Last Session Recap

  • Medium sized rally in MBS led by TSY rally. TSY rally sparked by morning bargain buying momentum which snowballed into short covering....albeit in light volume which implies no strength in rally and high likelihood of profit taking.
  • Volume was meager in all markets as econ calendar was light and participants awaiting Bernanke
  • Stocks broke serious upside ceilings...but on low volume
  • MBS failed to break their upside resistance (50% retracement at 99-19)

The AM So Far

  • Pins heard dropping pre-bernanke (low volume).  Good quick read on Ben's speeches today and tomorrow.
  • tsy futures suggest an opportunistic "buy at lows" level in tsy's right about here. Should see buying (volume accumulating) at key support levels
  • Bernanke
  • Bernanke
  • Bernanke (or at least that's what the crowd will be watching)
  • Like we said yesterday, that ain't the whole story, so stay tuned...WE REMAIN DEFENSIVE as bearish bias remains in bonds



2s vs. 5s: 150bps

5s vs. 10s: 356bps

2s vs. 10s: 265bps. The 2s/10s curve is approaching historic highs again....

NYMEX Crude:64.96

Dollar Index: 78.81

S&P Futures: +3.50  at 952.50