US RATES DAILY SUMMARY

• 3-Month USD LIBOR -1.3bp today, now at 0.5100%; 3-Month OIS -3.8bp at 0.3975%
• The treasury yield curve flattened, with the 1s10s spread tightening -4.1 bp, now at 69.5 bp (YTD change: -43.3bp)
• 1Y: 1.1270% (down 10.8 bp)
• 2Y: 1.4363% (down 13.3 bp)
• 5Y: 1.7129% (down 15.7 bp)
• 7Y: 1.8034% (down 15.6 bp)
• 10Y: 1.8216% (down 14.9 bp)
• 30Y: 2.1590% (down 12.6 bp)
• US treasury curve spreads: 3m2Y at 107.8bp (down -14.4bp today), 2s5s at 28.5bp (down -1.6bp), 5s10s at 10.6bp (up 0.5bp), 10s30s at 33.3bp (up 2.0bp)
• Treasuries butterfly spreads: 1s5s10s at -67.6bp (down -4.5bp), 5s10s30s at 22.6bp (up 1.4bp)
• TIPS 1Y breakeven inflation at 5.16% (up 22.8bp); 2Y at 4.05% (up 13.0bp); 5Y at 3.05% (up 5.7bp); 10Y at 2.64% (up 7.3bp); 30Y at 2.31% (up 10.4bp)
• US 5-Year TIPS Real Yield: +1.3 bp at -1.4000%; 10-Year TIPS Real Yield: +1.4 bp at -0.7850%; 30-Year TIPS Real Yield: +1.1 bp at -0.1260%

US MACRO RELEASES

• Chicago PMI, Total Business Barometer for Feb 2022 (MNI Indicators) at 56.30 (vs 65.20 prior), below consensus estimate of 63.00
• Dallas Fed, General Business Activity for Feb 2022 (Fed Reserve, Dallas) at 14.00 (vs 2.00 prior)
• Retail Inventories Advance, Change P/P for Jan 2022 (U.S. Census Bureau) at 1.70 % (vs 3.30 % prior)
• US Adv Goods Trade Balance, Current Prices for Jan 2022 (U.S. Census Bureau) at -107.63 Bn USD (vs -100.47 Bn USD prior)
• Wholesale Inventories Advance, Change P/P for Jan 2022 (U.S. Census Bureau) at 0.80 % (vs 2.20 % prior)

US FORWARD RATES

• Fed Funds futures now price in 27.5bp of Fed hikes by the end of March 2022, 56.5bp (2.26 x 25bp hikes) by the end of May 2022, and price in 5.50 hikes by the end of December 2022
• 3-month Eurodollar futures (EDZ) spreads price in 43.5 bp of hikes in 2023 (equivalent to 1.7 x 25 bp hikes), up 1.5 bp today, and -14.0 bp of hikes in 2024 (equivalent to -0.6 x 25 bp hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 5.16% (up 22.8bp); 2Y at 4.05% (up 13.0bp); 5Y at 3.05% (up 5.7bp); 10Y at 2.64% (up 7.3bp); 30Y at 2.31% (up 10.4bp)
• 6-month spot US CPI swap up 16.4 bp to 4.947%, with a flattening of the forward curve
• US Real Rates: 5Y at -1.4000%, +1.3 bp today; 10Y at -0.7850%, +1.4 bp today; 30Y at -0.1260%, +1.1 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 8.1% at 106.7%
• 3-Month LIBOR-OIS spread up 2.5 bp at 11.3 bp (12-months range: -5.5-13.4 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.209% (down -13.0 bp); the German 1Y-10Y curve is 6.5 bp flatter at 74.9bp (YTD change: +36.3 bp)
• Japan 5Y: 0.001% (down -2.1 bp); the Japanese 1Y-10Y curve is 2.1 bp flatter at 24.1bp (YTD change: +8.8 bp)
• China 5Y: 2.504% (down -2.4 bp); the Chinese 1Y-10Y curve is 5.0 bp flatter at 72.0bp (YTD change: +21.0 bp)
• Switzerland 5Y: -0.053% (down -9.9 bp); the Swiss 1Y-10Y curve is 0.4 bp steeper at 95.3bp (YTD change: +38.8 bp)

