Thu, Jul 16 2009, 8:28 AM
Yesterday's Recap
* Snowball Selling
* All Data unfriendly, higher than expected CPI leads the charge
* lost almost a full point in 4...
Thu, Jul 16 2009, 6:00 PM
we'll skip the more detailed enumeration of tomorrow's potentialities and the beautiful beautiful charts I know you're all so fond of, so that some ad...
Thu, Jul 16 2009, 4:31 PM
Not much to report in MBSland. FN 4.5 prices went sideways in the second half of the session...RANGE BOUND. On the bright side, as the 10 yr TSY yield...
Thu, Jul 16 2009, 1:38 PM
Into the afternoon, MBS have continued in a reasonably tight range of gains with the 4.5 now reaching up near 99-20, an 18 tick recovery from yestered...
Thu, Jul 16 2009, 1:11 PM
Mortgage rates took another step higher yesterday following a 3% rally in the stock market. Tame inflation and “not as bad” industrial production numb...
Wed, Jul 15 2009, 12:38 PM
Mortgage backed securities had another losing day yesterday moving lower in price by .375 in discount. Many lenders did reprice for the worse as the ...
Wed, Jul 15 2009, 12:18 PM
REPRICES FOR WORSE LIKELY AS S&P MAKES NEW INTRADAY HIGHS AND YIELD CURVE STEEPENS. CURRENTLY 10 YR YIELD AT 3.58% AND FN 4.5 AT 99-08. THIS IS WELL B...
Wed, Jul 15 2009, 10:35 AM
The bond market is definitely in defensive mode as equities blasted through several technical resistance levels this morning. Consequently there was s...
Wed, Jul 15 2009, 8:30 AM
June CPI
* Headline CPI = +0.7% (consensus = +0.6%)
* CORE CPI (excludes food/energy) = +0.2% (consensus = +0.1%)
* Year over year st...
Wed, Jul 15 2009, 5:43 PM
Fixed Income exhibited real weakness today. Benchmark yields were higher, volatility ticked up again, "rate sheet influential MBS" prices fell 23 tick...
Wed, Jul 15 2009, 4:07 PM
Bullet Points
* 2's/10's, steeper, 2.603
* Late stock strength pushing bonds lower.
* MBS and treasuries book close at 3pm hangs on t...
Wed, Jul 15 2009, 1:19 PM
Today's unwelcome (but not entirely mystifying) selling has subsided for a moment as several markets ping some top tier technical price levels...
M...
Tue, Jul 14 2009, 12:54 PM
After spending the majority of the session in a stable range yesterday, prices of mortgage backed securities lost their steadiness and ticked lower h...
Tue, Jul 14 2009, 10:30 AM
In MBS world volume is apathetic at best. Yield spreads are slightly wider as the FN 4.5 is feeling the effects of a steeper yield curve and higher o...
Tue, Jul 14 2009, 8:26 AM
Last Session Recap
* lost some on limited data
* stock rally hurt tsy's
* tsy spending gave pause
* earning's season buzz mounti...
Tue, Jul 14 2009, 5:47 PM
If it seems that each new day brings a new fork in the road for MBS prices that reflects the theme of "waiting for guidance." As discussed, the recon...
Tue, Jul 14 2009, 3:36 PM
Interest rate option volatility has increased a few bps this afternoon...leading to lower TSY note prices and higher benchmark interest rates (some pr...
Tue, Jul 14 2009, 1:03 PM
The range of MBS prices continues to moderate with lower highs and higher lows. Whether you want to call this a triangle or a wedge or a wedgy triang...
Mon, Jul 13 2009, 12:59 PM
Last week, progress was made in the mortgage market as Treasuries rallied and prices of mortgage backed securities moved higher. By week's end "rate s...
Mon, Jul 13 2009, 12:59 PM
OH NO...stocks are rallying!!!!!Since stocks are trading higher on the day you would expect Treasuries and MBS to be selling off right? Nope. Not Happ...
Mon, Jul 13 2009, 10:37 AM
The FN 4.5 was choppy early on in the session, but has since found a range and is now taking directional guidance from the gyrations of the yield curv...
Mon, Jul 13 2009, 7:53 AM
Risk Aversion consumed the marketplace this week. Treasury yields fell as stocks weakened. The price of oil plummeted and the dollar lost ground on se...
Mon, Jul 13 2009, 5:11 PM
This morning kicked off with everyone's favorite equities analyst Meredith Whitney out with some bullish comments on earnings. This set a positive to...
Mon, Jul 13 2009, 3:19 PM
Lenders that haven't already reprice for the worse may now be inclined to do so as we are at the lowest point of the last two sessions by a decent mar...
Mon, Jul 13 2009, 2:40 PM
Rate sheet influential MBS have been jolted from their range by a higher stock indices and a rise in benchmark yields. The FN 4.5 has fallen to 100-10...
