An Introduction To TIPS And US CPI Derivatives: 2026 Strategy Update

Key Takeaways

• 1.The US TIPS market is the largest inflation-linked bond market globally, with $2.2tn outstanding as of June 2026.
• 2.Private investors have become the dominant holders of TIPS, as the Federal Reserve reduces its share of the market by shortening portfolio duration.
• 3.US CPI inflation swap market liquidity is growing rapidly, with volumes reaching $11.6bn/day in 1H26, though still secondary to cash linkers.

Table of Contents

• Introduction
• Overview of TIPS
• The inflation breakeven
• Drivers of TIPS and breakevens
• Seasonality in CPI and TIPS
• Value of the inflation floor in TIPS
• Who trades inflation?
• US CPI inflation swaps
• Zero coupon inflation swaps
• Trading CPI fixings
• Who trades inflation swaps?
• TIPS asset swaps
• Inflation options: caps & floors
• Relative value
• The inflation basis and IOTAs
• Par curve and implied breakevens
• Inflation swap curve
• Research and analytics

Report data

The TIPS market is the largest linker market in the world — as of June 30, 2026.