MBS Pricing Snapshot

While it may be premature or altogether inapplicable to refer to anything in bond markets as "stabilizing," we can at least take some solace in the fact that we've now recaptured the losses seen after this morning's stronger-than-expected Jobless Claims numbers.

Sadly, even after the bounce back, 10's currently remain mostly on the other side of yesterday's high yields, threatening to make yet another "ratcheting move" higher unless we continue to pick up steam this morning.

The overnight session started out poorly with 10's trading as high in yield as 2.064 in Asian hours. In a break from recent traditions, the European session actually helped Treasuries recover as weaker GDP data and dovish comments from ECB's Constancio conspired to usher German Bunds a hefty 6bps lower in less than 2 hours! Treasuries were willing to follow, but only to the the tune of 3bps at first, though they caught an extra 1.5 in the next two hours, bringing the overnight low to 2.025.

That's strikingly close to the current 2.0243 on screens presently, and a far cry from the 2.054 seen in the moments following Jobless Claims data. MBS opened at 102-22, near yesterday's modal highs, fell precisely to yesterday's lows of 102-19 after Claims, and have actually eclipsed yesterday's highs in the bounce back, currently sitting right on them at 102-25.

30yr Auction at 1pm

- Claims 341k vs 360k Consensus
- Continued Claims 3.114 mln vs 3.2 mln consensus
- Continued Claims Lowest Since July 2008

In the week ending February 2, the advance figure for seasonally adjusted initial claims was 366,000, a decrease of 5,000 from the previous week's revised figure of 371,000. The 4-week moving average was 350,500, a decrease of 2,250 from the previous week's revised average of 352,750.

The advance seasonally adjusted insured unemployment rate was 2.5 percent for the week ending January 26, unchanged from the prior week's unrevised rate. The advance number for seasonally adjusted insured unemployment during the week ending January 26 was 3,224,000, an increase of 8,000 from the preceding week's revised level of 3,216,000. The 4-week moving average was 3,211,000, an increase of 13,750 from the preceding week's revised average of 3,197,250.