Silly bond markets! They'd gotten a bit overzealous heading into today's auction with 10's ratcheting down to 2.035 for what seemed like "no good reason." Same story in MBS (in fact MBS may have been the culprit for the bullishness in Treasuries) as production coupons started heading north just after 12 noon.

There likely had to be one big buyer to get that party started, but after that, a quick check of the facts reveals the MBS levity to be a "coulda had a V8" moment. Clues were in higher coupons which have been rallying better than lower coupons on the day, and performing better vs benchmarks since NFP.

After this morning's ground-holding in Treasuries following Jobless Claims, mortgages began tentatively inching higher (BUT AGAIN, THIS WAS MORE APPARENT IN HIGHER COUPONS). That led to a situation where the price between Fannie 3.0s and 3.5's was as wide as it has been since NFP day, and provided a clear technical signal that "if Treasuries are going to hold their ground, it's time for 3.0s to catch up."

And that's what they've done with prices now down only 3 ticks on the day at 102-11. Wait... What? Yes, MBS are still down on the day, as are Treasuries. It's all part of the "hurry up and wait" sideways range between 2.0 and 2.075 in 10yr yields that's prevailed since NFP. MBS saw that we weren't going to test 2.075 this AM after stronger Claims data and bond markets in general, got the green light from an absence of a runaway stock rally and here we are: right back to the mid-point of the week's range in 10's and right back to the mid-point of the week's range in MBS. It feels more abrupt in Fannie 3.0s because it has been (relative to 3.5's anyway).

All that having been said, we're up enough from opening levels for positive reprices. A few have already come in. 10's are at their lows of the day, but there's been tons of short-covering, so it all reeks of a return to range-bound neutrality for now. Further facilitation of the rally past, say, 2.02 and especially past 2.0% in 10's would need something tangible. MBS, on the other hand, have some room to tighten, both vs Treasuries and vs themselves (3.0 vs 3.5s are 'allowed' to get back at least to a 2 and a half point gap before reassessing). In other words, we could see moderate additional gains, which would keep positive reprices on the table, but aren't expecting a big rally. All efforts are likely to be capped by 30yr WI's floor at 3.229. For reference, those just made it to 3.232, so we're getting close to out of steam, if not there already.

The title is somewhat misleading as it suggests that three pieces of employment-related economic data underly the three big shifts in bond market momentum this morning. Indeed, some might argue this to be the case, and it certainly is the case in Australia where employment rose to 71.5k vs a 9k consensus. As others have pointed out, if US NFP beat recent averages that much, it would equate to over a million jobs created.

As such, there's a very loud and silly bandwagon out there suggesting this as a source of overnight weakness. While it did make for a huge move higher in Australian debt yields, the reaction in Treasuries was less than 1bp, AND US 10's stayed in that same 1bp range right through to the EU open. This marked the scene of the real move higher in yields, taking US Treasuries just slightly higher than yesterday's highest pre-auction levels.

As per usual, German Bunds were the most closely-related guidance giver overnight, but the connection has been increasingly choppy (within reason). Whereas Bunds managed to ratchet appreciably lower after EU Employment data, Treasuries didn't follow to the same extent, likely thinking about impending Jobless Claims and the afternoon auction supply.

US 10's were already playing defense before Claims, with the stronger-than-expected result taking yields to their highest levels since NFP Friday. We've seen a great show of support so far with 10's stopping short of challenging the most important 2.075 technical ceiling but we're still in significantly weaker territory.

10yr yields are currently up almost 4bps at 2.0594. MBS opened up in line with yesterday's lows and have given up a few more ticks since then, currently down 8/32nds at 102-06. S&P futures are just off their post-Claims highs, but still 3pt higher vs yesterday's 4pm levels. The next major consideration is the 1pm 30yr Bond Auction, as well as the stock lever after the 9:30am opening bell.

- Claims 332k vs 350k Consensus, 342k Previously
- 4 week average and continued claims lowest since mid 2008

In the week ending March 9, the advance figure for seasonally adjusted initial claims was 332,000, a decrease of 10,000 from the previous week's revised figure of 342,000. The 4-week moving average was 346,750, a decrease of 2,750 from the previous week's revised average of 349,500. The advance seasonally adjusted insured unemployment rate was 2.4 percent for the week ending March 2, unchanged from the prior week's unrevised rate. The advance number for seasonally adjusted insured unemployment during the week ending March 2 was 3,024,000, a decrease of 89,000 from the preceding week's revised level of 3,113,000. The 4-week moving average was 3,098,250, a decrease of 28,250 from the preceding week's revised average of 3,126,500.

Silly bond markets! They'd gotten a bit overzealous heading into today's auction with 10's ratcheting down to 2.035 for what seemed like "no good reason." Same story in MBS (in fact MBS may have been the culprit for the bullishness in Treasuries) as production coupons started heading north just after 12 noon.

