The ugliest chart you'll ever see

Friday, June 08, 2007

No time for chit-chat (or writing), but this is all you need to know about markets. The pain and ugliness is real. 5y5y inflation breakevens don't widen 40 bps in a week during normal conditions; per Monday's post, this a definitively bearish development for risky assets. Be warned.

update: It was ugly for a reason. The 10y TIPS screens were frozen. Reality is much less hideous, though still not pleasant.

Posted by Macro Man at 11:32 AM  


bonds for sale. all bonds for sale.

Anonymous said...
5:03 PM  

Wow, that is some development. Arguably, they were too low before, and nominal yields had been's like the mkt suddenly woke up, or had been slapped on the face with a great big kipper!

Caravaggio said...
6:55 PM  

what is your .5y5yinfl index formula?

Oliver said...
12:04 AM  

Oliver, it's a Bloomberg CIX that bootstraps the forward rate from the 10y and 5y breakevens. The problem on Friday was that the price of the 10year TIPS bond (the very one that I am long) wasn't updating, so it looked like all of the 15 bp intraday rise in 10 y yields was inflation- hence the apparent blowout in the 5y5y forward.

Macro Man said...
1:49 PM  

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