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  • MBS CLOSE: One Of The Only Things That Could Have Lifted Our Spirits

    Comments (9)
    by Matthew Graham on May 29 2009, 4:54 PM
    Wednesday crushed many hopes and dreams. Veritable tomes have already been written discussing the particulars of Black Wednesday. Fortunately for your Friday night time commitments, it doesn't take as long to discuss the positivity. A big reason is the thousand or so words (most of them are "yay!") that the following chart is worth. Here's today's action: And here's where most recently updated MBS prices can always be found: MBS QUOTES So what gives? In short, after the
    Read More

  • MBS UPDATE: Return Of A Fabled Creature?

    Comments (21)
    by Matthew Graham on May 29 2009, 3:58 PM
    We noticed while perusing our arsenal of technical overlays today that a very rare technical indicator presented itself. As with many other technical analysis overlays, this one certainly muddies up the screen with lots of extra lines and such. But if you look closely, you can see the green line moving up, up, and away--almost "flying" if you will--veritably snorting and breathing fire as it climbs.... It's been a long time.... And for newer readers, this will be the first time ...
    Read More

  • MBS AFTERNOON: Facemelter Now Supported By Rallying TSY's

    Comments (8)
    by Matthew Graham on May 29 2009, 1:19 PM
    Would you believe that, as far as traders are concerned, MBS have recovered ALL previous losses in terms of "relative value." We on the other hand are only getting about half the losses back in terms of MBS prices. But prices themselves don't matter much to traders compared to how far away those prices are from other benchmarks. So, compared to tsy's, MBS are as healthy as they've been so far this year. The chart below illustrates the entry into Wednesday AM's "tights"
    Read More

  • MBS MORNING: Rich, Cheap, or Neutral

    Comments (17)
    by Adam Quinones on May 29 2009, 11:19 AM
    Morning MBS price behavior has paced the behavior of comparable benchmark TSYs....basically its all about yield spreads and relative value....as in MBS coupons are either RICH, CHEAP, or NEUTRAL (compared to their benchmarks). Thus far "rate sheet influential" MBS coupons have been able to build substantial price momentum due to the corrective conduct of the yield curve. The 10 yr TSY is up 20 ticks (20/32) in price yielding 3.53%....about 10 basis points lower than 8am state side open
    Read More

  • MBS OPEN: Rich Yield Spreads Moderating Price Gains

    Comments (12)
    by Adam Quinones on May 29 2009, 8:33 AM
    Preliminary GDP has been released: -5.7% vs. expected -5.5% (advance reading was -6.1%) Preliminary GDP Deflator: +2.8% vs. expected +2.9% (advance reading was +2.9%) PCE Price Index : -1.0% vs. expected -1.0% (advance reading was -1.0%) Consumer Spending : +1.5% (+2.2% advance reading) After the release the UST10yr yield fell from 3.63% to 3.58%....and "rate sheet influential" MBS coupons (FN 4.5) kept pace with price momentum... rallying 2/32. The current coupon (aka rate sheet influential
    Read More

  • MND SPECIAL REPORT ON MBS "BLACK WEDNESDAY": PART III

    Comments (4)
    by Bill Berliner on May 28 2009, 6:25 PM
    MND Special Report on MBS "Black Wednesday" Part I MND Special Report on MBS "Black Wednesday" Part II The Treasury market has been in absolute disarray this week, as evidenced by the wild bouncing around on Thursday. The yield on the 10-year has bounced between a low of around 3.58% this morning (at around 9:30 a.m. EDT) and a high of 3.75%, before ending the day at 3.62%. Agency MBS have been quite volatile as well. At the 3:00 EDT close, Fannie 4.0s and 4.5s were down in price
    Read More

  • MBS CLOSE: Heavy Volume and Bargain Buying

    Comments (2)
    by Adam Quinones on May 28 2009, 5:19 PM
    The Treasury market saw above average volume across the curve (all maturities) as investors took an opportunity to do some bargain buying (cheap dollar prices). Shorter maturities saw better buying most of the day while 7yr and 10 yr flows favored sellers until afternoon trading. By day's end the 10 yr had rallied a full point to a yield of 3.61%...14bps lower than yesterdays intraday high of 3.75%. The yield curve, as measured by 2s vs. 10s, was 3bps flatter to 269bps at the close. Yesterday's
    Read More

  • MBS AFTERNOON: MBS Poking Its Head Out... More Cautiously This Time...

