On these 3.5 day holiday weekends, we tend to see Monday's speedometer pick back up in a similarly slow fashion to Thursday's gradual slow-down.  Today is no exception.  The fact that many markets are still closed today has a moderate impact on domestic trading today as the Hang Seng and Eurpoean Markets closed.  Indeed "not much" has happened over the extended weekend.  Not much has happened this AM, and most importantly, not much is anticipated to happent today.  The economic calendar is empty, leaving us more prone to headline-related impacts.

After the early close on thursday, the Fed released it's weekly MBS buying report, showing net purchases remaining strong at $30.4 billion.  That's a daily average of $6.1 bln, which is down slightly from the prior $6.6 bln, but still on the high side of it's average performance.  In addition, the Treasury was out with it's MBS numbers on Friday showing GSE purchases at $695 million per day.  (There was a time where that would seem significant in the absence of the Fed MBS Juggernaut).  Still, this is a bit better than February when the average was only $669 bln per day. 

In case you missed Thursday, it was ostensibly pretty rough.  Volatility was high as volume was low.  We ended up near the lows of the day and at an important fork in the road on the 4.0 coupon.  So far this AM, it appears that meaningful directionality is still "on hold," but at the very least, we do not seem to be moving toward the "unhappy" side.  4.0's are over their key "turning point" level by at least 3 ticks at 99-25.  4.5's are also faring modestly well at 101-22, 2 ticks up.  The Dow is down about 100 at the moment, while Tsy's, in anticipation of this week's Fed buying of 4-7 year maturities, are up, with the 10 yr yield down now to 2.85.  The 5yr yield is down 7 bps to 1.81.  Both these levels are providing a stable basis that's seen to protect MBS from wild moves as Tsy traders don't expect much volatility today.  Keep in mind that that is usally predicated on headline risk.  Even though the Times reported this AM that China will be less of a buyer of US debt, no one really cared.  Beware also the potential for further GM bankruptcy musing to cause brief emotional trading patterns in this absence of scheduled data.

Fortunately, you don't have to wait long for the data to start coming in.

  • Tuesday
    • PPI
    • Retail Sales
    • Store Sales
    • 4 week note auction
    • Business Inventories
    • Redbook
  • Wednesday
    • CPI
    • Empire State MFG.
    • Industrial Production
    • Tsy Int. Capital
    • Beige Book
    • Housing Market Index
    • 3 and 10 yr note settlement, Tips Settlement
    • Purchase Applications
  • Thursday
    • Housing Starts
    • Jobless Claims
    • Mo Town Philly Fed Index (back again!)
    • Fed's Lockhart AND Yellin' Yellen
  • Friday
    • Consumer Sentiment
    • Gentle Ben Speaks

So maybe you should go back to bed as it seems that the action won't begin in earnest until tomorrow.  Then again, if you are in the loan industry in this season of unprecedented application demand, these are probably precious minutes where you can tune the markets out to some extent and focus on the reason for the season.  Charts Follow: