Where's the 4th Biggest Bank Failure?

With the 2nd biggest bank failure in history on Friday and the 3rd biggest over the weekend, it isn't entirely insane to keep an eye out for imitators. This was a concern as recently as the wee hours of the night when Fed Funds Futures moved to roughly 4% implied yields for the meetings coming up after next week's. As hours ticked by without another failure, that number moved up about half a percent.  This has been the dominant theme today with CPI not having much of an impact.  MBS fared far better than Treasuries, mostly because Treasuries fared so much better than MBS up until the reversal. 

Econ Data / Events
    • M/M Core CPI
      • 0.5 vs 0.4 f'cast/prev
    • Y/Y Core CPI
      • 5.5 vs 5.5 f'cast, 5.6 prev
Market Movement Recap
08:35 AM

Moderately weaker overnight. Some volatility after CPI data, but shaking it off.  10yr up 2.8bps at 3.575.  MBS unchanged on the day.

09:53 AM

Back to weakest levels as markets begin to unwind the recent 'risk-off' trade.  Stocks are up big and bond yields are following.  10yr up 12.3bps at 3.668.  MBS down 3/8ths on the day.

01:40 PM

Choppy and sideways through mid-day hours, but gaining a modest amount of ground in the afternoon--at least in longer-dated Treasuries.  10yr still up 7.6bps on the day at 3.623.  MBS down 6 ticks on the day (.19). 

02:58 PM

Sideways grind continues with MBS down an eighth and illiquid at times.  10yr yields are up 9.3bps at 3.64

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