    Comments (17)
    by Matthew Graham on May 28 2009, 3:16 PM
    We're gaining some resolve alongside treasuries as we enter the post-close hours in bond markets. The gains started an hour before the market close at 3pm however. This is not much to write home about, but it sure beats where we were. Perhaps most fascinating is that it is bringing us back above 99-10 on the 4.5, the level we are assessing as potential day over day downside resistance (intraday blew its chance earlier today obviously!). Current prices are at the best levels of the afternoon,
    Read More

  • MBS ALERT: MORE MORTGAGE WEAKNESS

    Comments (32)
    by Adam Quinones on May 28 2009, 1:22 PM
    Heading into the auction the new FN 4.5 "current coupon" began agressively testing the previously pointed out 99-10 support level. After the Treasury released the results of the $26bn 7yr note auction "rate sheet influential" MBS coupons showed some signs of improvement...but have since taken a turn for the worse and broken through downside price support. Magnifying the possibility of yet ANOTHER REPRICE FOR THE WORSE is the fact that TSYs are outperforming MBS... Ugh...here are
    Read More

  • MND SPECIAL REPORT ON MBS "BLACK WEDNESDAY": PART II

    Comments (15)
    by Adam Quinones on May 28 2009, 11:20 AM
    "BLACK WEDNESDAY". A day when "rate sheet influential" MBS were sold by accounts of all types. Banks, Servicers, Pension Funds, Money Managers, and Hedge Funds...Real Money and Levered Accounts alike. After all was said and done, over $10bn in "current coupon" MBS was dumped by mortgage market participants. An amount not even the Federal Reserve could stand up to...
    Filed under:
    Read More

  • MBS UPDATE: Just Kidding?

    Comments (17)
    by Matthew Graham on May 28 2009, 9:53 AM
    The MBS Gods giveth and the MBS Gods taketh away...
    Read More

  • MBS UPDATE: Anticlimactic What?! It's A Rally!

    Comments (5)
    by Matthew Graham on May 28 2009, 9:18 AM
    Now entering 2nd hour of confirmation for 99-10 as a bottom for 4.5's. Even if good 'ol MBS can't do anything more for you today, we've already burnt up a third of yesterday's losses. Rally on Garth!
    Read More

  • MBS OPEN: Anticlimactic Morning After

    Comments (1)
    by Matthew Graham on May 28 2009, 8:21 AM
    Check out current MBS prices and day over day changes HERE . A mere change of 0-2 ticks seems almost out-of-place after yesterday's drama, but is likely a welcome respite. So far this AM, prices have stalled out right at the potential support level suggested by yesterday's lows. Chalk this up as "hour one" of technical edification for the 99-10 price on 4.5's. Overnight, Bloomberg released an article that seemed more at home on April 1st than the wee hours of May 28th: Fed May
    Read More

  • MND Special Report on MBS "Black Wednesday:" Among The Worst Day Of Losses.... Ever....

    Comments (14)
    by Matthew Graham on May 27 2009, 6:31 PM
    Damage Report 5/27/09 The dust is finally settling and ashes finally floating away, at least for today. We are left with one of the most grotesque images to come out of the MBS marketplace in years: the visual representation of the deservedly named "Black Wednesday." When all was said and done, this was over a TWO POINT DROP on 4.0's (66 ticks to be exact) which forced us to shift analysis to the more current coupon (as of today!): 4.5's which "only" lost 1-20 (52 ticks
    Read More

  • MBS UPDATE: How Low Can You Go?

    Comments (46)
    by Matthew Graham on May 27 2009, 3:18 PM
    There's not much to say... Just as there's not much to say whilst watching a catastrophic explosion. There is just awe, fear, and panic among other things. Beyond what's already been said, the most accurate accounts of the explosion, it's causes, severity, and future implications will--like any other conflagration--come after the dust settles and the ashes float away. For now, here is the latest picture of the explosion showing the technical analysis pattern of a "penant,"
    Read More
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