Fri, Jul 10 2009, 12:54 PM
Price of "rate sheet influential" mortgage backed securities lost some ground yesterday following tepid demand at the 30 yr bond auction. More than an...
Fri, Jul 10 2009, 12:46 PM
Suddenly, nominal profit taking accelerated to the lows of the day... When "lows of the day" occur, there is always a chance that lenders will repric...
Fri, Jul 10 2009, 11:15 AM
The 10 yr is at its lowest point since late May! Our bullish bias is strengthening as the recovery rally we discussed yesterday afternoon has ensued, ...
Fri, Jul 10 2009, 8:36 AM
Prices of "rate sheet influential" MBS coupons are moving higher this morning following an overnight rally in the Treasury market. Stock futures indic...
Fri, Jul 10 2009, 2:30 PM
Isnt it interesting that the S&P has moved to just about its weakest levels of the week (bearish) and the 10 yr has ticked down to its lowest yield of...
Thu, Jul 9 2009, 12:44 PM
Mortgage backed securities posted big gains yesterday following a surprisingly strong 10 yr Treasury note auction. The bid to cover ratio, a measu...
Thu, Jul 9 2009, 10:48 AM
Remember what we said about the stars aligning....Stocks confirming bearish bias + Bonds confirming bullish bias + Lower interest rate volatility = Le...
Thu, Jul 9 2009, 8:48 AM
MBS prices are noticeably lower this morning as TSY traders take profits and flight to safety trades are unwound (stocks looking to move higher) plus ...
Thu, Jul 9 2009, 6:53 PM
In light of AQ's most recent post, we'll keep this one short and more focused on charts. If down days get you, well... down, then this is for you. J...
Thu, Jul 9 2009, 3:35 PM
Plain and Simple: the market is stuck again...stocks are range bound after being oversold (short term) and benchmark TSYs have corrected from being a ...
Thu, Jul 9 2009, 1:39 PM
Following the 30 yr bond auction, rate sheet influential MBS coupons have traded in a volatile range as the 10 yr TSY attempts to show its intention t...
Thu, Jul 9 2009, 1:19 PM
When the wire first hit (which we get a bit before the public site is updated), I was concerned that the tail of 3-4 bps would be perceived as a negat...
Thu, Jul 9 2009, 1:01 PM
High Yield of 4.303%, was trading at about 4.28 before auction.
67% at high yield (the lower the better considering the 4-5 bp tail)
Bit to cove...
Wed, Jul 8 2009, 11:01 AM
Prices of "rate sheet influential" MBS coupons will be skittish of any benchmark sell offs, nervous about letting profits sit too long (yes profit tak...
Wed, Jul 8 2009, 10:45 AM
As I stated in yesterday’s blog, continued improvements in prices of mortgage backed securities (as price goes higher, rates go lower) will require f...
Wed, Jul 8 2009, 8:30 AM
Last Session Recap
* 3yr auction sees decent demand offset by a higher than expected yield
* reactions were mixed until stocks sold late d...
Wed, Jul 8 2009, 5:56 PM
If we were to provide you simple list of closing MBS prices over the last 6 months--say a page for each month--and you lost the page corresponding to ...
Wed, Jul 8 2009, 3:07 PM
As you can see, the previously discussed 877-878 (ish) level in the S and P has indeed served as a bit of resistance for the time being. However, the...
Wed, Jul 8 2009, 1:10 PM
The net result for both treasuries and MBS is a huge positive. BE AWARE, that treasuries will get the spotlight today, and potentially even through t...
Wed, Jul 8 2009, 1:01 PM
more to follow, but all you need to know for now is the high yield on the 10 yr auction was 3.365 percent, and 86% at high.
Prepare to get your fac...
Tue, Jul 7 2009, 12:02 PM
Mortgage backed securities managed to post modest gains yesterday in very light trading. All markets, from stocks to treasuries, are at tipping poin...
Tue, Jul 7 2009, 10:32 AM
We are definitely seeing better rate sheets this morning. However we dont want you to get too excited about an MBS rally as the two most "rate sheet i...
Tue, Jul 7 2009, 8:33 AM
MBS OPEN: Prices Head Back to 100-00 and 102-00.. TSYs weaker. Stock Futures Higher. Oil Recovering. TSYs range bound between 3.50- 3.60. MBS takin...
Tue, Jul 7 2009, 5:49 PM
* MBS spend two days above PAR in 4.5's for the first time since may (and 102-00 for 5.0's)
* Stocks at lowest levels since May (almost since Apr...
Tue, Jul 7 2009, 3:14 PM
s TSY rates move lower and the curve flattens, the duration of "rate sheet influential" MBS coupons is reduced. This allows certain MBS holders to mov...
