Bond markets were clearly interested in today's Consumer Price Index (CPI) data.  It generated a larger single minute of volume than the minute following last Friday's NFP report (the one that caused bonds to tank due to the wage growth component).  Given the much weaker reading, it was no surprise to see bonds rally fairly well for the next hour.  The surprises showed up from there on out, however.

Rising European bond yields and advancing equities caused a quick correction for Treasuries and MBS--both of which briefly returned to negative territory.  We managed to shake off the weakness as the European session wound down, but without making it back to the better levels of the day.  No matter!  Perhaps investors were waiting to digest the 30yr bond auction.

But the auction was no help.  Even though the demand metrics for the 30yr bond auction were on the strong side, there was no visible market reaction.  Starting at 3pm, Treasuries began selling off again on a combination of Fed-speak and corporate bond issuance (particularly one multi-billion dollar deal from AbbVie--a name that's hurt bonds before with a big corporate deal).  By the end of the session, Treasuries were back into negative territory (just barely) and Fannie 4.0 MBS were holding on to microscopic gains.


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 4.0
101-09 : +0-01
Treasuries
10 YR
2.9737 : +0.0107
Pricing as of 9/13/18 4:52PMEST

Today's Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
10:11AM  :  ALERT ISSUED: European Bonds Dragging US Rates Back Into The Red
8:35AM  :  Surprise Downtick in CPI Helping Bonds

MBS Live Chat Highlights
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Matthew Graham  :  "B+"
Matthew Graham  :  "RTRS - U.S. 29-YEAR 11-MONTH BOND BID-TO-COVER RATIO 2.34, NON-COMP BIDS $3.22 MLN"
Matthew Graham  :  "RTRS - U.S. SELLS $15 BLN 29-YEAR 11-MONTH BONDS AT HIGH YIELD 3.088 PCT, AWARDS 79.43 PCT OF BIDS AT HIGH"
Matthew Graham  :  "30yr auction WI (expectation) at 3.091."

Economic Calendar
Time Event Period Actual Forecast Prior
Thursday, Sep 13
8:30 CPI mm, sa (%)* Aug +0.2 0.3 0.2
8:30 Core CPI Year/Year (%)* Aug +2.2 2.4 2.4
8:30 Jobless Claims (k) w/e 204 210 203
8:30 Continued jobless claims (ml) w/e 1.696 1.710 1.707
13:00 30-Yr Bond Auction (bl)* 15
Friday, Sep 14
8:30 Export prices mm (%)* Aug 0.0 -0.5
8:30 Retail Sales (%)* Aug 0.4 0.5
8:30 Import prices mm (%)* Aug -0.2 0.0
9:15 Capacity Utilization (%) Aug 78.2 78.1
9:15 Industrial Production (%) Aug 0.3 0.1
10:00 Consumer Sentiment Sep 96.6 96.2
10:00 1yr Inflation Outlook (%)* Sep 3.0
10:00 5yr Inflation Outlook (%)* Sep 2.6