It's the first Friday of the month....that means it's time to absorb the most influential US economic indicator: The Employment Situation Report- Nonfarm Payrolls

Economists forecast the unemployment rate will reach levels not seen since the early 80s. Markets are very sensitive to the jobs report as it is an indicator of things to come within our economy. Employment figures help forecast income and therefore help economists estimate spending and output.

The market is expecting 660,000 job losses and an unemployment rate near 8.5%...if job losses crest 700,000 the market will re-consider its euphoric reaction to the relaxation of "mark to market".

The beginning of the month is generally a supportive time for MBS...today is no different, especially when you consider that rate sheet influential coupons in the short side of the stack (not duration short) have been cheapening up in absolute dollar terms. Cheaper MBS will rouse the interests of non-Fed accounts looking for a prepay protected position. Yes I am once again cheering some selling...in the long run it will benefit your rate sheets!

TSY yields rose overnight and continue to rise early in the US session. MBS prices are loving the opportunity to let dollar prices get less expensive, as has been the trend, MBS yield spreads over TSYs are tighter as mortgages are not selling off as much as TSYs. Translation: MBS strengthening vs. its benchmark big brother Treasuries.

T minus 8 minutes until Non Farm Payrolls...

FN30_______________________________

FN 4.0 -------->>>> -0-03 to 100-02 from 100-05

FN 4.5 -------->>>> -0-01 to 101-27  from 101-28

FN 5.0 -------->>>> +0-00 to 103-01 from 103-01

FN 5.5 -------->>>> +0-00 to 103-25 from 103-25

FN 6.0 -------->>>> -0-01 to 104-14 from 104-15

GN30______________________________

GN 4.0 -------->>>> -0-02 to 100-07  from 100-09

GN 4.5 -------->>>> -0-02 to 101-30 from 102-00

GN 5.0 -------->>>> -0-01 to 103-17  from 103-18

GN 5.5 -------->>>> +0-01 to 104-03 from 104-02

GN 6.0 -------->>>> -0-02 to 104-16 from 104-18

 

EFFECTIVE FED FUNDS: +0.00 to 0.16 from 0.16

 

LIBOR FIXINGS

O/N LIBOR:  -.0181 to 0.2719 from 0.2900

1 MONTH:  -.0113 to 0.4781 from 0.4894

3 MONTH:  -0.0050 to 1.1609 from 1.1659

6 MONTH:   -0.0031 to 1.7125 from 1.7156

1 YEAR:   +0.0094 to 1.9644 from 1.9550