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Federal Reserve MBS Purchase Program





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  • MBS CLOSE: Fed Purchases $23.142bn Agency MBS

    Comments (5)
    by Adam Quinones on April 30 2009, 4:03 PM
    In the 5 trading sessions between April 23 and April 29, 2009, THE FED PURCHASED $59.565 bn AGENCY MBS and THE FED SOLD $36.423 bn AGENCY MBS.... FOR A NET OF: $23.142 bn AGENCY MBS PURCHASES . Here's a screen shot of my excel worksheet: The chart below illustrates the Fed's buying patterns since the inception of the Agency MBS Purchase program on January 5.....notice its been all 4.0s and 4.5s lately!!! Also note that net purchases have declined in the past three weeks...unfortunately the
    Read More

  • MBS UPDATE: Still In The Low Range

    Comments (13)
    by Matthew Graham on April 30 2009, 1:32 PM
    4.0's are having a hard time breaking through PAR today and are currently at 99-29 which is 7 ticks off on the day. We are off the 11AM lows (another bounce off 99-23? How long ago did we identify that line?). Treasuries too have been very choppy, and stocks have swung from 8308 to 8150. If you didn't see reprices earlier in the day, the risk remains high. Spreads have actually widened today as the middle of the yield curve corrects from it's oversold state yesterday. In other words,
    Read More

  • MBS LUNCH: Lenders Hanging In There....

    Comments (0)
    by Adam Quinones on April 30 2009, 1:22 PM
    Production MBS coupons have moved around a 17 tick range so far today. The price action has been lead by the indecisive behavior of the 10 yr Treasury note, which hit an intraday yield high of 3.16% at 11:05 am. At that time, the FN 4.0 moved to its intraday price low of 99-22. TSYs and MBS have since stabilized since stocks came off their intraday highs at 11:15am, MBS are however being outperformed by TSYs today (yield spreads wider) Note : the currently quiet MBS trading envionment and the choppy
    Read More

  • MBS ALERT: CHOPPINESS RAISES ALERT LEVEL

    Comments (8)
    by Adam Quinones on April 30 2009, 11:05 AM
    BONDS ARE TRADING OFF OF STOCK MARKET SENTIMENT, WHICH IS WARM AND FUZZY ......AS THE DOW HIT AN INTRADAY HIGH OF 8307.51, THE UST10 YR YIELD MOVED UP TO 3.16% AND "RATE SHEET INFLUENTIAL" MBS PRICES FELL QUICKLY.... MBS TRADING VOLUME IS SLOW, ORIGINATORS ARE DUMPING SUPPLY, AND MBS IS BEING OUTPERFORMED BY TSYs (SELLING MORE)...... NOT A GOOD COMBINATION!!!! BE AWARE OF DIPS LIKE THIS ...WE ARE AT HIGH REPRICE FOR THE WORSE ALERT LEVELS AND YES IM YELLING
    Read More

  • MBS UPDATE: Hidden Agendas Distort Perceptions

    Comments (0)
    by Adam Quinones on April 30 2009, 10:00 AM
    The US 10yr Treasury is bouncing between 3.14% and 3.10% which is causing "rate sheet influential" MBS coupons to go green then red then green then red again.This is not a function of a change in fixed income market sentiment , instead it is a factor of short term outlooks, profit taking/trying to cover shorts, and repositioning across the yield curve. Sellers are vacating their positions in 2 yr notes in favor of the seemingly oversold 10 yr sector (also possibly a function of end of month
    Read More

  • MBS OPEN: Still Focusing on Light at End of Tunnel

    Comments (20)
    by Adam Quinones on April 30 2009, 8:31 AM
    Good Morning In overnight trading, global investors found new reason to speculate that an economic bottom is nearing following the FOMC's statement that " the pace of contraction appears to be somewhat slower "....in Asia the NIKKEI moved up 3.94%, the TOPIX was 3.18% higher, the HANG SENG +3.77%, and the SHANGHAI a measily 0.38% greener. The cheery sentiment also spread through Europe as major indices are up over 2% at the moment. US stock futures indicate that we too will trade higher
    Read More

  • MBS CLOSE: Reactions to the FOMC Statement

    Comments (2)
    by Adam Quinones on April 29 2009, 6:50 PM
    From the FOMC Press Release: "Information received since the Federal Open Market Committee met in March indicates that the economy has continued to contract, though the pace of contraction appears to be somewhat slower . Household spending has shown signs of stabilizing but remains constrained by ongoing job losses, lower housing wealth , and tight credit. Weak sales prospects and difficulties in obtaining credit have led businesses to cut back on inventories, fixed investment, and staffing
    Read More

