There is a smattering of data in the week ahead with Tuesday's CPI and Thursday's Retail Sales reports being the headliners.  Data is merely a "potential" market mover though.  Next week's Fed announcement is an "almost certain" source of volatility, for better or worse.  In addition, by this time next week, markets will have a better sense of whether covid numbers actually turned a corner last week or if it was merely a byproduct of the holiday weekend. That leaves this week as a sort of prologue to next week's main events, but data and corporate bond supply could still make things interesting.

Technical patterns support the idea of bonds hunkering down ahead of a big decision.  While moving averages can't do much to predict the future, yields find themselves in an uncommon pattern, trading a progressively narrower range around the 200-day moving average.  Even without the moving average, such consolidation patterns always imply more decisive movement after the breakout.

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On a housekeeping note, today is "roll" day for 30yr UMBS.  If you're not sure what that means, check our primer on the topic (HERE...). If you're not the link-clicking type, the short story is that there's a different MBS price for each month, with markets only trading 1-2 months into the future.  Prices tend to be one to three eighths lower from one month to the next.  In the current case, the now-retired September coupons were .15 higher than the current October coupons.  That means we can add that .15 back when calculating day-over-day change.  The net effect is that 30yr UMBS are actually slightly stronger this morning even though they look like they're lower on the chart.

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MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
UMBS 2.0
101-07 : +0-03
10 YR
1.3240 : -0.0170
Pricing as of 9/13/21 10:06AMEST

Tomorrow's Economic Calendar
Time Event Period Forecast Prior
Monday, Sep 13
0:00 Roll Date - UMBS 30YR
Tuesday, Sep 14
8:30 Consumer Price Index (CPI) (%)* Aug 0.4 0.5
8:30 Core CPI (Annual) (%)* Aug 4.2 4.3
Wednesday, Sep 15
7:00 MBA Purchase Index w/e 258.4
7:00 MBA Refi Index w/e 3292.1
8:30 Import prices mm (%) Aug 0.3 0.3
8:30 Export prices mm (%) Aug 0.4 1.3
8:30 NY Fed Manufacturing Sep 18.00 18.30
9:15 Industrial Production (%) Aug 0.4 0.9
10:30 Crude Oil Inventory (ml) w/e -4.612 -1.529
Thursday, Sep 16
8:30 Retail Sales (%)* Aug -0.8 -1.1
8:30 Philly Fed Business Index * Sep 19.0 19.4
8:30 Jobless Claims (k) w/e 328 310
10:00 Business Inventories (% ) Jul 0.5 0.8
Friday, Sep 17
10:00 5yr Inflation Outlook (%) Sep 2.9
10:00 1yr Inflation Outlook (%) Sep 4.6
10:00 Consumer Sentiment Sep 72.2 70.3