What's Up With Super Weak NFP Tanking The Bond Market?!

Non-Farm Payrolls (NFP) were much weaker than expected (194k vs 500k f'cast).  At almost any other moment in history, this would be grounds for sharp bond rally.  Indeed, it looked like we might get a little love in the first few minutes following the data, but then things changed.  Yields ultimately hit the highest levels in months and MBS tanked hard.  It's important to remember that it would have taken an even weaker report to derail the Fed's taper timeline.  Moreover, today's losses weren't really as "big" as they were "surprising."  Either way, the trend is not our friend for a variety of reasons unrelated to today's data.  Bottom line, the jobs report didn't do anything to stand in the way of what was already going on.

Econ Data / Events

  • Fed MBS Buying 10am, 1130am, 1pm

  • NFP 194k vs 500k f'cast, 366k prev.
    more details here

Market Movement Recap
09:18 AM

Fairly flat overnight at slightly weaker levels.  Bonds rallied timidly in the 6am hour and were back to unchanged ahead of the jobs report.  Post-payrolls and we're still roughly unchanged after a underwhelming volatility on both sides of the trade.

10:28 AM

Bonds began to slide after the NYSE open (9:30am ET).  10yr yields are now at highs of the day, up 2.7bp at 1.603.  MBS are down almost an eighth and over an eighth from the AM highs.

11:25 AM

Yields nuzzled up to ceiling at 1.607 and bounced multiple times before breaking higher just now (up 4+ bps to 1.617).  Highest yields in months and MBS are similarly swooning (down about a quarter point now).  Negative reprices are starting to roll in.

01:57 PM

Bonds are perhaps catching their breath a bit with the weakest levels seen just after the last update.  10yr now up only 2.2 bps at 1.598 and MBS down just over an eighth (but up nearly an eighth from the lows).