Volatility eased in Treasurys today as a mild rally followed yesterday’s massacre. The two-year finished flat, and the ten-year was higher by 31/64. The benchmark curve flattened by 6 basis points, to end the day at +266 bps. A basis point represents .01%.The ten-year TIPS breakeven, (the yield difference between the nominal and inflation protected Treasurys used to gauge the market’s inflation expectations), reached 2% today for the first time since September. The 10-year inflation protected Treasury was up .97%, while the nominal Treasury was up only .51%. The graph below details the last 12 months of inflation expectations as measured by the TIPS breakeven.
Have a great evening.
Cliff J. Reynolds Jr., Junior Analyst
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