Just a quick heads up for those of you who might not be glued to the dashboard (because it's fairly obvious otherwise). 

Fannie 4.0s are now up 4 ticks on the day to 103-10 and 10yr yields are down more than 3bps to 2.963--both the best levels of the day. 

There's no special reason for the gains, which have simply come as a grinding afternoon bid for bonds following the relatively strong 30yr Auction.  Essentially, this is like the "late day leakage" we sometimes discuss, but in the opposite direction.

Most importantly, the only place moves of this size matter are on a micro, intraday scale.  10yr yields have been an 8bp market for 3 weeks now.  Very very very flat.  We may find that tomorrow morning is the thing that finally breaks the flatness.

The 30yr Bond auction came in stronger than expected, with a 3.899 high yield vs a 2.904 expectation.  Demand was high, with 2.57 dollars bid for ever dollar auctioned (bid-to-cover)--the best since January 2013.

Combined with the week's supply constraints (i.e. no more Treasury debt to absorb), this removes a fair amount of pressure for bond markets heading into tomorrow's NFP, and should at least prevent any further weakness.

As of this very moment, it's resulting in strength for both MBS and Treasuries.  10yr yields have shed about 2bps , and are currently down almost 2bps on the day at 2.975.  Fannie 4.0s gained a quick 3-4 ticks, currently up 3 on the day at 103-09. 

This is 1 tick higher than 9:15am "early rate sheet" time, but 5 ticks higher than the later rate sheet times, meaning a lender or two would be justified in considering a positive reprice if these gains hold.

MBS had been descending and Treasury yields rising almost perfectly in line with the time that Mario Draghi finished his press conference this morning.  We're currently in limbo as to whether the weakness will continue, but leaning toward a friendly bounce.

There was perhaps a small amount of negative reprice risk for a lender or two, but it's faded as we hold our ground.  Those most as risk would be the ones who priced before 9:30, when prices were at their highs.  Fannie 4.0s were 4/32nds (.125) lower since then a moment ago, but have bounced a tick higher. 

10yr yields are doing their best to stay contained, holding just inside positive territory at 2.982.  As of right now, MBS are holding their ground and look to be bouncing off the lows.  We can't completely rule out reprice risk, but it would be an aggressive move.  Reprices would be more likely if we broke below 103-04, and even then, not widespread.

The overnight session was nothing to write home about.  Yields held near 2.99 and only became slightly more volatile heading into the domestic session.

Jobless claims (details below) was close to consensus and not a big market mover this morning.  It might seem like it is when looking at charts, but the more direct correlation is to ECB President Mario Draghi's press conference headlines. 

Without putting too fine a point on it, Draghi has just been erring on the side of aggression with respect to easing.  This is nothing new from Draghi, and European markets have responded in a predictable fashion (core bond markets improving).

It's been those movements in German Bunds and other EU core debt that has had a more profound impact on domestic trading so far this morning, to whatever extent a 2bp change in 10yr yields and a 2 tick change in Fannie 4.0s could be considered profound.

Translation: pretty quiet day so far, but moderately positive thanks to ECB press conference.

Jobless Claims

• Claims 330k vs 335k forecast
• 4-wk Avg 349k vs 358.75k previously
• Continued Claims 2.865 mln vs 2.84 mln forecast

From the DOL:

In the week ending January 4, the advance figure for seasonally adjusted initial claims was 330,000, a decrease of 15,000 from the previous week's revised figure of 345,000.
The 4-week moving average was 349,000, a decrease of 9,750 from the previous week's revised average of 358,750.

The advance seasonally adjusted insured unemployment rate was 2.2 percent for the week ending December 28, unchanged from the prior week's unrevised rate.  The advance number for seasonally adjusted insured unemployment during the week ending December 28 was 2,865,000, an increase of 50,000from the preceding week's revised level of 2,815,000.The 4-week moving average was 2,872,250, an increase of 18,750 from the preceding week's revised average of 2,853,500.

