Bond Market Resilience Suggests More Focus on CPI

Up until the 3pm CME close, the bond market was having a surprisingly resilient day relative to the market moving data.  When NFP beats forecasts by 100k (today: 303k vs 200k f'cast), we tend to see big losses.  It was no surprise to see losses, but possibly surprising to see bonds almost back to pre-NFP levels 2 hours later.  Even after the 3pm sell-off, MBS are still in line with yesterday morning's levels.  That's better than we'd expect, based on the data and one of the only conclusions is that the market is more anxious to see next week's CPI on Wednesday.

Econ Data / Events
    • Nonfarm Payrolls
      • 303k vs 200k f'cast, 270k prev
    • Unemployment Rate
      • 3.8 vs 3.9 f'cast, 3.9 prev
    • Earnings
      • 0.3 vs 0.3 f'cast, 0.2 prev (revised up 0.1)
Market Movement Recap
09:36 AM

Pretty stable after initial losses.  MBS down 7 ticks (.23) and 10yr up 6.5bps at 4.377.

10:55 AM

Decent recovery, but it's not continuing for now.  MBS down only 5 ticks (.16).  10yr up 5.5bps at 4.369 (briefly made it down to 4.337.

02:28 PM

Fairly flat in the PM.  MBS down 6 ticks (.19).  10yr up 6bps at 4.372.

03:17 PM

Weakness at 3pm CME close.  MBS down 10 ticks (.31) and 10yr up almost 8bps at 4.391.