MBS MID-DAY: 9/16/2011


Yesterday’s afternoon trading gave us the impression that the week seemed to have prematurely ended after the morning’s spikes, first on tradeflows out of Europe around 8:39am and then on headlines out of Europe at 9am (it almost seems like Europe is important to US bond markets these days?). Once those losses were in, the rest of the day was decidedly sideways.

MBS and longer-dated Treasuries are both weaker this morning, but this is just an incidental consequence of the range established yesterday. We’re tempted to say that yesterday’s high yields in 10yr notes should provide support today (as they have so far this AM), but even if they do not, substantial weakness and higher-than-expected volume would be needed to suggest anything significant is transpiring.

TIC data is already out and of zero consequence (it pertains to July–a completely different world) and all that’s left on the domestic economic calendar is Consumer Sentiment at 955am. It’ll be a great validation or rejection of this notion that US data isn’t that important right now, so we’ll wait and see (and guess “validation,” but you never know…)

For now, suffice it to say that volume is light, stock futures are rallying and have pushed 10yr notes up to 2.107, MBS are weaker, and rates should be worse today if current levels prevail (.125-.375). Fannie 4.0’s are down 5 ticks at 103-27 and 3.5’s are down 8 ticks at 100-25.

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