MBS Prices have fallen enough from rate sheet time to justify negative reprice risk. Fannie 3.0s are down 14 ticks on the day, matching this morning’s worst levels.
Judging the reprice risk is slightly tricky here as some lenders may have had those previous lows fresh in their minds when putting initial rate sheets out this morning. For them, reprice risk is still a few ticks away, though it’s impossible to determine which lenders fall into that category.
The closer to 9am a rate sheet was released, (and we know that doesn’t apply to hardly anyone) the more at risk it would be. The more aggressive a rate sheet was with respect to yesterday and to its peers, the more at risk it would be.
Bottom line, we’re not looking at widespread, guaranteed reprices yet, but we could see a few at current levels, and several more if we fall further.