Bond markets tanked after NFP this morning.  This sort of thing is to be expected when payrolls print 280k vs a 225k forecast (and a 201k ADP print earlier in the week).  Relative to yesterday's latest levels, bond markets are still in pretty bad shape, but they're better off than they were in the immediate wake of the NFP release.  In other words, we sold-off big time and have bounce back some.

The day began poorly as overnight markets dragged yields higher.  10yr yields were already approaching 2.36 by 8am, up from 2.316 at yesterday's close.  Fannie 3.5s were down to 103-05 from 103-13 yesterday.  When NFP hit, 10's jumped to 2.442, their highest level this year.  Fannie 3.5s dropped to 102-24. 

From that point on, things have been surprisingly calm.  With a significant amount of help from European bond markets, we've slowly but surely reclaimed some of the lost territory.  Granted, MBS are still half a point weaker on the day and 10yr yields are still set to close at their highest levels of the year, but OTHER THAN THAT (!), things could be worse.  Actually, they're still pretty bad.  I'm leaning toward this afternoon's apparent resilience being more to do with the severity of the move seen in the past four days.