There likely had to be one big buyer to get that party started, but after that, a quick check of the facts reveals the MBS levity to be a "coulda had a V8" moment. Clues were in higher coupons which have been rallying better than lower coupons on the day, and performing better vs benchmarks since NFP.

After this morning's ground-holding in Treasuries following Jobless Claims, mortgages began tentatively inching higher (BUT AGAIN, THIS WAS MORE APPARENT IN HIGHER COUPONS). That led to a situation where the price between Fannie 3.0s and 3.5's was as wide as it has been since NFP day, and provided a clear technical signal that "if Treasuries are going to hold their ground, it's time for 3.0s to catch up."

And that's what they've done with prices now down only 3 ticks on the day at 102-11. Wait... What? Yes, MBS are still down on the day, as are Treasuries. It's all part of the "hurry up and wait" sideways range between 2.0 and 2.075 in 10yr yields that's prevailed since NFP. MBS saw that we weren't going to test 2.075 this AM after stronger Claims data and bond markets in general, got the green light from an absence of a runaway stock rally and here we are: right back to the mid-point of the week's range in 10's and right back to the mid-point of the week's range in MBS. It feels more abrupt in Fannie 3.0s because it has been (relative to 3.5's anyway).

All that having been said, we're up enough from opening levels for positive reprices. A few have already come in. 10's are at their lows of the day, but there's been tons of short-covering, so it all reeks of a return to range-bound neutrality for now. Further facilitation of the rally past, say, 2.02 and especially past 2.0% in 10's would need something tangible. MBS, on the other hand, have some room to tighten, both vs Treasuries and vs themselves (3.0 vs 3.5s are 'allowed' to get back at least to a 2 and a half point gap before reassessing). In other words, we could see moderate additional gains, which would keep positive reprices on the table, but aren't expecting a big rally. All efforts are likely to be capped by 30yr WI's floor at 3.229. For reference, those just made it to 3.232, so we're getting close to out of steam, if not there already.

The title is somewhat misleading as it suggests that three pieces of employment-related economic data underly the three big shifts in bond market momentum this morning. Indeed, some might argue this to be the case, and it certainly is the case in Australia where employment rose to 71.5k vs a 9k consensus. As others have pointed out, if US NFP beat recent averages that much, it would equate to over a million jobs created.

As such, there's a very loud and silly bandwagon out there suggesting this as a source of overnight weakness. While it did make for a huge move higher in Australian debt yields, the reaction in Treasuries was less than 1bp, AND US 10's stayed in that same 1bp range right through to the EU open. This marked the scene of the real move higher in yields, taking US Treasuries just slightly higher than yesterday's highest pre-auction levels.

As per usual, German Bunds were the most closely-related guidance giver overnight, but the connection has been increasingly choppy (within reason). Whereas Bunds managed to ratchet appreciably lower after EU Employment data, Treasuries didn't follow to the same extent, likely thinking about impending Jobless Claims and the afternoon auction supply.

US 10's were already playing defense before Claims, with the stronger-than-expected result taking yields to their highest levels since NFP Friday. We've seen a great show of support so far with 10's stopping short of challenging the most important 2.075 technical ceiling but we're still in significantly weaker territory.

10yr yields are currently up almost 4bps at 2.0594. MBS opened up in line with yesterday's lows and have given up a few more ticks since then, currently down 8/32nds at 102-06. S&P futures are just off their post-Claims highs, but still 3pt higher vs yesterday's 4pm levels. The next major consideration is the 1pm 30yr Bond Auction, as well as the stock lever after the 9:30am opening bell.

- Claims 332k vs 350k Consensus, 342k Previously
- 4 week average and continued claims lowest since mid 2008

In the week ending March 9, the advance figure for seasonally adjusted initial claims was 332,000, a decrease of 10,000 from the previous week's revised figure of 342,000. The 4-week moving average was 346,750, a decrease of 2,750 from the previous week's revised average of 349,500. The advance seasonally adjusted insured unemployment rate was 2.4 percent for the week ending March 2, unchanged from the prior week's unrevised rate. The advance number for seasonally adjusted insured unemployment during the week ending March 2 was 3,024,000, a decrease of 89,000 from the preceding week's revised level of 3,113,000. The 4-week moving average was 3,098,250, a decrease of 28,250 from the preceding week's revised average of 3,126,500.

- Claims 332k vs 350k Consensus, 342k Previously
- 4 week average and continued claims lowest since mid 2008

In the week ending March 9, the advance figure for seasonally adjusted initial claims was 332,000, a decrease of 10,000 from the previous week's revised figure of 342,000. The 4-week moving average was 346,750, a decrease of 2,750 from the previous week's revised average of 349,500. The advance seasonally adjusted insured unemployment rate was 2.4 percent for the week ending March 2, unchanged from the prior week's unrevised rate. The advance number for seasonally adjusted insured unemployment during the week ending March 2 was 3,024,000, a decrease of 89,000 from the preceding week's revised level of 3,113,000. The 4-week moving average was 3,098,250, a decrease of 28,250 from the preceding week's revised average of 3,126,500.