Just a quick heads up for those of you who might not be glued to the dashboard (because it's fairly obvious otherwise). 

Fannie 4.0s are now up 4 ticks on the day to 103-10 and 10yr yields are down more than 3bps to 2.963--both the best levels of the day. 

There's no special reason for the gains, which have simply come as a grinding afternoon bid for bonds following the relatively strong 30yr Auction.  Essentially, this is like the "late day leakage" we sometimes discuss, but in the opposite direction.

Most importantly, the only place moves of this size matter are on a micro, intraday scale.  10yr yields have been an 8bp market for 3 weeks now.  Very very very flat.  We may find that tomorrow morning is the thing that finally breaks the flatness.

The 30yr Bond auction came in stronger than expected, with a 3.899 high yield vs a 2.904 expectation.  Demand was high, with 2.57 dollars bid for ever dollar auctioned (bid-to-cover)--the best since January 2013.

Combined with the week's supply constraints (i.e. no more Treasury debt to absorb), this removes a fair amount of pressure for bond markets heading into tomorrow's NFP, and should at least prevent any further weakness.

As of this very moment, it's resulting in strength for both MBS and Treasuries.  10yr yields have shed about 2bps , and are currently down almost 2bps on the day at 2.975.  Fannie 4.0s gained a quick 3-4 ticks, currently up 3 on the day at 103-09. 

This is 1 tick higher than 9:15am "early rate sheet" time, but 5 ticks higher than the later rate sheet times, meaning a lender or two would be justified in considering a positive reprice if these gains hold.

MBS had been descending and Treasury yields rising almost perfectly in line with the time that Mario Draghi finished his press conference this morning.  We're currently in limbo as to whether the weakness will continue, but leaning toward a friendly bounce.

There was perhaps a small amount of negative reprice risk for a lender or two, but it's faded as we hold our ground.  Those most as risk would be the ones who priced before 9:30, when prices were at their highs.  Fannie 4.0s were 4/32nds (.125) lower since then a moment ago, but have bounced a tick higher. 

10yr yields are doing their best to stay contained, holding just inside positive territory at 2.982.  As of right now, MBS are holding their ground and look to be bouncing off the lows.  We can't completely rule out reprice risk, but it would be an aggressive move.  Reprices would be more likely if we broke below 103-04, and even then, not widespread.

The overnight session was nothing to write home about.  Yields held near 2.99 and only became slightly more volatile heading into the domestic session.

Jobless claims (details below) was close to consensus and not a big market mover this morning.  It might seem like it is when looking at charts, but the more direct correlation is to ECB President Mario Draghi's press conference headlines. 

Without putting too fine a point on it, Draghi has just been erring on the side of aggression with respect to easing.  This is nothing new from Draghi, and European markets have responded in a predictable fashion (core bond markets improving).

It's been those movements in German Bunds and other EU core debt that has had a more profound impact on domestic trading so far this morning, to whatever extent a 2bp change in 10yr yields and a 2 tick change in Fannie 4.0s could be considered profound.

Translation: pretty quiet day so far, but moderately positive thanks to ECB press conference.

Jobless Claims

• Claims 330k vs 335k forecast
• 4-wk Avg 349k vs 358.75k previously
• Continued Claims 2.865 mln vs 2.84 mln forecast

From the DOL:

In the week ending January 4, the advance figure for seasonally adjusted initial claims was 330,000, a decrease of 15,000 from the previous week's revised figure of 345,000.
The 4-week moving average was 349,000, a decrease of 9,750 from the previous week's revised average of 358,750.

The advance seasonally adjusted insured unemployment rate was 2.2 percent for the week ending December 28, unchanged from the prior week's unrevised rate.  The advance number for seasonally adjusted insured unemployment during the week ending December 28 was 2,865,000, an increase of 50,000from the preceding week's revised level of 2,815,000.The 4-week moving average was 2,872,250, an increase of 18,750 from the preceding week's revised average of 2,853,500.