoom out to wider points of view, the day’s activity looks completely meaningless and sideways. Both MBS and Treasuries are simply continuing the trends from last week and had simply been nearer the stronger levels–leaving plenty of room for a retreat back to center of last week’s range.
From an intraday standpoint, that still means negative reprice risk. Between the first reprice alert and now, there’s additional risk, especially for lenders who haven’t already repriced. Fannie 3.5s are now down 3 ticks on the day at 101-23. 10yr yields are still in positive territory on the day at 2.6338.