Breakeven inflation rates down in 11 straight days

One increasingly likely change in the FOMC statement is the comment in the first paragraph on inflation expectations.

"Market-based measures of inflation compensation remain low," the Fed statement said in June.

This is a comment on 5-year breakevens, which are nominal yields, minus TIPS. The

"Market-based measures of inflation compensation have declined substantially in recent months," the Fed said in January, when breakevens fell as low as 1.04%. That was changed to "remain low" in March, with 6-year breakevens at 1.50% and hasn't changed since.

With 5-year breakevens down for 11 straight days, the Fed may alter the statement to acknowledge that markets are losing faith in the Fed to bring inflation back to 2%. In the past, Fed members have blamed liquidity and other skews but privately, they're worried.

US 5-year breakevens