MBS have descended back to morning levels and 10yr yields are back up into the 2.24’s after a heady little rally at 10am. News that Greece will extend the deadline for the remaining “international law” bondholders until April 4th is having a positive effect on risk markets, bringing stocks up and weakening bond markets.
We weren’t especially convinced we’d see any positive reprices earlier and indeed got only one. Similarly, we’re not now expecting a flood of negative reprices, but we are sensitive the a 6/32nds swing in prices for any lenders who priced between 10:15 and 10:45am.
In terms of gauging the broader shifts, 10yr yields are at an important pivot point here in the 2.24’s. This could turn out to be an oversimplification, but it looks like if 10’s can hold a pivot at 2.244, then MBS will be content to hold their ground as well, minimizing the already relatively small reprice risk. Fannie 3.5’s are still 6 ticks improved on the day at 102-12.
to recap: we’d keep an eye on 2.244 in 10’s and 102-11 in Fannie 3.5’s as pivot points. If MBS are moving lower through 102-11, reprice risk is increasing.