Another Big November Rally After CPI
There’s something about CPI releases in November. Last year’s example prompted one of the biggest single-day, data-driven bond market rallies on record. This year’s isn’t far off–a fact made all the more stunning by the mere 0.1% beat (Core monthly CPI 0.2 vs 0.3 f’cast). There are a few ways to try to explain the size of the reaction. On a nitty gritty note, the problematic housing component fell from 0.6 to 0.3. On a more general note, it’s possible the bond market was more interested in “no whammies” than a sweeping reversal of inflationary pressures.
Econ Data / Events
m/m Core CPI
0.2 vs 0.3 f’cast, 0.3 prev
m/m Headline CPI
0.0 vs 0.1 f’cast, 0.4 prev
Market Movement Recap
08:38 AM Slightly stronger overnight and much stronger after CPI data. 10yr down 12.6bps at 4.512. MBS up 14 ticks (.44).
10:02 AM 10s bottomed at 4.434 and are still down 18bps on the day at 4.457. MBS are up 26 ticks (.81).
12:40 PM Off the best levels, but not by much. MBS still up 27 ticks (.84). 10yr down 17.3bps at 4.465.
04:02 PM Briefly in line with best levels and now slightly lower in MBS, currently up just shy of a full point. 10yr down 19bps at 4.447.
