2010 Mortgage Market Visualization

Jan. 7, 2011

We put together this animation of closing prices for the 30Y TBA Prices–the most liquid part of the largest debt market in the word. Y axis price, X axis is coupon. Prepay risk increases as you move right, duration risk increases as you move left. In general, prices on the left side of the chart are more volatile than those on the right, thus duration risk trumps pre-pay risk. Another take-away is that after the Fed announced Quantitative Easing 2 (QE2) in mid-fall, the market sells off strongly. It seems the market had front-ran the Fed.

View it here: 2010 TBA Market Visualization

New Feature: Instant Search

Dec. 21, 2010

Now you can quickly search for any ticker or cusip in our database right from the Home Page. The search box appears in the top right corner of the screen (detail above). Enter any cusip or ticker into search box (circled area above). Possible results populate below as you type (red arrow).

New Portfolio Function Added

Dec. 16, 2010

Now it’s even easier to keep track of the bonds you care about. Click on the navigation bar’s My Portfolio tab and copy in some cusips. The number of trades on record and last trade date appear with links to recent list activity. All columns are sortable by clicking on the header.

Empirasign Statistics Cited By Bloomberg News

Dec. 12, 2010

Goldman Said to Win $6 Billion Mortgage-Bond Trade

Brokers last month conducted open auctions for almost $14 billion of home-loan bonds lacking guarantees from government- supported Fannie Mae and Freddie Mae or federal agency Ginnie Mae, according to Empirasign Strategies LLC. Since the start of July, the amount of securities offered through the process has totaled $75 billion, with at least $11.5 billion failing to be sold, according to the New York-based data provider.

Full article here.

November Bwic Activity & Commentary

Dec. 2, 2010

CMBS and Non-Agency sectors saw significant gross volume drop offs in November vs October. Most other sectors were close to unchanged. A big exception was Autos, whose volumes quadrupled and DNT % actually decreased. We indexed 754 bid lists in November–about 10% more than the previous month. Liquidity seekers were better satisfied this month with DNT % generally decreasing. Liquidity in October was repeatedly strained by the large number of investors taking a few chips off the table; a phenomenon we did not observe this month. Charts are attached showing aggregate BWIC activity as well as sector break downs. Also, a new chart appears showing bid list activity by weekday and time of day. The weekday chart has few surprises with Friday being the lightest day. Wednesday is second lightest–perhaps there is some excess liquidity to be taken advantage of there. The heaviest flow day was Tuesday. With respect to BWIC time of day activity: Get to work by 10am, be back from lunch by 1pm, and leave for the day at 4pm. Old time banker’s hours still persist in some form.

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