All Eyes on CPI

After last Friday's jobs report, there wasn't anything on the event calendar that demanded obvious attention until next week's CPI.  The Treasury auction cycle was the thing that traders/analysts talked about because that's the only thing that was remotely worth talking about.  To be fair, there was obviously a pop after the 30yr auction, but it was a stunningly bad auction.  Moreover, it was traded back out by the next morning (today). Bonds drifted sideways to slightly weaker on Friday for no particular reason and we're not interested in trying to fabricate any reasons in light of the entire week's trading range remaining inside a single day's trading range from last Friday.

Econ Data / Events
    • Consumer Sentiment
      • 60.4 vs 63.7 f'cast, 63.8 prev
    • 1yr inflation expectations
      • 4.4 vs 4.2 prev
    • 5yr inflation expectations
      • 3.2 vs 3.0 prev
Market Movement Recap
10:52 AM

Slightly stronger overnight but giving up some gains early.  10yr still down 3.4bps at 4.598.  MBS up 2 ticks (0.06).

12:01 PM

Weaker into the PM hours.  MBS down 1 tick (0.03) on the day and a quarter point from highs.  10yr down 2 bps at 4.612

01:22 PM

New lows for MBS, but distorted by illiquidity.  6.0 coupons showing more than a quarter point of losses, but probably less than an eighth after factoring out the wide bid/ask.  10yr up to unchanged levels on the day at 4.63.

04:16 PM

MBS bounced back from illiquidity, heading out with 6.0s down only 2 ticks (.06).  10yr yields have been boring by comparison: down 3.5bps currently at 4.736.

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