USTs – Real Yields Pop

The story on Tuesday was about real yields popping higher (10y 1.14, +4.6 bps) while nominal yields barely budged. Inflation expectations are quickly cratering across the curve, likely to a degree the Fed will notice. Options markets are reflecting...

USTs – Flattening Bias for Next Week

Shorter maturities are still rich to fair value estimates, 10yrs only slightly. A flattening bias remains in effect for next week’s outlook. Short end yields are expected to rise with probabilities at or above 75% for 2yrs and 3yrs....

USTs – Flattening Bias

Treasuries ended little changed ahead of the Thanksgiving holiday. Inflation expectations continue to weaken. Options traders are tearing down expectations for 2.5+% headline inflation across all outlooks from 2 through 30 years. For example, the probability of 2.5+% headline...

TIPS Breakevens – Dovish Fed Relief

 AQA Comments:  A better day for inflation protection but still a challenged week. Spreads were sharply higher in the morning on perhaps dovish comments from Richard Clarida, the architect of the new Fed communication strategy. Powell and Clarida spoke...

USTs – Bull-Flattening Outlook

U.S. Treasuries were able to finish modestly stronger on Thursday led by the belly (5y 2.94, -2.1 bps). Inflation expectations refuse to rebound (10y BE 201.5 bps), even after stronger retail sales growth. Our alternative data (Google searches) show...