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.

20210913 open1.png

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.

20210913 open2.png


MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
UMBS 2.0
101-07 : +0-03
Treasuries
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