MBS Pricing Snapshot

- Note that excluding transportation, Factory orders were actually unchanged despite the headline drop of 5.2 pct being the biggest since January 2009.

New orders for manufactured goods in August, downtwo of the last three months, decreased $24.9 billion or 5.2 percent to $452.8 billion, the U.S. Census Bureau reported today. This followed a 2.6 percent July increase. Excluding transportation, new orders increased 0.7 percent.

Shipments, down two of the last three months, decreased $1.3 billion or 0.3 percent to $476.9 billion. This followed a 1.9 percent July increase.

Unfilled orders, down following two consecutive monthly increases, decreased $17.0 billion or 1.7 percent to $978.8 billion. This followed a 0.7 percent July increase. The unfilled orders-to-shipments ratio was 6.27, up from 6.23 in July.

Inventories, up two consecutive months, increased $3.7 billion or 0.6 percent to $611.8 billion. This was at the highest level since the series was first published on a NAICS basis in 1992 and followed a 0.6 percent July increase. The inventories-to-shipments ratio was 1.28, up from 1.27 in July.

30-year fixed-rate mortgage (FRM) averaged 3.36 percent with an average 0.6 point for the week ending October 4, 2012, down from last week when it averaged 3.40 percent. Last year at this time, the 30-year FRM averaged 3.94 percent.

15-year FRM this week averaged 2.69 percent with an average 0.5 point, down from last week when it averaged 2.73 percent. A year ago at this time, the 15-year FRM averaged 3.26 percent.

5-year Treasury-indexed hybrid adjustable-rate mortgage (ARM) averaged 2.72 percent this week with an average 0.6 point, up from last week when it averaged 2.71 percent. A year ago, the 5-year ARM averaged 2.96 percent.

1-year Treasury-indexed ARM averaged 2.57 percent this week with an average 0.4 point, down from last week when it averaged 2.60 percent. last week. At this time last year, the 1-year ARM averaged 2.95 percent.

Overnight trade was quiet--very quiet--and only began to pick up after the ECB left rates unchanged (as expected). Earlier news that the Euro zone may have been considering an insurance plan for Spanish bond buying caused some volatility even before the ECB announcement, but markets generally made it to the 8am hour in decent shape with 10yr Treasuries just under 1.64 and Fannie 3.0s opening in line with yesterday's supportive lows.

Despite a few weaker employment reports (Jobless Claims weaker than previous, better-than-expected, and Challenger Job Cuts, higher than previous), markets opted to take morning cues mainly from Draghi's Q&A session, experiencing several choppy moves in the process.

10yr yields went at high as 1.656, which is essentially the high end of the recent sideways trend, and Fannie 3.0s fell to 105-19, which isn't particularly troublesome from a technical standpoint (though it is roughly the center of the recent sideways trend in MBS).

The end of Draghi's press conference and a weak open in Cash Stock Markets have helped bond markets hold their ground to some extent with MBS now only two ticks away from unchanged and 10yrs only 2.1 bps higher than y'day at 1.637.

There's 2nd tier data at 10am with the Factory Orders report. Then, Fed buying in the 7yr range takes place from 10:15-11:00am. The last "biggie" of the day (and we're not thinking it's as big a deal as it was BEFORE QE3 was announced) will be FOMC Minutes at 2pm.

- Claims +367k vs +370k consensus
- Previous month revised up from 359k to 363k

In the week ending September 29, the advance figure for seasonally adjusted initial claims was 367,000, an increase of 4,000 from the previous week's revised figure of 363,000. The 4-week moving average was 375,000, unchanged from the previous week's revised average.

The advance seasonally adjusted insured unemployment rate was 2.6 percent for the week ending September 22, unchanged from the prior week's unrevised rate. The advance number for seasonally adjusted insured unemployment during the week ending September 22 was 3,281,000, unchanged from the preceding week's revised level. The 4-week moving average was 3,285,250, a decrease of 12,750 from the preceding week's revised average of 3,298,000.