Tuesday 7/15/08 ... Busy Day

By: Matthew Graham •
At A Glance:
  • PPI at 1.8% headline rate, higher than expected.  Core reading tame at .2%, expectations were for .3%
  • Retail Sales at .1% increase MoM, significantly lower than expected
  • Empire State Manufacturing Index down -4.92, versus expectations of -7.0
  • 6.0's holding at 101-06, quite nice, quite nice...
  • Gappy spreads...  13 tick price divergence between 5 yr's and 6.0's.
  • QUICK LOCK GUIDE: FLOAT.  101-06 is a few ticks off "going out" levels, but it's a few ticks better than closing levels (as predicted last night).  If we can but hold steady on this tepid raft of data, we'll be starting the day at least as good as yesterday.
  • VIGILANCE: EXTREME.  It could go either way today...
abbreviations guide (ongoing list): 
  • MBS -                 
    • Mortgage Backed Security
  • MDPC-
    • Mid Day Price Change (plus means for the better, minus for the worse)
  • DOW or DJIA -    
    • Dow Jones Industrial Average
  • Ticks-                   
    • 1/32nds of bond pricing.  8 ticks=8/32nds=.25 in cost (YSP or discount)
  • DoD, YoY, MoM-  
    • Day over day, year over year, month over month, etc..
  • O/N-                   
    • Overnight
  • Coupon-               
    • The "interest rate' of the MBS
  • 6.0's, 5.5's           
    • always means FNMA 30yr Fixed MBS with a coupon of that number.  6.0's = 6.0% coupon rate MBS
  • PCE-                    
    • Personal Consumption Expenditures
  • UST-                    
    • United States Treasury Bonds.  5UST = 5 year, 10UST = 10 year, etc.. 
  • NAPM (PMI)         
    • National association of purchasing management (Purchasing Manager's Index)
  • ISM (MFG)           
    • Institute for Supply Management (mfg: manufacturing)
  • Wide/Gap/Gappy  
    • refers to the wideness or gap between treasury yields and MBS yields.
  • "Going Out"          
    • 4:45PM EST.  Official Close is 3pm EST 
  • FI                        
    • "fixed income."  For our purposes, will simply refer to treasuries and MBS 
  • NFP                    
    • Non-Farm Payrolls.  Key part of employment report.  Most meaningful gauge of labor market
  • ADP                    
    • ADP private payrolls, some feel a precursor to NFP, but historically quasi-accurate at best.
  • GSE
    • Government Sponsored Enterprise.  Refers to Fannie Mae and Freddie Mac
  • PPI
    • Producer Price Index. A key inflation indicator.