Wed, Oct 7 2009, 12:12 PM
Prepayment speeds determine, to a great extent, the timing of principle cash flows back to the MBS investor. If forecasts of prepayment speeds are mi...
Wed, Oct 7 2009, 9:01 AM
The US dollar is recovering after taking a beating in currency markets yesterday. As the dollar gains against other currencies, oil and gold prices ar...
Wed, Oct 7 2009, 5:00 PM
When last week's NFP hit, the massive rally of the day before was confirmed. Volume was as high as it has been in a long time on both days. As you c...
Wed, Oct 7 2009, 4:06 PM
In NASCAR the GREEN flag signals the start or resumption of the race. A GREEN flag tells drivers to floor it! In the bond market, GREEN on the board m...
Wed, Oct 7 2009, 1:34 PM
OK, the auction of the 10yr re-opening was fantastic... In case you missed the results or were otherwise in need of a bit more explanation as to thei...
Wed, Oct 7 2009, 1:13 PM
Prices of mortgage backed securities held to a tight range yesterday, closing the day in essentially the same place they opened. The lack of volatilit...
Wed, Oct 7 2009, 1:01 PM
* $20 BLN 9-YR 10-MO NOTES AT HIGH YIELD 3.210 PCT, 12.77 PCT OF BIDS AT HIGH
* BID-TO-COVER RATIO 3.01, NON-COMP BIDS $41.9 MLN
* PRIMAR...
Tue, Oct 6 2009, 12:21 PM
The nitty gritty you need to take from this post:
* TSY supply/auctions, a lack of econ data, and the stock lever are influencing mortgage rate...
Tue, Oct 6 2009, 10:50 AM
It was a slow day in the fixed income market's yesterday. Mortgage rates were mostly unchanged as prices of mortgage backed securities bounced around ...
Tue, Oct 6 2009, 8:45 AM
Good Morning. Prices of "Rate Sheet Influential" MBS coupons are marginally lower this morning as benchmark yields rise ahead of TSY auctions. An unex...
Tue, Oct 6 2009, 5:02 PM
3.27 and 3.30 have proven to be pivotal technical price levels in 10yr tsy yields. After rallying last week, all eyes have been on these levels to se...
Tue, Oct 6 2009, 3:51 PM
Rate sheet influential MBS coupons stuck to a tight price range today. The Federal Reserve and Asian accounts were aggressive buyers of FN 5.0s today...
Tue, Oct 6 2009, 1:14 PM
One of our colleagues put it best a moment ago when he said: "looks like the market isn't moving much... Headed to lunch..."
Indeed after an excee...
Tue, Oct 6 2009, 1:00 PM
Bottom Line: not exceedingly strong, but not horrible. However, initial reaction in bond markets is to the downside. MBS are off a few ticks to 101-...
Mon, Oct 5 2009, 11:42 AM
We've been talking more and more about the "paradigm shift" occurring in the broader markets. In general, mounting evidence suggests that the equitie...
Mon, Oct 5 2009, 10:11 AM
ISM Non Manufacturing Survey Results-
* headline index at 50.9% versus 50.0 Consensus
* business activity index 55.1 in sept (consensus 51...
Mon, Oct 5 2009, 8:29 AM
So Far This Am...
* Dollar Falls After G7 Meeting.
* "Strong Dollar" talk may have contributed to bond rallies last week
* MBS mostly...
Mon, Oct 5 2009, 5:08 PM
TOMORROW! With today's lack of data and ultimately, movement, tomorrow's impending events trump today's actual events (or lack thereof...).
Ok, I ...
Mon, Oct 5 2009, 3:33 PM
After getting pulled into a slightly higher range on late session stock strength, tsy's decided it would be best to go ahead and hold the line at prev...
Mon, Oct 5 2009, 2:10 PM
Whether it's the fact that almost any trading session would seem anticlimactic after last week's tumult or whether it's a factor of relatively low vol...
Mon, Oct 5 2009, 1:15 PM
Last week was a very nice week for mortgage rates. The economic data was rather mixed, some pointing toward economic growth, while others hinting a...
Mon, Oct 5 2009, 1:07 PM
As far as outright price levels are concerned, there is not a high degree of panic warranted by current price levels as MBS are still above 101-20 and...
Fri, Oct 2 2009, 12:19 PM
Mortgage rates moved a few basis points lower yesterday after the bond market experienced what AQ and MG refer to as a "forced rally". Stocks were se...
Fri, Oct 2 2009, 10:28 AM
The rally one would expect to occur after weak labor market data....took place yesterday. Now the bond market is giving some of it back. After hittin...
Fri, Oct 2 2009, 8:30 AM
SEPT NONFARM PAYROLLS -263,000 vs. CONSENSUS -180,000 vs. AUG -201,000 (PREV -216,000). WORSE THAN EXPECTED. Yesterday's bond market rally has been c...
