Today was destined to be a lower-volume session simply because it's the Monday after Good Friday.  That means many US market participants are still out of the office and the entirety of European markets is closed for Easter (observed as a Monday holiday in the EU).  

Low volume doesn't guarantee volatility, but it facilitates it.  Think about any group of buyers and sellers where supply and demand set the price.  Let's say we all buy and sell oranges.  If there are 50 of us with 50 oranges each, we'll have a pretty good idea of what the going rate should be for an orange.  Now, if there are 3 of us with 3 oranges each, if 2 of us need to buy and one of us needs to sell, the price of an orange would go up much faster. 

In other words, low volume and light liquidity mean that every dollar traded has a bigger vote in determining the price of a given security.  That was part of the reason for the afternoon volatility in US bond markets.  

If we want to find specific scapegoats, we can looks at both stocks and currency trading.  Stocks did more to hurt bonds early in the day, with S&P futures jumping up from flat levels in the 7am hour.  Later in the day, it was a bounce in the dollar that coincided with a sharper move toward higher yields in Treasuries.

All of the above spilled over to MBS, with Fannie 3.5s ultimately falling nearly a quarter point from some lenders' rate sheet print times.  Several lenders repriced for the worse in the last 2 hours of the day.


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.5
102-29 : -0-02
Treasuries
10 YR
2.2498 : +0.0218
Pricing as of 4/17/17 4:57PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
10:42AM  :  Little-Changed After Data; Slow Day, as Expected
2:22PM  :  ALERT ISSUED: Slight Increase in Negative Reprice Risk

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Scott Lushing  :  "ellie mae status center link, big issues today: https://emstatuscenter.elliemae.com/"
Mike Owens  :  "anyone having Ellie Mae Encompass issues today?"
Timothy Baron  :  "They misspelled "weakly""
Christopher Stevens  :  "bond market doesn't seem too concerned at the moment"
Christopher Stevens  :  "North Korea says they will test missiles weekly. http://www.bbc.com/news/world-asia-39623882"
Matthew Graham  :  "same thing thesis we've been hoping for: i.e. that late 2016 was a perfect opportunity to reset bond market positions. Also turns out to have been a good opportunity for the Fed to ramp up the removal of accommodation so they can bring it back when the economic cycle rolls over. When we see things like plummeting luxury real estate prices, we know we're in the 6-18 month window."