Data-Driven Weakness

It was a reasonably straightforward day for the bond market. Trading was flat overnight, then weaker after the 8:30am Jobless Claims data.  That report is hit and miss as a market mover, but a sub-200k print without any recent seasonal spike is certainly worth a few bps of weakness. Impacts were most notable in Fed Funds Rate expectations, which have now fully eliminated any possibility for a January cut and lowered the probability of a March cut from over 40% last week to under 20% today. In the bigger picture, longer-term rates remain squarely range-bound and MBS remain broken out the top of their comparable range thanks to GSE purchases.

Econ Data / Events

Continued Claims (Jan)/03

1,884K vs 1890K f’cast, 1914K prev

Jobless Claims (Jan)/10

198K vs 215K f’cast, 208K prev

NY Fed Manufacturing (Jan)

7.70 vs 1 f’cast, -3.90 prev

Philly Fed Business Index (Jan)

12.6 vs -2 f’cast, -10.2 prev

Market Movement Recap

08:31 AM First move is weaker after lower jobless claims. MBS down an eighth and 10yr up 2.5bps at 4.157

10:50 AM Lows of the day after rebounding into the 9:30am hour. MBS down 6 ticks (.19) and 10yr up 2.6bps at 4.159

01:48 PM MBS down 6 ticks (.19) and 10yr up 2.1bps at 4.153

03:15 PM Weakest levels for Treasuries with 10yr up 3.2bps at 4.164.  MBS still down 6 ticks (.19).