While overseas stocks were happy to remain hesitant in the nocturnal session(most sold off +2%), the US Treasury yield curve moved a few bps flatter following a panic ridden roller coaster ride yesterday. At the US open, the yield curve continues to compress (flatten) and US stock futures indicate the DOW, the S&P, and the NASDAQ will move considerably lower.
The 2 yr note yield is trading under 0.89 while the 10 yr note yield hovers around 2.88 (2s vs 10s are slightly under 200bps). Prices of mortgage backed securities are once again moving higher as the TSY yield curve flattens out and durations are extended. MBS/TSY yield spreads are mixed depending on your benchmark of choice.
MBS prices are heading towards all time highs (see MBS CLOSE for illustration), the question however remains: will lenders pass along these secondary market gains?
Since 5pm "Going Out" Marks...
FN30________________________________
FN 4.0 -------->>>> +0-05 to 100-22 from 100-17
FN 4.5 -------->>>> +0-06 to 102-10 from 102-04
FN 5.0 -------->>>> +0-03 to 103-09 from 103-06
FN 5.5 -------->>>> +0-00 to 103-27 from 103-27
FN 6.0 -------->>>> +0-01 to 104-22 from 104-21
GN30________________________________
GN 4.0 -------->>>> +0-08 to 100-27 from 100-19
GN 4.5 -------->>>> +0-07 to 102-19 from 102-12
GN 5.0 -------->>>> +0-04 to 103-29 from 103-25
GN 5.5 -------->>>> +0-01 to 104-04 from 104-03
GN 6.0 -------->>>> +0-01 to 104-15 from 104-14
EFFECTIVE FED FUNDS: +0.01 to 0.17 from 0.16
LIBOR FIXINGS
O/N LIBOR: +0.0050 to 0.2138 from 0.2087
1 MONTH: -0.0050 to 0.4275 from 0.4325
3 MONTH: -0.0144 to 1.0394 from 1.0538
6 MONTH: -0.0150 to 1.5750 from 1.5900
1 YEAR: -0.0212 to 1.8775 from 1.8987
The FOMC meeting begins today. The board will go behind closed doors to prepare for tomorrow's release of their statement regarding monetary policy and/or any adjustment/alterations to quantitative easing efforts. While the FOMC deliberates, in order to protect themselves from an unexpected tapebombs, market participants will be hesitant to position themselves far from the central bias.
Case/Shiller at 9AM. (expecting -16.7%)
Consumer confidence at 10am (expecting 29.9)
$35bn 5yr TSY notes will be auctioned off at 1pm
MBS Market Alerts
