July 2009 - MBS Commentary

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MBS CLOSE: Another Return to Rate Sheet Reality

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by Adam Quinones on July 31 2009, 5:02 PM

Have you noticed a lack of MBS specific analysis lately? We havent been discussing MBS duration or educating on embedded options. We've left out spread speak and ignored the index. There has been a decrease in convexity related commentary and no mention...
MBS UPDATE: When Is Boring Also Exciting?

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by Matthew Graham on July 31 2009, 3:03 PM

Answer: When prices are better by half a point on the day with absolutely no volatility... The half point improvement portion of the above answer is easy enough to understand with 4.5's being up 16 ticks at the moment. Volatility will be best demonstrated...
MBS ALERT: The Good Kind...

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by Matthew Graham on July 31 2009, 12:56 PM

Happy Friday... This is simply a chart illustrating the continued rally in MBS and Treasuries. This puts us on the high side of this week's trend channel and bringing the 4.5 coupon up to 100-15. Last time we were this high was the beginning of the...
MBS MORNING: Hustle and Bustle About Mortgage World

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by Adam Quinones on July 31 2009, 11:08 AM

As originators scramble with last minute closings (not so much with new TIL) there has been an end of month hustle and bustle about the MBS market this morning. Servicers are buying "down in coupon" while the Federal Reserve eats up minimal...
MBS OPEN: GDP Down 1%, Good Initial Reaction

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by Matthew Graham on July 31 2009, 8:30 AM

Yesterday's Recap * 7yr Auction much better than previous auctions this week. * Good midday support from internal trendlines * MBS fought to adhere to long term uptrend * MBS Won Right Now * GDP out slightly better than expected on the headline, but...
MBS CLOSE: How'd Those Predictions Turn Out...

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by Matthew Graham on July 30 2009, 5:17 PM

If no one else, you can always count on us to point out when we were right. At 2:15 PM we gave you the following chart before any bounce had occurred at either price level and suggested the levels looked good for a "bounce." Even before then...
MBS AFTERNOON: Status Quo Isnt So Bad

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by Adam Quinones on July 30 2009, 3:16 PM

Although only status quo has bee kept...STATUS QUO HAS BEEN KEPT....all while stocks made new 2009 highs. Benchmark big brother TSYs and "rate sheet influential" MBS have weathered the supply storm. Now....we are set up to rally....but still...
MBS UPDATE: Volatility and Resistance (updated 2:15pm)

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by Matthew Graham on July 30 2009, 1:48 PM

Some traditional post auction volatility has entered the scene. As stocks have continued to move higher and profits have been taken, we've seen a retracement in bonds. At this point, it appears to be technical in nature and thus not a major cause...
MBS UPDATE: Auction Results (UPDATED 1:15pm)

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by Matthew Graham on July 30 2009, 1:02 PM

Mixed signals from the 7yr Auction results as the high yield was 6bps over current trading with 91% coming in at high. At face value, not so good, but bid to cover was a healthy 2.63 which is the key component causing improvements at the moment. 17.46...
MBS LUNCH: Why Are TSYs Steady While Stocks Shoot the Moon???

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by Adam Quinones on July 30 2009, 11:46 AM

One has to assume that, based on the results of the previous three auctions (good demand for 20 YR TIPS, crappy demand for saturated 2s market, crappy demand for 5s)...that the investment community is setting itself up for a FLATTENER TRADE. This implies...
MBS ALERT: Lows of the Day

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by Adam Quinones on July 30 2009, 10:21 AM

Although many might expect the stock rally to cause chaos in the TSY market as portfolio allocations favor riskier stocks....the 10 yr is holding steady near 3.70%. Unfortunately "rate sheet influential" MBS coupons are not performing as well...
MBS OPEN: Jobless Claims Better AND Worse! Details Inside...

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by Matthew Graham on July 30 2009, 8:27 AM

Recap Of Last Session * Durable goods weaker than expected, lends to early fixed income strength * Once again, bonds rallied into a tsy auction and sold off therafter * 4.5's got as high as PAR, sold off just over half a point and ended the day at...
MBS CLOSE: More Of The Same

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by Matthew Graham on July 29 2009, 5:08 PM

Pete Townshend certainly seemed like he was confident about something in one his more popular songs... Perhaps when we ask ourselves "Who" knows what's going on in the markets, the answer is ironically close at hand. But even if we can't...
MBS AFTERNOON: Bounce Fail Bounce Fail

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by Adam Quinones on July 29 2009, 2:37 PM

Following the crappy 5 yr note auction....the long end of the yield curve sold off and "rate sheet influential" MBS prices ticked considerably lower. This prompted us to issue an ALERT that lenders were likely to reprice for the worse. After...
MBS ALERT (continued): Charts and Confirmation of Weakness

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by Matthew Graham on July 29 2009, 1:14 PM

Putting another 10 minutes between us and the auction has allowed more of the characteristic volatility to play out. See below that the 10 yr immediately shot up almost exactly to yesterday's high yield of 3.73 and MBS down to yesterday's low...

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