Surprisingly, the story of the day turned out to be Core CPI coming in at +0.2558 vs a forecast of +0.2.  This was apparently enough to  send bond markets reeling (relatively).  The fact that the shorter maturities got hit the hardest, suggests that it was a pure rate-hike-timing trade.  Reason being: the Fed Funds rate is literally an overnight rate target, and overnight rates are as short as they come.  So a change in the overnight rate outlook radiates out from there in terms of duration.  As such, it's no surprise to see 2-5yr Treasuries end the day up more than 4bps while 30yr Treasuries actually improved.

10yr yields were somewhere in between, losing only 1.9bps.  The average mortgage has a bit of a shorter duration than 10yrs, and consequently underperformed, but only slightly.  After the CPI reaction (an initial pop right at 8:30 and follow through selling until 8:45), the day was over for Treasuries.  Yields never went higher than they were at 8:45am and never went lower than the 8:30am level set by the initial pop.

That means that Janet passed without a trace.  If CPI was a surprise, this wasn't.  Not only was it not a surprise to see a limited reaction in markets, but Yellen didn't even give us any reason to believe that there will be a reaction on Tuesday when market participants return from the long weekend.  Because of the CPI reaction though, bonds got into a more defensive position ahead of Yellen.  Once her speech was revealed to be a dud, we moved back toward the stronger side of the afternoon trading range.