Frustrating Snowball Selling Despite Decent CPI

Even though CPI came in right in line with forecasts today (core m/m at 0.4 vs 0.4), and even though that was initially worth a small rally this morning, bonds found a way to get rolled up in a snowball selling spree by the end of the day.  What's up with that?!  The notion of "after additional  consideration, we've decided this is bad for rates instead of good" can only go so far, but even when we go hunting for other scapegoats, we only find things like the WSJ article alluding to the Fed's option to use tomorrow's dot plot to show the market it's serious about tomorrow being a true "pause" as opposed to a "pivot" confirmation.

Econ Data / Events
    • m/m CORE CPI
      • 0.4 vs 0.4 f'cast, 0.4 prev
    • m/m headline CPI
      • 0.1 vs 0.2 f'cast, 0.4 prev
    • y/y CORE CPI
      • 5.3 vs 5.3 f'cast, 5.5 prev
    • y/y headline CPI
      • 4.0 vs 4.1 f'cast, 4.9 prev
Market Movement Recap
08:42 AM

Modest rally after CPI.  10yr down 3.2bps at 3.711.  MBS up 6 ticks (.19).

09:41 AM

Off best levels with 10yr almost all the way back up to 'unchanged' (currently down only half a bp at 3.738).  MBS still up 6 ticks 

12:53 PM

Sideways at weaker levels ahead of 30yr auction.  10s up 4.5bps at 3.788.  MBS down 2 ticks (.06).

03:10 PM

Snowball selling into the 3pm close.  10yr up almost 10bps at 3.841.  MBS down 3/8ths in 5.5 coupons.

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