Liquidity (and earlier gains) have been leaking out of bond markets since the noon hour. Fannie 3.0s are back down to 102-16 after hitting 102-22 earlier. Fannie 3.5’s are down to 105-01.
We’re not seeing any cause for alarm with respect to a major sell-off given the current information at the market’s disposal, but simply being backed up to these levels does introduce a modicum of negative reprice risk. Reprices wouldn’t be widespread by any means at current levels, but if bond markets make some sort of unified movement past support levels (1.675 in 10yr yields, 105-00 in Fannie 3.5s and 102-14 in Fannie 3.0s).