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Overnight Weakness, Limited CPI Impact, MBS Outperformance
Overnight Weakness, Limited CPI Impact, MBS Outperformance
There was a very high bar for today's CPI to cause any serious market reaction due to all the new inflationary impulses that may be created by record volatility in energy markets that hasn't yet made it into the official data. In other words, CPI is a time capsule for a bygone era and the market is already trading the implications on future inflation reports to the best of its ability using oil prices as a proxy. Before the data, 10yr yields were a few bps higher overnight and haven't moved since the data. MBS are unchanged to a hair stronger after accounting for "the roll."
Weaker overnight and no reaction to CPI. MBS roughly unchanged. 10yr yield up 2.5bps at 4.185
Afternoon Weakness. Will CPI Matter
| Time | Event | Period | Actual | Forecast | Prior |
|---|---|---|---|---|---|
| Wednesday, Mar 11 | |||||
| 12:00AM | Roll Date - UMBS 30YR | ||||
| 7:00AM | Mar/06 MBA Purchase Index | Mar/06 | 171.3 | 158.9 | |
| 7:00AM | Mar/06 MBA Refi Index | Mar/06 | 1646.3 | 1637.5 | |
| 7:00AM | Mar/06 Mortgage Market Index | Mar/06 | 389.6 | 377.5 | |
| 8:30AM | Feb y/y Headline CPI (%) | Feb | 2.4% | 2.4% | 2.4% |
| 8:30AM | Fed Bowman Speech | ||||
| 8:30AM | Feb m/m Headline CPI (%) | Feb | 0.3% | 0.3% | 0.2% |
| 8:30AM | Feb y/y CORE CPI (%) | Feb | 2.5% | 2.5% | 2.5% |
| 8:30AM | Feb m/m CORE CPI (%) | Feb | 0.2% | 0.2% | 0.3% |
| 10:30AM | Mar/06 Crude Oil Inventory (ml) | Mar/06 | 3.824M | 1.1M | 3.475M |
| 1:00PM | 10-yr Note Auction (bl) | 39 | |||
| 2:00PM | Feb Federal budget (bl) | Feb | $-75.85B | $-95B | |
| Thursday, Mar 12 | |||||
| 8:30AM | Jan Housing starts number mm (ml) | Jan | 1.35M | 1.404M | |
| 8:30AM | Jan Trade Gap (bl) | Jan | $-66.6B | $-70.3B | |
| 8:30AM | Mar/07 Jobless Claims (k) | Mar/07 | 215K | 213K | |
| 8:30AM | Feb/28 Continued Claims (k) | Feb/28 | 1850K | 1868K | |
| 11:00AM | Fed Bowman Speech | ||||
| 1:00PM | 30-Yr Bond Auction (bl) | 22 | |||
| 1:00PM | 30-Year Bond Auction | 4.750% | |||
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