MBS MID-DAY: 12/7/2011

By: Matthew Graham
MBS Live: MBS MID-DAY
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FNMA 3.5
102-08 : +0-04
FNMA 4.0
104-14 : +0-04
FNMA 4.5
105-32 : +0-03
FNMA 5.0
107-23 : +0-03
GNMA 3.5
104-04 : +0-06
GNMA 4.0
106-32 : +0-06
GNMA 4.5
108-27 : +0-02
GNMA 5.0
110-09 : +0-05
FHLMC 3.5
102-03 : +0-05
FHLMC 4.0
104-09 : +0-05
FHLMC 4.5
105-17 : +0-04
FHLMC 5.0
107-03 : +0-04
Pricing as of 10:59 AM EST
Morning Market Updates
A recap of MBS Market Updates provided by MND Analysts and streamed live to the MBS Live Dashboard.
8:30AM  :  ALERT: Bond Markets Rally Into NY Open After Choppy Overnight Session
Treasuries are turning green at the open after a choppy nocturnal session. The market is completely awash in all manner of European headlines and remains mostly devoid of domestic market movers.

It's hard to put into words just how frantic the pace is of new information coming out of Europe. If there's not a Financial Times article to trade, there probably soon will be. Then of course, there will be 17 "government officials" et. al. responding to said article, all getting their own newswire. There's tangible "data-based" news such as Spain announcing bank cleanups, Greece passing new austerity or Von Rompuy suggesting treaty amendments and there's less tangible "opinion-based" news such as what pundits and unnamed "German Officials" say the response will be to those treaty amendments.

Without being in/from Europe or otherwise being experts on EU markets (a position that most stateside analysts/traders/etc find themselves in) the easiest solution in synthesizing the glut of headlines into actionable trading decisions seems to be to follow German Bunds. Those are on a tear lower in yield at the moment and thus, so are US Treasuries, now down 3 bps on the morning to 2.0558 after being as high as the mid 2.12's last night.

MBS are in positive territory as well with Fannie 3.5's up 4 ticks this morning at 102-08. There's no significant economic data scheduled to be released today although MBA applications reported earlier (significantly improved, but from pretty bad levels. Purchase index highest since April though!). We continue heading down this week's expected road--the one that leads to Friday's EU Summit and which is riddled with all manner of EU headlines to consider along the way.
Featured Market Discussion
A recap of the featured comments from the Live Discussion on the MBS Live Dashboard.
Raul Lopez  :  "provident funding .125 better this AM"
Matthew Graham  :  "RTRS - NO SIGNAL EXPECTED FROM ECB UNTIL EURO ZONE COMMITMENTS ON TIGHTER FISCAL DISCIPLINE ARE SET IN STONE -- EU SOURCES "
Matthew Graham  :  "RTRS - EUROPEAN CENTRAL BANK HAS BEEN CLOSELY INVOLVED IN PROCESS OF DRAFTING PROPOSALS ON TIGHTER EURO ZONE INTEGRATION -- EU SOURCES "
Matthew Graham  :  "RTRS- FRANCE AND GERMANY AGREED IN THEIR OPPOSITION TO INTRODUCTION OF EURO AREA BONDS -- EU SOURCES "
Matthew Graham  :  "RTRS - AHEAD OF EU SUMMIT, FRANCE AND GERMANY REMAIN AT ODDS OVER 500 BLN EURO CEILING FOR ESM PERMANENT BAILOUT FUND -- EU SOURCES "
Victor Burek  :  "flagstar .25 better..best pricing in over a month"
Kent Mikkola #353976  :  "2.25% VB"
Christopher Stevens  :  "Love that advanced charts tab...be using that in the next sales meeting "
Victor Burek  :  "can anyone remember what the upfront MI for FHA was in 4/09?"
Matthew Graham  :  "you can dial up most any view you want"
Matthew Graham  :  ""advanced charts" tab. "
Christopher Stevens  :  "MG - it seems we have built on gains over the last three days in 3.5 MBS . Is there a way to see a three day chart"
Christopher Stevens  :  "MG so yesterday 102-06 was ceiling and today we hope its floor"
Victor Burek  :  "now down"
Victor Burek  :  "30 minutes ago the DAX was up 1/2..not down 1%"
Matthew Graham  :  "there's a ton of EU news to digest this AM. bunds are plummeting, TSY's are following"
Victor Burek  :  "futures in the red...europe markets made a huge turn"