Nothing severe, but just a quick note to confirm that the rally into 3pm was indeed due to the month-end buy flows suspected. In the grand scheme of late-day month-end buying, the rally was pretty small and the unwind is similarly small, but it is enough to take MBS back into negative territory by a few ticks. Fannie 3.5s are currently down 4 at 101-11. These price levels don’t connote any new negative reprice risk.
The next bout of volatility may come from money being shuffled for the stock market close in just under 40 minutes. It will take more pronounced movement to shift the reprice risk situation. Just looking to make it to the exit without dropping below, say, 101-08 in Fannie 3.5s, or rising much above 2.52 in 10s.