In the 5 trading sessions between April 23 and April 29,
2009, THE FED PURCHASED $59.565 bn AGENCY MBS and THE FED SOLD $36.423 bn AGENCY MBS....
FOR A NET OF: $23.142 bn AGENCY MBS PURCHASES.
Here's a screen shot of my excel worksheet:
The chart below illustrates the Fed's buying patterns since the inception of the Agency MBS Purchase program on January 5.....notice its been all 4.0s and 4.5s lately!!! Also note that net purchases have declined in the past three weeks...unfortunately the reduction in net purchases does not provide an accurate portrayel of the overall Federal Reserve participation in the agency TBA MBS market. Gross purchases do though....
Gross purchases have increased each of the last three weeks. Here are the last 7 Gross Purchase numbers starting with March 12: $28.195bn...$47.200bn...$68.500bn...$74.705bn...$30.400bn...$41.450bn... and this week: $59.565bn.
The Fed was $18.115bn more active this week than they were last week....and $29.165bn more active compared to their buying behavior two weeks ago.
This brings the grandtotal of Federal Reserve Agency MBS Purchases to: $404.33 billion. Only 32.3% of Fed MBS funding has been spent. Still have $845,670,000,000 left!!!!
As the session headed into close, interest rate volatility calmed and stock traders lost their will to trade higher. The DOW closed down 17 points to 8168, the UST10yr found a home near 3.12%, and the FN 4.0 MBS gyrated sideways around 100-00. It wasnt a pleasant session for the stack today...sellers outnumbered buyers as the Fed's presence was muted when originators attempted to offload loan supply. Production MBS/TSY spreads weakened as many market participants chose to stay away from 4.0s (month end and extension risk)...here's the bad part: all while the yield curve moved progressively steeper (2s/10s trended higher all day and currently sits at 221bps). On the bright side we avoided mass repricing for the worse!
Since 5pm "Going Out" Marks...
FN30________________________________
FN 4.0 -------->>>> -0-03 to 100-00 from 100-03
FN 4.5 -------->>>> -0-04 to 101-24 from 101-28
FN 5.0 -------->>>> -0-04 to 102-26 from 102-30
FN 5.5 -------->>>> -0-03 to 103-17 from 103-20
FN 6.0 -------->>>> -0-02 to 104-17 from 104-19
GN30________________________________
GN 4.0 -------->>>> -0-03 to 100-04 from 100-07
GN 4.5 -------->>>> -0-04 to 102-00 from 102-04
GN 5.0 -------->>>> -0-03 to 103-14 from 103-17
GN 5.5 -------->>>> -0-03 to 103-26 from 103-29
GN 6.0 -------->>>> -0-03 to 104-10 from 104-13
Gues what price level the FN 4.0 hovered around, but rarely stayed above all day...PAR
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