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Another Paradoxical Reaction to an Inflation Report
Another Paradoxical Reaction to an Inflation Report
For the 2nd month in a row, the market's reaction to a CPI/PPI report ended up being less about the report itself and more about its implications for the more highly regarded PCE inflation data. While we have to wait 2 weeks for official word on PCE, the CPI/PPI combination goes a long way toward revealing the outcome. In today's case, CPI suggested higher PCE inflation, so bonds ended up selling off, albeit modestly, despite core CPI coming in lower than expected. Thursday's PPI once again has the opportunity to punch above its typical weight for the same reason.
Weaker overnight and mixed reaction to CPI (mostly ignored). MBS down 1 tick (0.03) and 10yr up 3.6bps at 4.316
MBS up 1 tick (.03) and 10yr up 2.8bps at 4.308
Fairly flat in the afternoon, despite some noise in both directions. MBS are unchanged and 10yr yields are up 3.6bps at 4.317
Another Paradoxical Reaction to an Inflation Report
| Time | Event | Period | Actual | Forecast | Prior |
|---|---|---|---|---|---|
| Wednesday, Mar 12 | |||||
| 12:00AM | Roll Date - UMBS 30YR | ||||
| 7:00AM | Mar/07 MBA 30-yr mortgage rate (%) | Mar/07 | 6.67% | 6.73% | |
| 7:00AM | Mar/07 MBA Mortgage Applications | Mar/07 | 11.2% | 20.4% | |
| 7:00AM | Mar/07 MBA Purchase Index | Mar/07 | 154.6 | 144.5 | |
| 7:00AM | Mar/07 Mortgage Market Index | Mar/07 | 269.3 | 242.2 | |
| 7:00AM | Mar/07 MBA Refi Index | Mar/07 | 911.3 | 784.2 | |
| 8:30AM | Feb y/y Headline CPI (%) | Feb | 2.8% | 2.9% | 3% |
| 8:30AM | Feb CPI index, nsa | Feb | 319.082 | 319.22 | 317.67 |
| 8:30AM | Feb m/m Headline CPI (%) | Feb | 0.2% | 0.3% | 0.5% |
| 8:30AM | Feb y/y CORE CPI (%) | Feb | 3.1% | 3.2% | 3.3% |
| 8:30AM | Feb m/m CORE CPI (%) | Feb | 0.2% | 0.3% | 0.4% |
| 8:30AM | Feb Core CPI index, sa | Feb | 319.775 | 319.086 | |
| 10:30AM | Mar/07 EIA Crude Oil Imports Change | Mar/07 | 0.503M | -0.054M | |
| 10:30AM | Mar/07 Crude Oil Inventory (ml) | Mar/07 | 1.448M | 2M | 3.614M |
| 10:30AM | Mar/07 EIA Gasoline Production Change | Mar/07 | -0.078M | 0.464M | |
| 10:30AM | Mar/07 EIA Gasoline Stocks Change | Mar/07 | -5.737M | -2M | -1.433M |
| 10:30AM | Mar/07 EIA Cushing Crude Oil Stocks Change | Mar/07 | -1.228M | 1.124M | |
| 10:30AM | Mar/07 EIA Distillate Stocks Change | Mar/07 | -1.559M | -1.3M | -1.318M |
| 10:30AM | Mar/07 EIA Distillate Fuel Production Change | Mar/07 | -0.113M | -0.587M | |
| 10:30AM | Mar/07 EIA Heating Oil Stocks Change | Mar/07 | -0.183M | -0.067M | |
| 10:30AM | Mar/07 EIA Refinery Crude Runs Change | Mar/07 | 0.321M | -0.346M | |
| 11:30AM | 17-Week Bill Auction (%) | 4.175% | 4.180% | ||
| 1:00PM | 10-yr Note Auction (bl) | 39 | |||
| 1:00PM | 10-Year Note Auction | 4.310% | 4.632% | ||
| 2:00PM | Feb Federal budget, $ (bl) | Feb | $-307B | $-303.2B | $-129B |
| Thursday, Mar 13 | |||||
| 8:30AM | Feb PPI YoY | Feb | 3.3% | 3.5% | |
| 8:30AM | Feb Producer Prices (%) | Feb | 0.3% | 0.4% | |
| 8:30AM | Feb PPI Ex Food, Energy and Trade MoM | Feb | 0.3% | ||
| 8:30AM | Feb PPI Ex Food, Energy and Trade YoY | Feb | 3.4% | ||
| 8:30AM | Feb Core Producer Prices YY (%) | Feb | 3.6% | 3.6% | |
| 8:30AM | Mar/08 Jobless claims 4-wk avg (k) | Mar/08 | 224.25K | ||
| 8:30AM | Feb Core Producer Prices MM (%) | Feb | 0.3% | 0.3% | |
| 8:30AM | Feb PPI | Feb | 147.716 | ||
| 8:30AM | Mar/01 Continued Claims (ml) | Mar/01 | 1900K | 1897K | |
| 8:30AM | Mar/08 Jobless Claims (k) | Mar/08 | 225K | 221K | |
| 10:30AM | Mar/07 Nat gas-EIA, change bcf | Mar/07 | -48Bcf | -80Bcf | |
| 11:30AM | 8-Week Bill Auction | 4.220% | |||
| 11:30AM | 4-Week Bill Auction | 4.230% | |||
| 12:00PM | Mar/13 15-Year Mortgage Rate | Mar/13 | 5.79% | ||
| 12:00PM | Mar/13 30-Year Mortgage Rate | Mar/13 | 6.63% | ||
| 1:00PM | 30-Yr Bond Auction (bl) | 22 | |||
| 1:00PM | 30-Year Bond Auction | 4.748% | |||
| 4:30PM | Mar/12 Central Bank Balance Sheet | Mar/12 | $6.76T | ||
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