Although there’s no volume behind it and despite the fact that we generally see MBS entering into a sideways grind above 103-20, we’ve moved far enough away from the prices that prevailed at rate sheet time to begin being slightly wary about negative reprices.
The hugeness of the morning rally makes it easy to overlook that we’re actually 11 ticks off the highs and more than 4 ticks lower from the very lowest prices that prevailed from 9:20am to 10:30am. There are past examples of similar rally days where similar leakage has seen a few lenders reprice negatively, so just a heads up to keep that in mind.
Officially, nothing much is happening. Volume remains low and prices remain in line with the first “ledge” achieved about 10 minutes after the NFP rally–the ledge upon which further gains were built. So being back to said ledge doesn’t much bother us, especially on a Friday afternoon, but it could bother a lender or two at current levels–more so if we start testing 103-20.