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You are viewing Micro News from Thursday, Jan 30, 2014 - View all recent Micro News
  • 1/30/14
    MBS Hit Best Levels After 7yr Note Auction

    MBS just moved into positive territory on the day (Fannie 4.0s at 104-19), following a relatively strong 7yr Note Auction.  The yield came in .4 bps lower than the 1pm "when-issued" expectation and the demand was much stronger at 2.65 dollars bid per dollar offered compared to a recent average of 2.49. 

    Perhaps more important than the auction stats themselves is the fact that this was the last of the week's Treasury auctions and the 2nd in today's doubleheader.  10yr yields dropped roughly 1bp but haven't extended gains much beyond that (currently still up 2.5bps on the day at 2.699).

    Current MBS levels are 4 ticks (.125) higher than morning rate sheets for more than a few lenders, so if they're sustained or improved upon, positive reprices aren't out of the question.  It's a bit early yet, to plan on such things.

    Category: MBS, UPDATE
    Share:   
  • 1/30/14
    Treasuries Test Weakest Levels Following 5yr Auction

    As a reminder, there is an unprecedented double helping of Treasury auctions on tap today.  One of them--5yr Notes--just came in moderately weaker than expected.  The high yield was .4 bps over the 1pm 'when-issued' expectation (though as much as .6bps according to some dealers).  Demand was right in line with recent averages, coming in at 2.59 dollars bid for each dollar offered.

    This made for some slight pressure on Treasuries in addition to the pressure that was already building following the Fed's daily buying operation that wrapped up just after 11am.  10yr yields just inched into their highest yields of the day at 2.722, but aren't stampeding into negative territory in high volumes.

    MBS are holding their own with Fannie 4.0s down 5 ticks on the day at 104-16, still reasonably well off the 104-13 lows from earlier this morning.  Although we have seen one negative reprice from a big bank, it's in no way attributable to MBS price action considering prices were, in fact, better between that lender's initial sheets and the reprice. 

    This does raise the possibility of "pipeline control" reprices for other lenders though.  Just something to keep in mind if you've seen non sequitur reprice behavior in the past from a particular lender or otherwise get the sense that there's been heavy lock volume.

    Bottom line: bond markets are under moderate pressure with one more auction to come at 1pm.  There's decent-looking support in Fannie 4.0s at 104-15, which has been defended on several occasions so far (good line in the sand to watch for a shift into a weaker stance).

    Category: MBS, UPDATE
    Share:   
  • 1/30/14
    Bond Markets Slightly Weaker After First Round of Data

    Apart from the fact that US Treasuries continue to demonstrate an unpleasant degree of correlation to silly things like the Turkish Lira, the overnight session was more 'normal' today, with 10yr yields holding a 3bp range that started out more narrow in Asia and grew slightly more volatile in Europe.  That's pretty standard fare. 

    The bias was just slightly weaker and continues to be weaker into the domestic session, though we'll have to contort the data in order to blame it.  On the GDP front, we could say that  an "as-expected" reading of 3.2 percent is better than a "weaker-than-expected" reading, or perhaps that consumer spending rose at the best pace since late 2010, a decidedly less-than-enjoyable time for rates.

    Jobless Claims requires even more of a stretch as the headline missed by a fair amount (348k vs 330k forecast), with the only saving grace being the drop in continued claims.  This had been a bit troublesome over the past two cycles, coming in over 3 million despite forecasts in the high 2's.  Now today with the forecast over 3 million, the result ends up being 2.991.  C'est la vie.

    10yr yields are up just over a bp since the data and 3.8bps on the day.  Fannie 4.0s are down 5 ticks on the day with 3 of those since the data.  The next data hits at 10am with Pending Home Sales, which typically isn't as big of a market mover.  One thing to keep in mind though: the 8:30am data could have easily been traded in the other direction, so the weaker response reveals some inclination toward weakness in bond markets (as does the weaker overnight bias).  Stocks are rising at the moment as well--two small pieces of evidence suggesting we stay on guard.

    GDP

    • +3.2 vs +3.2 forecast
    • Consumer Spending +3.3, most since Q4 2010
    • Home Investment -9.8, first decline since Q3 2010
    • Business Inventory change largest since Q1 1998, adds .42 pct to GDP
    • Our take on share of market movement: 5/10
    • Full Release

    Jobless Claims

    • Claims 348k vs 330k forecast, 329k previously
    • Continued Claims 2.991 mln vs 3.020 forecast, 3.007 previously
    • Our take on share of market movement: 5/10 (higher headline is balanced somewhat by the drop in continued claims back below 3 mil)
    • Full Release
    Category: MBS, UPDATE
    Share:   
 
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  • 1/30/14

    MBS just moved into positive territory on the day (Fannie 4.0s at 104-19), following a relatively strong 7yr Note Auction.  The yield came in .4 bps lower than the 1pm "when-issued" expectation and the demand was much stronger at 2.65 dollars bid per dollar offered compared to a recent average of 2.49. 

