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10Y Inflation Breakeven Highest Since 2005

US TSYS
  • Various US inflation expectation metrics have jumped higher following the earlier spike in Eurozone 5Y5Y inflation swaps.
  • 5Y inflation breakevens stand at 3.38%, 1bp off the 3.39% fleetingly touched on initial Russian invasion but otherwise highest in 20yrs of data, whilst the 10Y breakeven has exceeded 2.78% for the highest since 2005.
  • With US 5Y5Y inflation swaps also drifting higher to 2.62%, market-based inflation expectations indicate an increasingly large overshoot above an increasingly high longer-term rate of inflation.

Source: Bloomberg

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