Fri, Oct 2 2009, 5:45 PM
With a nod to any Monty Python fans in the audience, I feel compelled to let you know that this weekly wrap will not be providing any sort of dairy de...
Fri, Oct 2 2009, 4:17 PM
For the sake of continuity, here's an exceedingly brief update in order to fill the "MBS AFTERNOON" spot. AQ and I got caught up writing, editing, di...
Fri, Oct 2 2009, 2:51 PM
The immediate trader reaction to weak jobs data pushed the 10yr note yield from 3.18% all the way down to 3.10%. The precipitous fall in benchmark yi...
Thu, Oct 1 2009, 11:51 AM
The FN 4.5 is trading +0-11 at 101-19 yielding 4.3043%. The FN 4.0 is +0-15 at 99-15 yielding 4.0586%. The secondary market current coupon is 4.1446%...
Thu, Oct 1 2009, 8:45 AM
The 10yr TSY note yield has broken 3.27% resistance, leading "rate sheet influential" MBS prices higher.The FN 4.5 is +0-05 at 101-13 yielding 4.3275%...
Thu, Oct 1 2009, 4:59 PM
Today has been unique. In recent weeks, rallies have taken us outside well-established trading ranges, but always with mitigating caveats or forthcom...
Thu, Oct 1 2009, 3:36 PM
Given our recent admonitions about waiting for NFP as the most important data event of the week, the directionality of today's rally would lead us to ...
Thu, Oct 1 2009, 1:22 PM
As the third quarter ended yesterday, mortgage rates were unchanged as prices of mortgage backed securities held to the recent range. Since MBS rall...
Wed, Sep 30 2009, 11:53 AM
The recent bond market rally has led the yield curve and benchmark TSYs into numerous resistance levels that, if broken, might imply a general shift i...
Wed, Sep 30 2009, 8:50 AM
The AM So Far...
* ADP worse than expected at -254k
* GDP Better than expected at -.7 vs. consensus of -1.2
# Bonds Initial reaction DOW...
Wed, Sep 30 2009, 5:04 PM
Maybe the markets will find some sort of impetus to get directional tomorrow, but so far this week, Monday's extension of Friday's rally merely set us...
Wed, Sep 30 2009, 3:32 PM
After hitting an intraday high of 101-16 this morning, an unfriendly trend channel developed and the FN 4.5 fell to an intraday low print of 101-04. ...
Wed, Sep 30 2009, 1:43 PM
Mortgage rates were were unchanged for the most part yesterday as prices of mortgage-backed securities held to their recent range. Following Monday’s...
Wed, Sep 30 2009, 1:03 PM
Plainly and simply, prices are at their lowest point of the day. And though this STILL leaves MBS over 101-00 on the 4.5 and the 10yr is still under ...
Tue, Sep 29 2009, 12:31 PM
Despite a rally in equity markets, prices of mortgage-backed securities moved higher yesterday. No economic data was released, trading volume was ver...
Tue, Sep 29 2009, 11:36 AM
September Consumer Confidence Survey data registered a 53.1 read vs. the consensus estimate of 57.0 and the previous 54.5 (revised from 54.1). Followi...
Tue, Sep 29 2009, 8:57 AM
Good Morning. The rates market is giving back a portion of yesterday's gains. Stock futures are higher. The 10yr TSY note yield is trading near 3.33%....
Tue, Sep 29 2009, 5:06 PM
Tuesday 9/29 at a Glance
* MBS down 1 tick on the day to 101-11, continuing to close at multi-month highs
* Real Money (insurance funds, e...
Tue, Sep 29 2009, 4:03 PM
It wasnt a very busy trading session for mortgages. Much of the action took place this morning between 9AM and 10AM. As prices ticked higher banks wer...
Tue, Sep 29 2009, 1:40 PM
We're about overdue for some triangles wouldn't you say? Today's post morning correction certainly provides for that. Triangles mean different thing...
Mon, Sep 28 2009, 11:53 AM
Besides another round of record TSY issuances last week (which is what many are trading), weakness in stocks, some bond bullish econ data, and the app...
Mon, Sep 28 2009, 11:27 AM
Despite mixed economic reports last week, mortgage rates held near four month lows as prices of mortgage-backed securities approached four month highs...
Mon, Sep 28 2009, 8:24 AM
The term "slow" can be sometimes be misleading in this context. Although the absence of scheduled data combined with Yom Kippur's attendance toll are...
Mon, Sep 28 2009, 5:05 PM
For MBS, Tsys, and Stocks alike, no news was good news today as all three markets rallied amidst a lack of scheduled data, headline drama, or meaningf...
Mon, Sep 28 2009, 3:54 PM
Heading into the 5pm "MY SCREENS ARE ALREADY TURNED OFF" marking period, the FN 4.5 is at the highs of the day...+0-07 at 101-11 yielding 4.33%. Spott...
