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Real Yields Drop Post-CPI

US TSYS

The counter-intuitive strengthening of Tsys post-CPI comes despite higher inflation breakevens on the upside surprise ... 5-Yr yields drop 1bps to session lows, even as implied breakeven inflation rises 2bps - bringing real yields down 3bps. Curve a little flatter. Update:

  • 3M10Y +0.765, 56.564 (L: 55.219 / H: 56.696)
  • 1Y10Y +0.005, 54.019 (L: 53.18 / H: 54.656)
  • 2Y10Y -0.003, 53.624 (L: 53.3 / H: 54.77)
  • 2Y30Y +0.059, 127.838 (L: 127.004 / H: 129.264)
  • 5Y30Y +0.315, 115.283 (L: 114.255 / H: 116.009)

Current futures levels:

  • Dec 2-Yr futures (TU) up 0.25/32 at 110-14.625 (L: 110-14.25 / H: 110-14.625)
  • Dec 5-Yr futures (FV) steady at at 126-0.5 (L: 125-30.5 / H: 126-00.25)
  • Dec 10-Yr futures (TY) up 1/32 at 139-15 (L: 139-10 / H: 139-15)
  • Dec 30-Yr futures (US) up 6/32 at 176-14 (L: 175-26 / H: 176-16)
  • Dec Ultra futures (WN) up 18/32 at 222-25 (L: 221-17 / H: 223-04)
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BulletMarketsFixed Income Bullets

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