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New Data: U.S. - Breakeven inflation spreads
Wednesday, 28 Aug 2019 09:50 ET
By Richard Cross
Summary
December 2017 -- Moody's Analytics now calculates breakeven inflation spreads for tenors between five and 30 years (five new daily series from 2003).
Detail

A breakeven inflation spread is defined as the difference between the yields of a Treasury constant maturity (CMT) and a Treasury inflation-protected security (TIPS) with the same tenor (maturity). Our source is the FRB H.15 "Selected Interest Rates" statistical release.

Dataset properties:

  • Tenors: 5, 7, 10, 20, 30 years
  • Measurement: Percentage points (% pts.)
  • Adjustment: Not seasonally adjusted (NSA)
  • Native frequency: Business daily (Monday to Friday)
  • Start dates: 2 January 2003, 27 July 2004, or 22 February 2010

The series reside in the historical catalog (United States » Financial » Interest rates » Analytical indicators » Spreads » Breakeven inflation) and include, for example:

  • REI5YUD.IUSA  = Interest rates: 5 year breakeven inflation - Spread of treasury constant maturity yield to TIPS yield, (% pts., NSA)
  • REI30YUD.IUSA = 10 year

Please be aware that

The difference between two indicators each measured in percent per annum (% p.a.) is percentage points (% pts.).

See also

Other
Related ReleaseH.15 Selected Interest Rates [D, W, M]
SourceU.S. Board of Governors of the Federal Reserve System (FRB)
FrequencyBusiness Daily
GeographyUnited States
Catalog
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