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The BLS released the September 2025 CPI print on October 24, nine days after its originally scheduled October 15 release date, following a partial recall of staff during the government shutdown that began October 1. However, the White House has confirmed that the October 2025 CPI print is unlikely to be published, which would be the first time in history such data is not released. This creates an unprecedented data gap in one of the key monthly inflation series.

There are two ways that the market could resolve this and price accordingly:

1. If the print is skipped: We lose one observation, which increases model risk for our nowcasts
2. If the print is imputed: We face elevated revision risk, and the market may discount the number

Staffing shortages at the BLS have led to increased reliance on imputation. By some estimates, over 30% of CPI data has recently been imputed rather than directly collected, compared to the typical 10% rate. The BLS has already cut back on data collection for specific CPI categories and certain regions due to staffing shortages and budget cuts.

Key technical factors if October CPI is published:

• Potential downward bias: The BLS may need to rely more heavily on online prices and telephone surveys rather than in-person visits. During the pandemic, when the BLS shifted 80% of its Commodities and Services survey to online pricing, inflation tended to be lower for items that shifted collection methods while prices for items collected through traditional methods remained unchanged.
• Increased imputation risk: If the October CPI is published, the BLS will likely rely more on imputations, which increases volatility. Notably, carry-forward imputation (which assumes no price changes for missing items) has not been used since January 2019. If the BLS were forced to use carry-forward imputation due to extended missing data, this could create downward bias.
• Potential reversal in November: If October CPI is underestimated due to technical factors, we expect the downward bias to be reversed in November CPI as the BLS’s operations normalize, pushing up month-over-month November CPI inflation.

TIPS Market Implications

For TIPS, the Treasury Department will use interpolation as a fallback mechanism if no October CPI data is released. This interpolation would be based on the last available twelve-month change in the CPI. According to Treasury inflation protection securities guidelines, if the BLS does not estimate October CPI for a particular month of the reported year, the Treasury would determine a relevant inflation number based on available data – likely interpolating between September and November inflation.

This approach suggests that TIPS markets might not become a forcing factor for the BLS to publish October CPI. Instead, the BLS might decide to interpolate October and November inflation based on two-month price changes when data collection resumes.

Consistent with the latest White House statements, Turnleaf’s default scenario will be a skipped October print, from which we test our model under both a flat October change and a +/-X% surprise scenario. We anticipate elevated uncertainty in inflation-linked securities markets, including increased volatility in inflation swaps. We should monitor widening spreads and heightened volatility during this period.

Scenarios and Implications for Turnleaf’s Forecasts

1. Best case: The BLS publishes a delayed but credible print after the government reopens. Markets may overshoot in response, leading to a potential downward repricing of the inflation premium.
2. Base case: No October print is released and the data gap remains. The BLS and Treasury use interpolation methods to bridge the gap. This creates elevated uncertainty and may result in increased volatility in inflation swaps and reduced market liquidity.
3. Worst case: The BLS publishes a low-quality, heavily-imputed print with potential downward bias that surprises materially. This scenario carries significant revision risk when November data normalizes, potential market distrust, and increased volatility. Any downward bias in October would likely reverse in November, creating additional market uncertainty.

The data disruption means the swap market cannot rely on its usual monthly anchor for pricing inflation-linked exposures. Given this elevated uncertainty, we recommend widening bid-ask spreads on inflation-linked products and requiring higher risk premia for new positions until data clarity returns.

In a world of unreliable official data, alternative data becomes invaluable. Turnleaf will continue to incorporate alternative data sources to maintain nowcast signal quality while official BLS data remains unavailable during the government shutdown. We will update our U.S. inflation forecasts daily as new data becomes available, providing more timely and relevant inputs for pricing inflation-linked exposures.