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5Y Breakeven Keeping To Pre-Ukraine War Levels

US
  • Yields are struggling for direction but the belly to long-end led sell-off on the day is being driven by a combination of higher breakevens and real yields.
  • Despite the small rise higher from Friday’s recent low (+1.5bps), the 5Y breakeven of 2.92% is back at levels averaged from prior to Russia’s invasion of Ukraine.
  • The same can’t yet be said of longer-term measures though, which have trended notably lower this month – especially the breakeven – but still sit above pre-war levels with the 5Y5Y breakeven at 2.21% and the 5Y5Y inflation swap at 2.56%.

US 10Y breakeven (pink), 5Y5Y breakeven (green) and 5Y5Y swap (yellow)Source: Bloomberg

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