November 14, 2022 20:09 GMT
Inflation Breakevens Ease Whilst Real Yield-Equity Relationship Pauses
- Contrary to the recent increase in surveyed inflation expectations – both NY Fed today and U.Mich Friday – Treasury breakevens have dipped 3-3.5bps today on the back of a 8-9bp increase in real yields.
- This leaves the 10Y at 2.38%, back near levels shortly after the Nov 2 FOMC and otherwise last seen in mid-October as they continued to climb after the then CPI upside surprise.
- That increase in real yields, with the 10Y +8.5bps since Thursday’s close, goes against S&P E-mini up 0.75% over the same period, after the initial substantial adjustment in rate expectations (lower) and equities (higher) after the miss in US CPI.
US 10Y real yield (white) and ESA (yellow)Source: Bloomberg
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