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- Carry-over strength in 30Y long-Bonds continued Wednesday, yield curves extending flattener move back to Sep'21 levels not seen since July 2020. Busy session w/ CPI early, Sep FOMC minutes late.
- Higher than expected CPI (+0.4 vs. 0.3% est; unrounded % M/M: headline 0.412%, core: 0.243%) underscored rate hike ests more/sooner than later: two 25bps hikes by late 2022 as long as economy continues to improve -- then perhaps faster.
- Sep FOMC Minutes, Taper Annc in Nov, Finish Mid-2022: Tsy futures holding narrow range after Sep FOMC minutes release, Bonds near highs, yield curves near lows. Not much of a reaction to what's been assumed since the policy meeting: Taper annc at Nov meet, ending around mid-2022 as long as economy continues apace. Link to Fed for full minutes: SEP FOMC
- Massive Red Dec'22 Eurodollar futures volume running over 845,000 ahead of the Sep FOMC minutes release. Front end remained under pressure but off lows as market continued to price in appr two rate hikes by end of 2022 following pick-up in CPI. Additional flow, some option accts faded flattening via conditional steepeners, outright steepener unwinds, short set/hedging today's 30Y auction having little effect. Strong 30Y Bond sale/re-open tailed: 2.049% yld vs. 2.062% WI.
- The 2-Yr yield is up 2.8bps at 0.366%, 5-Yr is up 1.8bps at 1.0891%, 10-Yr is down 2.4bps at 1.5525%, and 30-Yr is down 5bps at 2.0456%.