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  • Writer's pictureEdward Ballsdon

Yield breakdowns highlight surprising and Update on Trades


In the US, headline and core inflation has been sticky for the last 4 months.

The data has been disinflationary in the UK and Germany.

A breakdown of the drivers of the 2024 yield increases in 10yr USTs, Bunds and Gilts highlights some puzzling facts:

  • 83% of the 70bp rise in USTs has been driven by an increase in Real Yields and only 17% from higher Inflation breakevens.

  • The proportions are far more even for Bunds (56/44) and Gilts (61/39).

This raises big questions regarding the tightening of the 10yr US/Bund inflation breakeven spread, which counters the data and the long-term widening trend.

Curve correlations seem to be disrupted again, which is a concern given the very delicate balance in USTs due to the large demands being placed on US domestic savers.

The report also highlights some other diverse observations, including an update on rental inflation and Australian inflation, curve correlation breakdowns as well as a highlight of two interesting BoE speeches on Private Equity

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