Back to it: markets are all over the place, what’s going on? Let’s start from the master of them all: the fixed income market. Over the last few weeks, bond yields have dropped and yield curves continued to flatten across the board. But the most interesting moves are visible once you decompose nominal yields into inflation break-evens and real yields, and focus on forward looking metrics and probability distributions. The 35 bps move down in 10y Treasuries over the last 10 trading sessions can be decomposed in: • A 20 bps move up in 10y inflation swaps; • A 55 bps move down in 10y real yields. The decomposition is ... (full story)