Will Jobs Data Finally Get Bond Market’s Attention?

It’s been a weird week so far with a crazy combination of significant intraday volatility and an absence of any major movement in the bigger picture.  Case in point, closing levels in 10yr yields have been 4.27, 4.27, 4.28, and 4.28 (at the 3pm CME) close.  That’s an uncommonly flat week for closing levels, but even less common during a week with an absolute range of more than 13bps.  Stranger still is that the volatility has taken few–if any–cues from economic data.  Case in point, today’s biggest market mover was the big sell off in UK bonds.  Does this mean markets may be less interested in reacting to tomorrow’s jobs report as much as normal?  The answer is this simple: never bet against the jobs report’s potential to make waves.  Sure, the ultimate level of volatility could be limited by next week’s unknowns, but a lopsided result in either direction would still be almost guaranteed to push rates in the corresponding direction.

Econ Data / Events

Jobless Claims

216k vs 230k f’cast, 228k prev

Continued Claims

1862k vs 1890k f’cast

Core PCE Prices M/M

0.3 vs 0.3 f’cast, 0.1 prev

Core PCE Y/Y

2.7 vs 2.6 f’cast, 2.7 prev

Market Movement Recap

09:40 AM sideways to slightly stronger overnight and a bit weaker after data.  MBS down 2 ticks (.06) and 10yr up 0.7bps at 4.307

10:12 AM More weakness now with US bonds potentially taking some cues from a big UK sell-off.  MBS down 3 ticks (.09) and 10yr up 1.5bps at 4.314

12:23 PM Bouncing back a bit now as U.K. bonds recover.  MBS unchanged and 10yr down 1.3bps at 4.286

03:07 PM Slightly better recovery.  MBS up 1 tick (.03) and 10yr down 2bps at 4.279