10yr-2yr spread continues to rise, 5 year inflation breakeven (unadjusted) shrinks, as does implied 2 month interest rate 1 month forward.
Figure 1: 10yr-3mo Treasury spread, % (blue), and 10yr-2yr spread (red). Source: Treasury via FRED.
Figure 2: Five year Treasury yield minus five year TIPS, % (blue). Source: Treasury via FRED, author’s calculations.
Figure 3: One month Treasury yield, % (blue), and one month forward 2 month implied Treasury yield, % (red). Source: Treasury via FRED, and author’s calculations.
No big movements, which is unsurprising given headline CPI inflation was at consensus (although Core was below).