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.

MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
FNMA 3.0
99-11 : -0-18
FNMA 3.5
102-29 : -0-16
FNMA 4.0
105-24 : -0-11
2 YR
0.7210 : +0.0564
10 YR
2.3900 : +0.0810
30 YR
3.0960 : +0.0530
Pricing as of 6/5/15 1:42PMEST

Morning Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
8:33AM  :  ALERT ISSUED: NFP Much Higher Than Expected; Bonds Tanking

Live Chat Featured Comments
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Andy Pada, Jr.  :  "there is one prevailing theme this past year: volatility. We'll get days like today and days like last Friday. The only real question is are ready to execute when given the opportunity?"
John Tassios  :  "Give time to play out, these higher TSY levels already has plenty of concessions built in for this kind of # "
Sung Kim  :  "hmmm, why are we not at 2.50 yet?"
Victor Burek  :  "thus the higher rate"
Victor Burek  :  "more people entered work force"
Tim McNerney  :  "5.5% rate"
Matthew Graham  :  "RTRS- U.S. MAY NONFARM PAYROLLS +280,000 (CONSENSUS +225,000) VS APRIL +221,000 (PREV +223,000), MARCH +119,000 (PREV +85,000)"