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Higher Inflation Breakevens Maintained Post CPI

US TSYS
  • The initial surge in inflation breakevens on the back of US CPI was short-lived but they have since increased again, with the 10Y +5bps on the day at 2.70%.
  • With nominal yields -6.5bps, the increase in the breakeven has come about from an 11bp decline in real yields to +22bps.
  • Putting these moves into perspective though, the breakeven is still considerably lower than the >3% it touched two weeks ago as real yields have tightened having only turned positive on May 2.

10Y nominal yield (white), breakeven (yellow) and real yield (green)Source: Bloomberg

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