30-year fixed-rate mortgage (FRM) averaged 3.88 percent with an average 0.8 point for the week ending March 8, 2012, down from last week when it averaged 3.90 percent. Last year at this time, the 30-year FRM averaged 4.88 percent.

15-year FRM this week averaged 3.13 percent with an average 0.8 point, down from last week when it averaged 3.17 percent. A year ago at this time, the 15-year FRM averaged 4.15 percent.

5-year Treasury-indexed hybrid adjustable-rate mortgage (ARM) averaged 2.81 percent this week, with an average 0.7 point, down from last week when it averaged 2.83 percent. A year ago, the 5-year ARM averaged 3.73 percent.

1-year Treasury-indexed ARM averaged 2.73 percent this week with an average 0.6 point, up from last week when it averaged 2.72 percent. At this time last year, the 1-year ARM averaged 3.21 percent.

Bond markets followed Bunds weaker overnight, but have put in some supportive bounces this morning. The ceiling for 10yr yields was just over 2.01, the same highs seen on Monday, and effectively an affirmation of a narrow range trade ahead of key events.

MBS have been outperforming so far, down only 2 ticks from 5pm at 103-16. Pivot points remain at 103-18 / 103-19 on the upside and 103-10 on the downside, although the narrowness of yesterday's range combined with the support seen this morning bring 103-13 into play as a sort of "first line of defense" against falling prices.

Weekly Jobless Claims were slightly worse than expected, and we did see some volume pick up there, but it unfortunately coincided with Mario Draghi's post-ECB Rate Decision press conference.

Either way, Jobless Claims is not a market mover for today. Markets are waiting primarily on what we'll affectionately refer to as Greek bond swap "Deadline Headlines." Speculation and reports on increasing levels of participation are assumed to be at least partially responsible for overnight bond market weakness.

Bonds might take a short term hit, and even get nudged outside recent ranges if Greece hits their targets. But NFP tomorrow will still matter, and might even trump the importance of Deadline Headlines, especially if markets have worked through the temporary euphoria (and make no mistake that it would indeed be temporary) at Greece being "saved" once again.

If NFP is better-than-expected, however, that could be a problem if it coincides with an economically bullish read on whatever news we get on the Greek bond swap today.

Things could get quite a bit more volatile between now and tomorrow afternoon, though remain range-bound for now, waiting on the first major deadline headline.

* Claims rose 362k vs 351k consensus
* Previous week revised up from 351k to 354k
* Continued Claims 3.416m vs 3.4m consensus
* Previous Cont. Claims revised up to 3.406m from 3.402m

In the week ending March 3, the advance figure for seasonally adjusted initial claims was 362,000, an increase of 8,000 from the previous week's revised figure of 354,000. The 4-week moving average was 355,000, an increase of 250 from the previous week's revised average of 354,750.

The advance seasonally adjusted insured unemployment rate was 2.7 percent for the week ending February 25, unchanged from the prior week's unrevised rate.

The advance number for seasonally adjusted insured unemployment during the week ending February 25, was 3,416,000, an increase of 10,000 from the preceding week's revised level of 3,406,000. The 4-week moving average was 3,417,500, a decrease of 27,500 from the preceding week's revised average of 3,445,000.