Big daily movement in 10 years, 5-year returns:
Figure 1: 10-year-3-month spread Treasury (blue), 10-year-2-year spread (red), 5-year Treasury-TIPS spread (green). Blue dotted line to the release of entries and exits in June. Source: Tesoro via FRED and author’s calculations.
The 10-year-3-month spread has increased, while medium-term inflation expectations have decreased. Five-year real rates have returned to the positive region. If risk and liquidity premia were constant, I would think that expectations on economic activity would increase; but it would be a bit far.