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +8.9 bp at 196.9 bp (YTD change: +24.8 bp)
• US-JAPAN: -8.9 bp at 175.4 bp (YTD change: +40.7 bp)
• US-CHINA: -9.5 bp at -73.0 bp (YTD change: +56.2 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -6.3 bp at 105.9 bp (YTD change: +22.7bp)
• US-JAPAN: -15.6 bp at -25.7 bp (YTD change: +45.1bp)
• JAPAN-GERMANY: +9.3 bp at 131.6 bp (YTD change: -22.4bp)

FX DAILY SUMMARY

• The US Dollar Index is up 0.16% at 96.72 (YTD: +1.11%)
• Euro down 0.51% at 1.1209 (YTD: -1.4%)
• Yen up 0.42% at 115.08 (YTD: 0.0%)
• Onshore Yuan up 0.13% at 6.3084 (YTD: +0.8%)
• Swiss franc up 0.80% at 0.9176 (YTD: -0.6%)
• Sterling up 0.10% at 1.3419 (YTD: -0.8%)
• Canadian dollar up 0.29% at 1.2672 (YTD: -0.3%)
• Australian dollar up 0.35% at 0.7257 (YTD: 0.0%)
• NZ dollar up 0.37% at 0.6759 (YTD: -1.0%)

GLOBAL MACRO RELEASES

• Australia, Inventories, Change P/P for Q4 2021 (AU Bureau of Stat) at 1.10 % (vs -1.90 % prior), above consensus estimate of 0.00 %
• Australia, Lending and credit, housing credit (including securitizations), Change P/P for Jan 2022 (RBA, Australia) at 0.70 % (vs 0.70 % prior)
• Australia, Lending and credit, narrow credit, Change P/P for Jan 2022 (RBA, Australia) at 0.60 % (vs 0.80 % prior)
• Australia, Retail Sales, Total, Final, Change P/P for Jan 2022 (AU Bureau of Stat) at 1.80 % (vs -4.40 % prior), above consensus estimate of 0.40 %
• Canada, Current Account, Balance for Q4 2021 (Statistics Canada) at -0.80 Bln CAD (vs 1.37 Bln CAD prior), below consensus estimate of 2.30 Bln CAD
• Canada, Industrial Product Prices, (NAPCS), Industrial product price index, Change P/P, Price Index for Jan 2022 (CANSIM, Canada) at 3.00 % (vs 0.70 % prior)
• Chile, Production, Manufacturing, Change Y/Y for Jan 2022 (INE, Chile) at 2.60 % (vs 2.30 % prior), below consensus estimate of 4.50 %
• Chile, Unemployment, Rate for Jan 2022 (INE, Chile) at 7.30 % (vs 7.20 % prior), above consensus estimate of 7.20 %
• Denmark, GDP, Total, chain linked-prelim, Change P/P for Q4 2021 (statbank.dk) at 1.10 % (vs 1.10 % prior)
• Denmark, GDP, Total, chain linked-prelim, Change Y/Y for Q4 2021 (statbank.dk) at 4.40 % (vs 3.60 % prior)
• India, GDP, At basic price, Change Y/Y for Q3 2021 (CSO, India) at 5.40 % (vs 8.40 % prior), below consensus estimate of 6.00 %
• Japan, Housing Starts, Change Y/Y for Jan 2022 (MLIT, Japan) at 2.10 % (vs 4.20 % prior), above consensus estimate of 1.70 %
• Kenya, CPI, Change Y/Y for Feb 2022 (Statistics, Kenya) at 5.08 % (vs 5.39 % prior)
• Latvia, GDP, Chain linked 2015, Final, Change Y/Y for Q4 2021 (Statistics, Latvia) at 3.50 % (vs 3.10 % prior)
• Norway, Credit indicator (C2), Change Y/Y for Jan 2022 (Norges Bank) at 5.00 % (vs 5.00 % prior)
• Norway, Retail Sales, Change P/P for Jan 2022 (Statistics Norway) at 0.40 % (vs -3.10 % prior), below consensus estimate of 1.50 %
• Portugal, GDP, Change P/P for Q4 2021 (INE, Portugal) at 1.60 % (vs 1.60 % prior)
