Wild Ride For MBS as Traders Digest New Developments

Wild Ride For MBS as Traders Digest New Developments We may have been looking to the jobs report as this week's biggest potential source of volatility, but that changed on Thursday afternoon after Trump's $200bln MBS buying announcement. Treasuries have only been able to watch from the sidelines. At one point this morning after the jobs data, Treasuries were several bps weaker while MBS were in the midst of their biggest rally in months (up more than a half point at the time). There was a rapid "distribution" phase following the initial rally, but prices bounced back to end the day up about a quarter point.  Higher coupons are getting no love as they are not assumed to be in fashion as the new buying commences.  Details continue to matter, and we'll continue to wait for more of them, but based on volume and volatility, MBS traders are taking this very seriously. Econ Data / Events Non Farm Payrolls (Dec) 50K vs 60K f'cast, 64K prev Participation Rate (Dec) 62.4% vs -- f'cast, 62.5% prev Unemployment rate mm (Dec) 4.4% vs 4.5% f'cast, 4.6% prev Market Movement Recap 08:31 AM Treasuries losing some ground after jobs report.  up 2.2bps at 4.194.  MBS up massively on the day still due to last night's Trump headlines. 09:30 AM 10yr up 2.2bps at 4.194. MBS still outperforming, but sobering up and now only up 6 ticks (.19).  09:49 AM Massive MBS volatility. More sobering up.  5.0 coupons now unchanged on the day.  10yr up 2.4bps at 4.195 10:05 AM Volatility continues. MBS back up a quarter point. 10yr up 1bp at 4.182 01:36 PM Volatility Continues. MBS were nearly back to unchanged, but are now back up a quarter point. 10yr down 0.5bps at 4.167 03:40 PM Calming down and holding a more sideways range with MBS up 7 ticks (.22) and 10yr near unchanged at 4.174