The high yields keep getting higher. Now pushing up into 3.64 at times. This continues to put pressure on MBS to give up their 101 handle, and continues to keep reprice risk elevated.

The S&P has moved straight down from 1308 to 1304 in the last few minutes, and although 10yr yields have seen a few bounces at the highs, there is no major movement that mirrors stocks. Current yields are 3.63, while FNCL 4.5's hover around 101-00. Reuters reports of an impending statement on Egyptian State TV.

10yr yields broke higher than their previous highs and moved up to 3.636. FNCL 4.5's just ticked into a 100 handle for the first time since 12/15/10. Reprices for the worse are possible on this weakness. For reference, 12/15's lows were at 100-15.

Earlier this morning 10yr yields got supportive bounces at 3.602 and have returned to test that level again. MBS have held up quite well and are currently down only 5 ticks in FNCL 4.5's, but that could change if 10's creep into the 3.6's. All this however, is put into perspective by the fact that volume has already come and gone in support of 3.60. None of the volume we are seeing recently is even remotely close to that which was seen during the first support bounces.

The worst of the selling in bonds thus far took the 10yr note over 3.62. Shortly after getting back below 3.602, yields rose again and tested 3.60 numerous times and held. But they're facing a challenge in the other direction, presented by 3.58 (3.579 to be more specific), and have not been able to confirm a break below there, though it is currently being tested. So far, the dominant post-data trend is one of gradually lower highs in yields, and this trend is set to collide with the pre-NFP highs at 3.569 (it already did once and rapidly bounced back into the trend). Basically, 10's will have to get back under 3.57 soon in order for this trend to continue. If they don't, 3.57 will gain strength as a resistance level. Despite all this, FNCL 4.5 MBS are doing fair, currently down only 5 ticks at 101-05. The reprice scene really depends a lot on where and when a particular lender came out with pricing this morning. But we can tell you there is not a decidedly negative momentum in MBS that we normally see precede reprices for the worse.

If the market were currently trading strictly on the headline NFP number, we'd likely be experiencing a healthy rally, but there are enough "yeah buts" embedded in the release for bonds to be taking a moderate beating at the moment. The most notable caveat is that the huge comparative loss in construction jobs may have been caused by the severe weather. Courier/Messenger Jobs also plummeted, and also, might be chalked up to bad weather. Beyond that, the jobless rate is the lowest since April 2009 and the gain in factory jobs is the largest since August 1998, both factoids that put wind in the sails of the recovery freight train. The 10yr note is at 3.608 and FNCL 4.5's have fallen to 101-02. If you had pricing this morning for some strange reason, it will be getting worse soon.

JAN NONFARM PAYROLLS +36,000 (CONSENSUS +145,000) VS DEC +121,000 (PREV +103,000), NOV +93,000 (PREV +71,000) ---- PRIVATE SECTOR JOBS +50,000 (CONS +155,000), DEC +139,000 (PREV +113,000) ----GOVERNMENT JOBS -14,000 VS DEC -18,000 (PREV -10,000) ---- JOBLESS RATE 9.0 PCT (CONSENSUS 9.5 PCT) VS DEC 9.4 PCT (PREV 9.4 PCT) ---- AVERAGE HOURLY EARNINGS ALL PRIVATE WORKERS +0.4 PCT (CONS +0.2 PCT) VS DEC +0.1 PCT (PREV +0.1), TO $22.86 VS DEC $22.78; JAN YEAR-ON-YEAR EARNINGS +1.9 PCT ---- AVERAGE WORKWK ALL PRIVATE WORKERS 34.2 HRS (CONS 34.3 PCT) VS DEC 34.3 HRS (PREV 34.3), FACTORY 40.5 VS 40.4, FACTORY OVERTIME 3.1 VS 3.1 ---- FACTORY JOBS +49,000 (CONS. +9,000) VS DEC +14,000 (PREV +10,000) ---- GOODS-PRODUCING JOBS +18,000, CONSTRUCTION -32,000, PRIVATE SERVICE-PROVIDING JOBS +32,000, RETAIL +28,000 ---- ANNUAL REVISION CUTS 378,000 JOBS FROM MARCH 2010 NON-SEASONALLY ADJUSTED LEVEL VS. EARLY OCT. ESTIMATE OF -366,000

(Source: Reuters) Full Details To Follow