    Perhaps more important than the auction stats themselves is the fact that this was the last of the week's Treasury auctions and the 2nd in today's doubleheader.  10yr yields dropped roughly 1bp but haven't extended gains much beyond that (currently still up 2.5bps on the day at 2.699).

    Current MBS levels are 4 ticks (.125) higher than morning rate sheets for more than a few lenders, so if they're sustained or improved upon, positive reprices aren't out of the question.  It's a bit early yet, to plan on such things.

    Category: MBS, UPDATE
    Share:   
  • 1/30/14

    As a reminder, there is an unprecedented double helping of Treasury auctions on tap today.  One of them--5yr Notes--just came in moderately weaker than expected.  The high yield was .4 bps over the 1pm 'when-issued' expectation (though as much as .6bps according to some dealers).  Demand was right in line with recent averages, coming in at 2.59 dollars bid for each dollar offered.

    This made for some slight pressure on Treasuries in addition to the pressure that was already building following the Fed's daily buying operation that wrapped up just after 11am.  10yr yields just inched into their highest yields of the day at 2.722, but aren't stampeding into negative territory in high volumes.

    MBS are holding their own with Fannie 4.0s down 5 ticks on the day at 104-16, still reasonably well off the 104-13 lows from earlier this morning.  Although we have seen one negative reprice from a big bank, it's in no way attributable to MBS price action considering prices were, in fact, better between that lender's initial sheets and the reprice. 

    This does raise the possibility of "pipeline control" reprices for other lenders though.  Just something to keep in mind if you've seen non sequitur reprice behavior in the past from a particular lender or otherwise get the sense that there's been heavy lock volume.

    Bottom line: bond markets are under moderate pressure with one more auction to come at 1pm.  There's decent-looking support in Fannie 4.0s at 104-15, which has been defended on several occasions so far (good line in the sand to watch for a shift into a weaker stance).

    Category: MBS, UPDATE
    Share:   
  • 1/30/14

    Apart from the fact that US Treasuries continue to demonstrate an unpleasant degree of correlation to silly things like the Turkish Lira, the overnight session was more 'normal' today, with 10yr yields holding a 3bp range that started out more narrow in Asia and grew slightly more volatile in Europe.  That's pretty standard fare. 

    The bias was just slightly weaker and continues to be weaker into the domestic session, though we'll have to contort the data in order to blame it.  On the GDP front, we could say that  an "as-expected" reading of 3.2 percent is better than a "weaker-than-expected" reading, or perhaps that consumer spending rose at the best pace since late 2010, a decidedly less-than-enjoyable time for rates.

    Jobless Claims requires even more of a stretch as the headline missed by a fair amount (348k vs 330k forecast), with the only saving grace being the drop in continued claims.  This had been a bit troublesome over the past two cycles, coming in over 3 million despite forecasts in the high 2's.  Now today with the forecast over 3 million, the result ends up being 2.991.  C'est la vie.

    10yr yields are up just over a bp since the data and 3.8bps on the day.  Fannie 4.0s are down 5 ticks on the day with 3 of those since the data.  The next data hits at 10am with Pending Home Sales, which typically isn't as big of a market mover.  One thing to keep in mind though: the 8:30am data could have easily been traded in the other direction, so the weaker response reveals some inclination toward weakness in bond markets (as does the weaker overnight bias).  Stocks are rising at the moment as well--two small pieces of evidence suggesting we stay on guard.

    GDP

    • +3.2 vs +3.2 forecast
    • Consumer Spending +3.3, most since Q4 2010
    • Home Investment -9.8, first decline since Q3 2010
    • Business Inventory change largest since Q1 1998, adds .42 pct to GDP
    • Our take on share of market movement: 5/10
    • Full Release

    Jobless Claims

    • Claims 348k vs 330k forecast, 329k previously
    • Continued Claims 2.991 mln vs 3.020 forecast, 3.007 previously
    • Our take on share of market movement: 5/10 (higher headline is balanced somewhat by the drop in continued claims back below 3 mil)
    • Full Release
    Category: MBS, UPDATE
    Share:   
 
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