Fixed Income Chart Of The Day: USD CPI: a cross-market perspective

Research evidence excerpt

Fixed Income Chart Of The Day: USD CPI: a cross-market perspective

Deutsche Bank

Research

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Fixed Income Chart Of The Day 11 June 2026

USD CPI: a cross-market perspective

Markus Heider

We have written about the disconnect between US CPI inflation forwards and Macro Strategist

factors such as energy prices, economic data and US nominal yields. Today’s +44-20-754-52167

CoTD offers another perspective on the recent behaviour of CPI inflation

forwards by analysing them from a broader cross-market angle. Gabriele Cozzi

Strategist

Specifically, we apply PCA across equities, commodities, FX, rates and inflation +44-20-754-17714

markets since 27 February1. The left-panel shows that the first principal

Francis Yared

component, which explains around 50% of cross-market variation, is readily Strategist

identifiable as the energy/Middle East shock: lower equities, higher energy prices, +44-20-754-54017

a stronger dollar, higher nominal yields and higher inflation market valuations.

Yet, unlike rates or front-end CPI, this factor has had very limited explanatory Matthew Raskin

power for CPI forwards (right-panel), suggesting that they have been trading +1-212-250-1741

somewhat independently of the broader macro narrative. One possible

explanation is that CPI forwards have mainly been driven by the repricing in the Ioannis Sokos

Fed policy path recently. However, this does not emerge from the cross-asset Strategist

+44-20-754-75680 PCA: no additional principal component appears consistent with a standard

hawkish monetary policy factor (higher front-end repricing, lower inflation Soniya Sadeesh

forwards and lower equities). Strategist

+44-20-754-73091

All in all, given the economic backdrop, broader market price action, and the