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MBS RECAP: More Defensive After Jobs Report, But Not Necessarily Because of it
Aug 7 2020, 3:01PM

The jobs report was hard-pressed to live up to its historical market movement potential this morning, but it did its best to surprise markets.  Bonds reacted momentarily but quickly traded in the opposite direction.  The rest of the day brought other concerns, however, and the resulting market movement has risk-averse clients reconsidering their lock/float stance. 

Econ Data / Events
  • 20min of Fed 30yr UMBS Buying 10am, 1130am (M-F) and 1pm (T-Th)

  • Nonfarm Payrolls 1.763m vs 1.6m f'cast, 4.791m prev

  • Unemployment Rate 10.2 vs 10.5 f'cast, 11.1 prev

Market Movement Recap
08:45 AM

Fairly small but very fast sell-off following strong NFP, but now very contained.  Minimal weakness in Treasuries.  MBS back into POSITIVE territory on the day.  Stocks made quick gains, but have now erased them.

11:28 AM

Bonds reversed course after hitting the strongest levels just before 10am.  Treasuries are now weaker on the day (10yr up less than 2bps) and MBS are just holding onto a 1 tick (0.03) gain.

02:15 PM

MBS slightly weaker now and very choppy/illiquid.  This created some reprice risk as discussed in this alert.  Still only 1 tick weaker on the day (-0.03).  10yr yields are remaining below their .57% ceiling (.56% currently).


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
UMBS 2.0
103-19 : -0-03
Treasuries
10 YR
0.5624 : +0.0264
Pricing as of 8/7/20 2:59PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
1:04PM  :  ALERT ISSUED: Negative Reprice Risk Increasing
11:43AM  :  ALERT ISSUED: Bonds Losing Ground Now; Reprice Risk Considerations.
8:36AM  :  Jobs Report Crushes Consensus; Bonds Behaving as Expected

Economic Calendar
Time Event Period Actual Forecast Prior
Friday, Aug 07
8:30 Non-farm payrolls (k)* Jul 1763 1600 4800
8:30 Unemployment rate mm (%)* Jul 10.2 10.5 11.1

About the Author

Chief Operating Officer, Mortgage News Daily / MBS Live
A former originator, Matthew began writing for Mortgage News Daily in 2007, covering a wide range of topics. Seeing a need in the marketplace, his focus increasingly shifted toward relating MBS and broader financial markets for loan originators. ... more

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