Mixed Reactions to CPI and Fed Minutes
Mixed Reactions to CPI and Fed Minutes
This morning's "as-expected" inflation data was very well received by the bond market. In other words, it resulted in a much bigger rally than the results would have suggested in and of themselves. It was short-lived in any event as bonds returned to unchanged by mid-day. The 10yr auction pushed yields higher while the Fed Minutes allowed for a recovery back into stronger territory. All of the above transpired in a fairly narrow range--especially relative to last week's market movers.
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- Core m/m CPI
- 0.4 vs 0.4 f'cast, 0.5 prev
- Core y/y CPI
- 5.6 vs 5.6 f'cast, 5.5 prev
- m/m CPI
- 0.1 vs 0.2 f'cast, 0.4 prev
- y/y CPI
- 5.0 vs 5.2 f'cast, 5.5 prev
- Core m/m CPI
Big rally after CPI comes in as-expected. 10yr down 6.4bps at 3.368. MBS up almost half a point in 5.0 coupons.
Bonds have erased about half of the AM rally. MBS are still up 6 ticks (.19) and 10yr yields are still down 2.3bps at 3.409
More weakness ahead of 10yr auction and Fed Minutes. MBS down 2 ticks on the day and 3/8ths from the highs. 10yr up just over 1bp at 3.443.
Even more weakness after the 10yr auction (which was lackluster, to say the least). 10yr now up 2.6bps at 3.458. MBS down 14 ticks (.44), but that's heavily distorted by illiquidity.
Back into positive territory after Fed Minutes, but not necessarily because of them. MBS up 6 ticks (.19) and 10yr down 1bp at 3.422.