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Another Rapid Increase In Real Yields

US TSYS
  • Today’s sell-off in Tsys has been entirely in real space, with little change in inflation breakevens.
  • 10Y nominal yields are currently up 11bps since payrolls at 1.92% with a 11.5bp rise in real yields to -0.49%, the highest real since Jun’20 having broken above Feb’21 highs.
  • This pushes ytd tightening in real yields up to a sizeable 58bps.
  • CPI for Jan on Thursday could be a further trigger point, although consensus is already high with core seen at +0.5% M/M.

US 10Y Nominal Yields (yellow), Inflation Breakeven (white) and Real Yields (green)Source: Bloomberg

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