MBS are at a major long-term pivot point in 3.0s. If things get any worse today, we could really see the convexity selling kick into high gear, pulling Treasuries along with it.
As of right now, 10yr yields are ticking up into the high 1.83’s–highs of the day–and MBS are right on the long term pivot, down a tick on the day at 102-01. It’s pretty serious if we don’t bounce higher here… More serious if we fall directionally lower.
Either way, there is additionally negative reprice risk. We’d see them as fairly likely at these price levels, and probably fairly widespread. Some could be potentially big depending on the lender and their initial rate sheet for the day.
Apologies in advance if this is a head-fake, and we’ll let you know ASAP if we bounce back into less scary territory.