"The gap" refers to the closing yields in 10yr Treasuries of 2.15% on 11/10/2016 followed by opening yields of 2.17% the following business day.  Granted, that was over a 3-day weekend, but such gaps are nonetheless rare events.  Rates revisited the gap and bounced in mid-April.  They've been drifting back within striking distance since then and, with help from today's NFP, made it all the way across to 2.1435 in terms of intraday levels before rising to 2.16% by the 3pm CME close.

Ideally, we'd want to see yields close below 2.15% for 2 consecutive days before considering the gap breakout to be "confirmed."  As such, next week's momentum becomes critically important if you're hoping to see the trend toward lower rates continue.  It will basically cast a deciding vote as to whether we're bouncing again, or breaking through the gap.


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.5
103-12 : +0-08
Treasuries
10 YR
2.1591 : -0.0579
Pricing as of 6/2/17 6:38PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
1:17PM  :  ALERT ISSUED: Negative Reprice Risk Increasing For a Few Lenders
8:50AM  :  Big Rally after NFP (Why So Big?)

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Christopher Stevens  :  "If the 10YR moves closer to 2.17 I would consider locking but could be worth a wait for Monday. This time of year after big news a lot of traders head out for a long weekend."
Victor Burek  :  "if we get the gains, may consider it, but not holding my breath"
Caroline Roy  :  "tough to pass up such a green friday"
Victor Burek  :  "not me bc"
Ray Blindauer  :  "I'm going to see how it goes and if we stay at or near these levels, I'm going to float."
B C  :  "anyone locking today?"

Economic Calendar
Time Event Period Actual Forecast Prior
Friday, Jun 02
8:30 Non-farm payrolls (k)* May +138 185 211
8:30 Private Payrolls (k)* May +147 173 194
8:30 Unemployment rate mm (%)* May 4.3 4.4 4.4
8:30 Average workweek hrs (hr)* May 34.4 34.4 34.4
Monday, Jun 05
8:30 Labor Costs Revised (%) Q1 2.5 3.0
8:30 Productivity Revised (%) Q1 0.0 -0.6
10:00 ISM N-Mfg Bus Act * May 62.0 62.4
10:00 ISM N-Mfg PMI * May 57.0 57.5
10:00 Factory orders mm (%) Apr -0.2 0.5
Wednesday, Jun 07
7:00 Mortgage Market Index w/e 402.2
Friday, Jun 09
10:00 Wholesale inventories mm (%) Apr 0.2 -0.3
10:00 Wholesale sales mm (%) Apr 0.0