December 2009 - MBS Commentary

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As The Trading Day, And Year Draw To A Close, Uncertainty Remains

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by Matthew Graham on December 31 2009, 2:30 PM

It was a choppy day indeed on this last day of 2009. As per usual this week, much of that choppiness can be chalked up to much lower than normal volume. MBS and Tsy's tanked early with the 4.5 down all the way to 99-14 and the 10yr actually cracking...
MBS LUNCH: Modest Recovery After Hitting 5 Month Yield Highs

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by Adam Quinones on December 31 2009, 12:12 PM

After hitting 5 month yield highs early in the session, rates have made a modest recovery back towards their recent range. Prices are now heading sideways in "status quo" territory. Volumes are below average. The 10yr note is -0-14 at 96-04...
MBS MORNING: Jobless Claims Data Pushes Rates Higher

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by Adam Quinones on December 31 2009, 9:33 AM

Rates sold off following the release of jobless claims (which I need to dig deeper into). While many will take this data as an indication of good things to come in next week's labor market report, we cannot confirm or deny any market bias based on...
MBS CLOSE: 4.5 At Par Signals Profit-Takers

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by Matthew Graham on December 30 2009, 4:56 PM

MBS opened and traded the AM at their best levels of the day with Par on the 4.5 even couched in a supportive guise. But as the noon hour approached, it was back to yesterday's closing levels for MBS as profit taking came, saw, and kicked a moderate...
MBS LUNCH: 7 Year Treasury Note Auction Results

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by Matthew Graham on December 30 2009, 1:05 PM

The Treasury has successfully auctioned $32 billion 7 year notes. As always, we expect volatility post-auction. After profit-taking weakened MBS this AM, it's too soon to tell if those losses will be recaptured. The auction is strong ENOUGH that it...
MBS MORNING: Rates Rally Extends But Progress Stalls Before Auction

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by Adam Quinones on December 30 2009, 10:57 AM

In the mortgage market, yesterday's late afternoon rally has extended over into today' session. "Rate sheet influential" MBS prices are have ventured back into premium territory (over 100-00) and MBS yields are outperforming their benchmark's...
MBS CLOSE: Slow At First, Gains Accelerate Into Close

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by Matthew Graham on December 29 2009, 4:32 PM

It took a while for markets to decide just what to do after the 5 year auction results at 1pm. Whether there was any actual level of "indecision" present is unknown and perhaps unimportant. More likely, what we see in today's charts is the...
MBS LUNCH: Bonds Improving Slightly After Auction

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by Matthew Graham on December 29 2009, 1:07 PM

Auction Results Are As Follows: 5-YEAR NOTES YIELDS High 2.665 pct Median 2.600 pct Low 2.538 pct PRICE/ACCEPTANCES Price 99.813909 Accepted at high 31.16 pct Bid-to-cover ratio 2.59 AMOUNTS TENDERED AND ACCEPTED (dollars) Total accepted 42,000,036,500...
MBS MORNING: Marginal Improvements After Housing Data

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by Adam Quinones on December 29 2009, 9:41 AM

The S&P/Case-Shiller Home Price Index has been released. The 20 city home price index was +0.00% in October. Worse than estimates of +0.2%.On a year over year basis the 20 city index is down 7.3%. The 10 city home price index was also unchanged in...
MBS CLOSE: More Losses, and More Reason Not To Care

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by Matthew Graham on December 28 2009, 5:15 PM

I just wanted to add my two cents into the "grade the auction" requests AQ received earlier while I was nobly battling a nasty little holiday stomach virus my son was kind enough to bring home (and losing miserably). You see, I think that the...
MBS LUNCH: Rates Barely Budge After Apathetic 2 yr Note Auction

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by Adam Quinones on December 28 2009, 1:07 PM

Treasury has just auctioned $44 billion 2 yr notes. The high yield was slightly above the 1pm current market bid ("when issued"), stopping out at 1.089%. The bid to cover ratio was 2.91 , which means 1 award for every 2.91 bids. The bid to cover...
MBS MORNING: Wait and See Attitude Moderates Corrective Progress

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by Adam Quinones on December 28 2009, 10:40 AM

While "real money" (indirect at least) will most likely be the main source of a supportive bid in TSYs this week, the majority of market participants will be sitting it out until 2010. I would prefer to be slightly behind in a rally then stuck...
MBS CLOSE: Please Ignore The Charts On Your Way Out

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by Matthew Graham on December 24 2009, 2:12 PM

It's that time again folks... Another year of fun in the MBS market draws to a close and we are left with but a few trading sessions between now and 2010, and even those sessions can't promise any meaningful participation or movement. We don't...
MBS MORNING: Happy Holidays. Rates Unchanged

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by Adam Quinones on December 24 2009, 9:44 AM

Good Morning.The market is flat. The 3.375 coupon bearing 10yr TSY note is -0-02 at 96-26 yielding 3.762%. The FN 4.0 is -0-02 at 96-28 yielding 4.297% and the FN 4.5 is -0-01 at 100 the buck yielding 4.509%. The secondary market current coupon is 4.505...
MBS CLOSE: Illustrating Deceptive Effects Of Low Volume

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by Matthew Graham on December 23 2009, 5:18 PM

We've reference "VWAP" before, though it's not a metric that makes it into every post. VWAP stands for "Volume-Weighted-Average-Price." We find it to be an incredibly useful, simple, and logical tool in telling another story...

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