MBS Live Recap: Bonds Definitely Playing Defense Ahead of NFP

Friday's nonfarm payrolls data (NFP) will be more important than normal due to its role in the Fed's taper timing conversation.  Things could go either way, as always, but if the report is stellar, it would join forces with 2 straight days of somewhat heavy selling.  The net effect would be a pain trade for a bond market that had entered the week at the best levels in 6 months--one that would receive at least some consideration as marking the end of the summertime bull run.  (And yes, this is all a tad dramatic until it isn't.  Let's hope it's not).

Econ Data / Events
  • Fed MBS Buying 10am, 1130am, 1pm

  • Jobless Claims 385 vs 384 f'cast, 399 prev
    Continued Claims 2.93m vs 3.26m f'cast

Market Movement Recap
08:32 AM

Bonds opened slightly weaker in Asia but gradually whittled away at losses until hitting the domestic session at 'unchanged' levels in 10yr yields.  MBS are just under an eighth of a point weaker to start.  Stronger jobless claims data isn't helping, but isn't really hurting either.

11:32 AM

Steady selling all morning, and gathering some steam at the moment.  MBS down more than a quarter point and 10yr yields up 3.9bps to 1.29%.  pre-NFP position squaring, corporate bond hedging, stronger stocks, decent data, Fed's Waller's comments on NFP... take your pick on potential market movers.

04:12 PM

selling leveled off in the PM hours but 10yr yields remain near highs of the day, up 4+bps at 1.222%.  MBS are down more than a quarter point.  Low volatility for the past 4 hours.

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