MBS Pricing Snapshot

Treasuries were stronger right out of the gate overnight as Yen strengthened and the Nikkei fell. All three moves were over by 10pm and Treasuries held sideways from there, albeit with slight volatility between 2.9 and 2.88.

With Treasuries hitting the domestic session in slightly positive territory, MBS did the same, but to a lesser extent. In fact "same but to a lesser extent" would be a good theme for MBS, in general this week, as they continue to gain less and lose less than Treasuries.
br/> This morning's Jobless Claims numbers provided misdirection and another small dose of volatility. Although the headline was much lower than expected, the Labor Department essentially said "don't pay attention to this one," as they highlighted a computer upgrade that prevented two states from processing Claims.

Whatever initial selling bias that existed at the headline was immediately arrested and bond markets changed course to head into stronger territory. At this point, Treasuries are at their best yields of the overnight or domestic session with 10's at 2.87. Fannie 4.0s are up 6 ticks at 102-20.

The next major calendar item is the 30yr Bond Auction at 1pm.

- Import Prices +0.0 vs +0.4 forecast
- Export Prices -0.5 vs +0.1 forecast

- Market Reaction: essentially none, but tough to say as a stronger inflation number may have had some negative effect. So perhaps it helped hold ground. Markets don't react much to this series of data anyway.

Prices for U.S. imports were unchanged in August, the U.S. Bureau of Labor Statistics reported today, after ticking up 0.1 percent in July. In August, higher fuel prices were offset by declining nonfuel prices. U.S. export prices fell 0.5 percent in August following a 0.1 percent decrease the previous month.

- Claims 292k vs 330k Forecast, 323k Previously
- Labor Dept analyst says bulk of the decline is due to computer upgrades in 2 states that prevented full processing of Claims.

Market Reaction: this one was tossed off the assembly line as defective.

In the week ending September 7, the advance figure for seasonally adjusted initial claims was 292,000, a decrease of 31,000 from the previous week's unrevised figure of 323,000. The 4-week moving average was 321,250, a decrease of 7,500 from the previous week's revised average of 328,750.

The advance seasonally adjusted insured unemployment rate was 2.2 percent for the week ending August 31, a decrease of 0.1 percentage point from the prior week's unrevised rate. The advance number for seasonally adjusted insured unemployment during the week ending August 31 was 2,871,000, a decrease of 73,000 from the preceding week's revised level of 2,944,000. The 4-week moving average was 2,953,000, a decrease of 24,750 from the preceding week's revised average of 2,977,750.