CPI Tuesday
February 13, 2023
–Bear steepener Friday with the 2y up just half a bp and 30s up 7.5 (4.511 and 3.827). 2/10 ended at -76.6, having posted a new cycle low (marked at futures settlement time) of -82.4 on Thursday.
–Near SOFR calendars made new highs, with significant pressure continuing on the front end. SFRU3 settled -3 at 9487 a new low. SFR March/June 3-month calendar settled at exactly ¼ percent (9507/9482) while Sept/Dec 2m calendar settled at a new high of negative 27 (9487/9514). SFRH3 and SFRZ3 are near the same prices at 9507 and 9514, so this pricing suggests a hike, then ease. The lowest 1-yr calendar on the strip is Sept’3/Sept’4 at -155.5 (9487/9642.5). The lowest settle on this, or any other 1-yr calendar for the cycle, has been -177.
–A lot riding on tomorrow’s CPI, expected 6.3 yoy from 6.5 last, with Core expected 5.5. Interesting link says Walmart is pushing suppliers to stop price hikes:
“Because the consumer is now under more pressure, and Walmart is under pressure, that sets up a dynamic where there’s probably not a lot of pricing going forward.”
