Treasuries were essentially unchanged overnight and equity markets mixed. The German election went largely as expected with Angela Merkel staying on as chancellor. The economic calendar is light this morning with only a couple of releases from the Chicago and Dallas Federal Reserve banks.
One of the major questions raised by the Fed’s tapering has been what the impact to mortgage spreads would be. The immediate reaction has been subdued with OAS levels on MBS essentially unchanged. The reduction in the Fed’s MBS portfolio happens to coincide with the seasonal decline in issuance during the winter months, which means that in the near term net supply should not increase too dramatically providing support for the mortgage basis.

Hafizan Hamzah
Director, Investment Management Group

Date TimeEvent SurveyActualPriorRevised
09/25/2017 08:30Chicago Fed Nat Activity IndexAug-0.25-0.31-0.010.03
09/25/2017 10:30Dallas Fed Manf. ActivitySep11.517
09/26/2017 09:00S&P CoreLogic CS 20-City MoM SAJul0.20%0.11%
09/26/2017 09:00S&P CoreLogic CS 20-City YoY NSAJul5.70%5.65%
09/26/2017 09:00S&P CoreLogic CS 20-City NSA IndexJul200.54
09/26/2017 09:00S&P CoreLogic CS US HPI YoY NSAJul5.77%
09/26/2017 09:00S&P CoreLogic CS US HPI NSA IndexJul192.6
09/26/2017 10:00New Home SalesAug585k571k
09/26/2017 10:00New Home Sales MoMAug2.50%-9.40%
09/26/2017 10:00Conf. Board Consumer ConfidenceSep120122.9
09/26/2017 10:00Conf. Board Present SituationSep151.2
09/26/2017 10:00Conf. Board ExpectationsSep104
09/26/2017 10:00Richmond Fed Manufact. IndexSep1314
09/27/2017 07:00MBA Mortgage Applications22-Sep-9.70%
09/27/2017 08:30Durable Goods OrdersAug P0.90%-6.80%
09/27/2017 08:30Durables Ex TransportationAug P0.30%0.60%
09/27/2017 08:30Cap Goods Orders Nondef Ex AirAug P0.30%1.00%
09/27/2017 08:30Cap Goods Ship Nondef Ex AirAug P0.30%1.20%
09/27/2017 10:00Pending Home Sales MoMAug-0.50%-0.80%
09/27/2017 10:00Pending Home Sales NSA YoYAug-0.50%-0.50%
09/28/2017 08:30GDP Annualized QoQ2Q T3.00%3.00%
09/28/2017 08:30Personal Consumption2Q T3.30%3.30%
09/28/2017 08:30GDP Price Index2Q T1.00%1.00%
09/28/2017 08:30Core PCE QoQ2Q T0.90%0.90%
09/28/2017 08:30Initial Jobless Claims23-Sep270k259k
09/28/2017 08:30Continuing Claims16-Sep1993k1980k
09/28/2017 08:30Advance Goods Trade BalanceAug-$65.1b-$65.1b-$63.9b
09/28/2017 08:30Wholesale Inventories MoMAug P0.40%0.60%
09/28/2017 08:30Retail Inventories MoMAug-0.20%-0.10%
09/28/2017 09:45Bloomberg Consumer Comfort24-Sep50.6
09/28/2017 11:00Kansas City Fed Manf. ActivitySep1416
09/29/2017 08:30Personal IncomeAug0.20%0.40%
09/29/2017 08:30Personal SpendingAug0.10%0.30%
09/29/2017 08:30Real Personal SpendingAug-0.10%0.20%
09/29/2017 08:30PCE Deflator MoMAug0.30%0.10%
09/29/2017 08:30PCE Deflator YoYAug1.50%1.40%
09/29/2017 08:30PCE Core MoMAug0.20%0.10%
09/29/2017 08:30PCE Core YoYAug1.40%1.40%
09/29/2017 09:45Chicago Purchasing ManagerSep58.758.9
09/29/2017 10:00U. of Mich. SentimentSep F95.395.3
09/29/2017 10:00U. of Mich. Current ConditionsSep F113.9
09/29/2017 10:00U. of Mich. ExpectationsSep F83.4
09/29/2017 10:00U. of Mich. 1 Yr InflationSep F2.70%
09/29/2017 10:00U. of Mich. 5-10 Yr InflationSep F2.60%
10/02/2017 09:45Markit US Manufacturing PMISep F53
10/02/2017 10:00ISM ManufacturingSep57.558.8
10/02/2017 10:00ISM Prices PaidSep6462
10/02/2017 10:00ISM New OrdersSep60.3
10/02/2017 10:00ISM EmploymentSep59.9
10/02/2017 10:00Construction Spending MoMAug0.40%-0.60%