  • MBS UPDATE: Utter Disaster Averted, Spreads Significantly Tighter

    Comments (5)
    by Matthew Graham on April 29 2009, 3:34 PM
    Those who locked on the reprice alert are in good shape as most of our resources are indicating reprices for the worse. And rather than have to tell you that the sell-off was temporary and artificial, we have indeed stayed in the red since FOMC. Thankfully, we were so far ahead of lender reprices that any potential "lockers" should have made it to safety with time to spare. There is solace for floaters too as prices are showing continued stability and even minute improvements in the low
    Read More

  • MBS ALERT: Freefall Part 2

    Comments (5)
    by Matthew Graham on April 29 2009, 2:24 PM
    The sell-off following the FOMC announcement is continuing but as choppy trades continue hitting at a rapid pace, we're off the worst levels of selling with 4.0's down 7 ticks to 100-03. It seems at this point, more of a certainty that the sell-off is for real and reprices for the worse will indeed be on the way. Expect to see at least a .25 hit, and as high as .5. The below chart in order from top to bottom: 1. full day chart of FN 4.0's 2. tick by tick chart of same zoomed into the
    Read More

  • MBS ALERT: Freefall

    Comments (9)
    by Matthew Graham on April 29 2009, 2:17 PM
    We'll let you know if this turns around, but in 1 minute since statement, we're in a freefall. As of current numbers, reprices for the worse will be on the way to the tune of over half a point. It's not uncommon however for big moves like this to turn around very quickly. Act according to how fast you think the lenders you're working with may reprice.
    Read More

  • MBS BREAKING NEWS: 7 Yr Auction Goes Off With Decent Results, 2.28 BTC and 32% Indirect

    Comments (1)
    by Matthew Graham on April 29 2009, 1:08 PM
    Treasury yields spiked initially on the auction, but then they read my previous blog and decided to start buying again. 10 minutes into the news, we're a few ticks better off than before. The 2.28 BTC was pretty good but not amazing. 32% indirect bid is a welcome step up from previous auctions though also not stellar. It's a solid B+ and would dovetail nicely into a friendly Fed announcement. Perhaps the best part of this auction is that it somewhat corrects the severity of the recent steepening
    Read More

  • MBS MID-DAY: Hesitant and Range-Bound Pre-FOMC

    Comments (0)
    by Matthew Graham on April 29 2009, 12:34 PM
    In new released earlier today the GDP was reported at a lower than expected 6.1% decline. Consensus estimates called for a 5% decline. Although worse than expected, this is the advance reading and not given as much credence as revisions. Inflation components within the report were in line with expectations. Markets have been doing their best to determine directionality following the announcement, but will likely pick up in volume and resolve with the release of the FOMC announcement at 2:15 pm. Treasuries
    Read More

  • MBS UPDATE: Hesitant Ahead of FOMC Statement

    Comments (8)
    by Adam Quinones on April 29 2009, 10:14 AM
    Quick Update while we write juicy content.... Since 5pm "Going Out" Marks... FN30 ________________________________ FN 4.0 -------->>>> + 0-02 to 100-12 from 100-10 FN 4.5 -------->>>> +0-00 to 102-01 from 102-01 FN 5.0 -------->>>> +0-01 to 103-02 from 103-01 FN 5.5 -------->>>> +0-03 to 103-25 from 103-22 FN 6.0 -------->>>> +0-01 to 104-21 from 104-20 GN30 ________________________________ GN 4.0 -------->>>> +0-00
    Read More

  • MBS OPEN: Flat...Waiting on GDP Data

    Comments (3)
    by Adam Quinones on April 29 2009, 8:23 AM
    Since 5 pm "Going Out" Marks... FN30 ________________________________ FN 4.0 -------->>>> + 0-00 to 100-10 from 100-10 FN 4.5 -------->>>> +0-00 to 102-01 from 102-01 FN 5.0 -------->>>> +0-01 to 103-02 from 103-01 FN 5.5 -------->>>> +0-02 to 103-24 from 103-22 FN 6.0 -------->>>> +0-02 to 104-22 from 104-20 GN30 ________________________________ GN 4.0 -------->>>> +0-01 to 100-15 from 100-14 GN 4.5 -------->>>>
    Read More

  • MBS CLOSE: MBS Fight Off A Treasury Sell Off And End Marginally Worse

    Comments (16)
    by Matthew Graham on April 28 2009, 4:26 PM
    Not a good day for fixed income as treasuries lost massively in the long end. The 10yr was off 26 ticks bringing the yield to 3.01%. The 30yr was off a full 2 points (64 ticks) bringing the yield to 3.95%. At any other time in MBS history, this would have led to much more selling than the 3-7 tick losses we experienced today. And as you know, when treasuries sell more than MBS, it means more tightening. In fact, it's hard to imagine spreads will move aggressively tighter in the short term and
    Read More
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