-Fannie Mae’s Book of Business decreased at a compound annualized rate of 0.9 percent in November.

-Fannie Mae’s Gross Mortgage Portfolio declined at a compound annualized rate of 11.6 percent in November.

-The Conventional Single-Family Serious Delinquency Rate remained unchanged at 4.00 percent in November; the Multifamily Serious Delinquency Rate rose two basis points to 0.60 percent in November.

-The Effective Duration Gap on Fannie Mae’s portfolio averaged zero months in November.

-Fannie Mae completed 16,070 loan modifications in November, for a total of 194,985 loan modifications in the eleven months ended November 30, 2011.

Fannie 3.5's at 102-28 are as high as they've been in 3 months, and higher than they've ever been absent an FOMC-induced sugar rush. Even so, today promises to be another low volume and uninspired session, as were the Asian and European sessions overnight. Volumes remain in line with weakest levels in 3 years as far as late December is concerned. For all the sturm and drang surrounding various moments in recent weeks effectively being the last trading days of the year, today has the benefit of actually being that! Not to put too fine a point on it, but it is a bit interesting to note that yields are at the same levels as our first major declaration of "effective year end" around mid-day on 12/22.

Since then, we've seen how thin markets and low volume can magnify and exaggerate the will of the few. To that end--and for those who are even still interested in what trading levels might do in such a low volume environment--we'd point out that it's still possible to see some of that low volume choppiness as various market participants buy or sell whatever it is they might need to buy or sell in order to get that little "11" as the last number on the dateline of their checks.

MBS and Treasuries opened relatively flat and stocks continue to be disconnected, with futures flat to slightly improved. There is absolutely no data of importance scheduled for release today, apart from the release of the next round of Operation Twist purchases from the Fed. Even then, this isn't the sort of thing that should contain any major surprise and shouldn't move markets unless amounts and allocations deviate greatly from a tight range of expectations.