This page provides daily-updated data & forecasts of the 10-year Treasury-Inflation Protected Securities (TIPS) yield.
TIPS are largely identical to standard U.S. Treasury bonds. The difference is that bond coupon and principal payments to investors are adjusted to increase or decrease proportionately with inflation, as measured by changes in the consumer price index (CPI). Higher inflation results in higher bond payments; lower inflation or deflation results in lower bond payments. As a result, TIPS have become a popular way for investors to hedge against inflation risk.
The TIPS yield approximately reflects the value of the standard Treasury bond yield (of equivalent duration) minus investor's expectations of annualized future inflation (over the same duration). For example, a rise in the 5-year TIPS yield can be due to either a rise in the 5-year standard Treasury note yield, or a decline in investors' expected inflation for the subsequent 5 years.
The TIPS yield is often interpreted as the "real" Treasury yield, i.e. the standard (nominal) Treasury yield minus investors' annualized inflation expectations for the subsequent forward period.
Since the Treasury yield is generally considered risk-free, the TIPS yield can also be interpreted as the minimum risk-free real rate of return. For example, if the 5-year TIPS yield is 1%, all alternative investments with a 5-year return horizon should return at least 1% or more on an inflation-adjusted basis to perform as well as the "riskless" return.
TIPS bonds only trade at durations of 5, 10, and 30 years. Other durations of the real yield curve can be derived by applying curve-smoothing techniques.
The market consensus forecast is a forecast calibrated to represent the median expectation of market participants. It is calculated as the simple difference between two component forecasts:
- A nominal 10-year yield forecast (calculated from futures prices, Treasury yields, and survey data)
- An expected inflation forecast (calculated from TIPS-Treasury spreads, CPI data, and zero-coupon inflation swaps)
The model is updated daily between 9:30-10:00 ET (13:30/14:30 UTC).