MBS Pricing Snapshot

Bond markets are on a tear once again this morning. In strikingly similar fashion to yesterday's morning rally. In both cases, gains followed weak employment data after Treasuries moved relentlessly and even defiantly sideways in the overnight session.

This is made all the more impressive by the outrageously aggressive central bank policy announced by Japan overnight (doubling an already large annual bond buying target, and more than doubling the average duration target--essentially, the BOJ's announcement makes QE1-3 look remarkably timid, and the run toward all time low Japanese 10yr yields at 0.45 in a few blinks of an eye last night stands as evidence).

Despite that big news, Treasuries remained almost unbelievably sideways, In and of itself, the containment wouldn't have been that surprising, but considering it's the 2nd day in a row, and comes amid big news and big movement in global overnight markets, it's a major testament to how much US markets are hanging on Friday's jobs number and any employment data in between.

To that end, this morning's Jobless Claims data came in much higher than expected, and was quickly pounced upon by anxious bond markets. Yields were already edging lower into the data, but made another big jump after the 35k miss (385k vs 350k consensus).

MBS are up 6 ticks to 103-22 and certainly saw their first hint of resistance at 103-24. 10yr yields moved from the low 1.8's to 1.76 following the data. This is incredibly significant territory for 10yr yields as it is close to the outer limits of the long-term uptrend in rates. Stay on guard this morning as it already looks like resistance is in at the post data lows and we've been heading in the other direction since 8:55am with Draghi having nothing bond-bullish to add during his press conference.

- Claims 385k vs 350k Consensus
- 4-week Average to 354,250 from 343k - Claims highest since Nov 24, 2012

In the week ending March 30, the advance figure for seasonally adjusted initial claims was 385,000, an increase of 28,000 from the previous week's unrevised figure of 357,000. The 4-week moving average was 354,250, an increase of 11,250 from the previous week's unrevised average of 343,000.

The advance seasonally adjusted insured unemployment rate was 2.4 percent for the week ending March 23, unchanged from the prior week's unrevised rate. The advance number for seasonally adjusted insured unemployment during the week ending March 23 was 3,063,000, a decrease of 8,000 from the preceding week's revised level of 3,071,000. The 4-week moving average was 3,067,250, a decrease of 10,500 from the preceding week's revised average of 3,077,750.