The overnight session was predictably uneventful with most of the world still out of the office for the Easter holiday.  Plenty of market participants are out for Passover as well.  So even though domestic markets are fully open today, volume and participation are lacking.  One risk associated with that phenomenon is that it greases the skids for volatility by magnifying imbalances. 

That's happening today, and it's not going well for bond markets.  10yr Treasuries had fully erased Friday's gains by noon today.  MBS weren't far behind.  Most lenders have repriced negatively, and many weren't priced any better this morning than Friday or Wednesday of last week.

Understanding the weakness is as easy as going back to our discussions from last week before NFP.  The general theme of those discussions was that there was a bigger risk of weakness compared to a limited scope of improvement depending on the NFP outcome.  The numbers were so appallingly weak that we were indeed able to scratch out surprisingly good gains, but that 'limited scope' was quickly seen as yields moved back to 1.84 to end the day--ominously remaining in their indecisive inflection zone (1.84-1.86). 

Unsurprisingly, all hell broke loose (relatively) after 10's rose above 1.86 today.  There has been plenty of bond-market-specific weakness, but it's also joined by stock market strength and talk of asset-allocation trades adding to the momentum (selling bonds to buy stocks).  Why buy stocks after last week's NFP?  Simple...  it implies a delay in the Fed hiking rates.

MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.0
102-13 : -0-08
FNMA 3.5
105-05 : -0-07
FNMA 4.0
106-31 : -0-03
Treasuries
2 YR
0.5000 : +0.0160
10 YR
1.9070 : +0.0654
30 YR
2.5710 : +0.0830
Pricing as of 4/6/15 1:09PMEST
Morning Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
12:33PM  :  ALERT ISSUED: If You Haven't Seen a Reprice Yet, You Probably Will
11:25AM  :  ALERT ISSUED: Negative Reprices Now Becoming Probable for Many Lenders
10:50AM  :  ALERT ISSUED: Negative Reprice Risk Increasing
9:59AM  :  Little-Changed as Europe Remains Out; ISM Data Coming Up
Live Chat Featured Comments
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Dave Rosenthal  :  "above 50 is expansionary and below is contracting?"
Matthew Graham  :  "agreed SK. This particular report is in solid shape still"
Sung Kim  :  "still quite expansionary though"
Victor Burek  :  "another data print lower "
Matthew Graham  :  "RTRS- ISM NON-MANUFACTURING EMPLOYMENT INDEX 56.6 IN MARCH VS 56.4 IN FEBRUARY"
Matthew Graham  :  "RTRS- U.S. ISM NON-MANUFACTURING SECTOR PMI 56.5 IN MARCH (CONSENSUS 56.5 ) VS 56.9 IN FEBRUARY"
Matthew Graham  :  "addressed in Day Ahead BC: "NFP changes the dialogue from "hopefully, things will continue to improve" to "oh no, what if things continue to weaken?" This is not the dialogue the Fed wants on the table when they're looking for economic data that's actually strong and consistent enough to justify a rate hike. While one jobs report doesn't do anything to sway the Fed in and of itself, it DOES set the stage for the next NFP or two to cast deciding votes as to whether or not the Fed will have to consider that labor market growth may be leveling off just as they're about to hike.""
Sung Kim  :  "then we rally like there is no tomorrow"
B C  :  "what if another bad report follows?"
Matt Hodges  :  "that's why so many of us locked on Wed and Thurs leading up."
Matthew Graham  :  ""little to gain, much to lose." "
Matthew Graham  :  "Many lenders had solid improvements on Friday. On average, rates were at 2-month lows. JH, one reason for the seemingly modest gains would be that a string of bad data caused markets to begin pricing in an NFP miss. This is something I/we talked about quite a lot last week in the run up to NFP, both in chat and in blog posts."
Justin Harward  :  "How my ticks is a NFP crush worth? 1? 2? threeeeee? apparently it's nine. 9 Ticks given for a crush."
aaron meyer  :  "Rates didn't improve much on Friday but I figured it was due to the short day. Rates today are little improved from Thursday with FHLB ???"
Matthew Graham  :  " - FED'S DUDLEY SAYS LOW U.S. TREASURY YIELDS DRIVEN IN PART BY QUANTITATIVE EASING IN EUROPE, JAPAN"
Matthew Graham  :  "- FED'S DUDLEY: 10-YEAR TREASURY YIELDS SEEM LOW GIVEN FED AIMS TO ACHIEVE 2 PCT INFLATION"
Matthew Graham  :  "RTRS- FED'S DUDLEY EXPECTS TO SEE WAGE GROWTH, BUT SOFT MARCH JOBS DATA SOWS CAUTION"
Matthew Graham  :  "RTRS - NEW YORK FED'S DUDLEY SAYS TIMING OF RATE HIKES UNCERTAIN DUE TO RISKS TO ECONOMY"