• Portugal, GDP, Change Y/Y for Q4 2021 (INE, Portugal) at 5.80 % (vs 5.80 % prior)
• South Africa, Credit extended to the domestic private sector, total, Change Y/Y for Jan 2022 (SA Reserve Bank) at 3.12 % (vs 2.58 % prior), above consensus estimate of 2.80 %
• South Africa, Money supply M3, Change Y/Y for Jan 2022 (SA Reserve Bank) at 5.65 % (vs 5.71 % prior)
• South Africa, Trade Balance Total (Including BELN), Current Prices for Jan 2022 (SARS, South Africa) at 3.55 Bln ZAR (vs 30.14 Bln ZAR prior)
• Spain, HICP, Total, Flash, Change Y/Y, Price Index for Feb 2022 (INE, Spain) at 7.50 % (vs 6.20 % prior), above consensus estimate of 6.80 %
• Sweden, Retail Sales, Total excluding petrol stations, Change P/P for Jan 2022 (SCB, Sweden) at 4.50 % (vs -4.40 % prior)
• Sweden, Retail Sales, Total excluding petrol stations, Change Y/Y for Jan 2022 (SCB, Sweden) at 5.10 % (vs 3.30 % prior)
• Switzerland, GDP, Change P/P for Q4 2021 (SECO, Switzerland) at 0.30 % (vs 1.70 % prior), below consensus estimate of 0.40 %
• Switzerland, GDP, Change Y/Y for Q4 2021 (SECO, Switzerland) at 3.70 % (vs 4.10 % prior), in line with consensus
• Switzerland, KOF composite leading indicator for Feb 2022 (KOF, Switzerland) at 105.00 (vs 107.80 prior), below consensus estimate of 108.50
• Switzerland, Reserves, Official reserve assets, Current Prices for Jan 2022 (Swiss National Bank) at 1016732.98 Mln CHF (vs 1014134.16 Mln CHF prior)
• Switzerland, Retail Sales, Total, excluding motor vehicles and fuels, Change Y/Y for Jan 2022 (FSO, Switzerland) at 5.10 % (vs -0.40 % prior)
• Thailand, Current Account, Balance, Current Prices for Jan 2022 (Bank of Thailand) at -2.20 Bln USD (vs -1.40 Bln USD prior)
• Thailand, Current Account, Balance, Trade, Current Prices for Jan 2022 (Bank of Thailand) at 0.60 Bln USD (vs 2.80 Bln USD prior)
• Thailand, Exports, Total, FOB, Change Y/Y for Jan 2022 (Bank of Thailand) at 7.90 % (vs 23.00 % prior)
• Thailand, Imports, Total, Balance Of Payment basis, Change Y/Y for Jan 2022 (Bank of Thailand) at 18.40 % (vs 28.20 % prior)
• Thailand, Production, Value Added, Manufacturing, total, Change Y/Y for Jan 2022 (OIE, Thailand) at 1.99 % (vs 6.83 % prior), below consensus estimate of 4.60 %
• Turkey, Gross Domestic Product (%YOY), Change Y/Y for Q4 2021 (TURKSTAT) at 9.10 % (vs 7.40 % prior), above consensus estimate of 9.00 %
• Turkey, Trade Balance, Current Prices for Jan 2022 (TURKSTAT) at -10.26 Bln USD (vs -6.79 Bln USD prior)

MOVES IN SOVEREIGN 5Y US$ CDS SPREADS TODAY

• Egypt (rated B+): down 46.6 basis points to 527 bp (1Y range: 283-574bp)
• Chile (rated A-): down 4.0 basis points to 81 bp (1Y range: 48-95bp)
• Mexico (rated BBB-): down 3.1 basis points to 113 bp (1Y range: 81-124bp)
• Malaysia (rated BBB+): up 3.4 basis points to 74 bp (1Y range: 38-72bp)
• Philippines (rated BBB): up 4.0 basis points to 93 bp (1Y range: 38-90bp)
• Vietnam (rated BB): up 4.1 basis points to 129 bp (1Y range: 89-125bp)
• Indonesia (rated BBB): up 6.2 basis points to 113 bp (1Y range: 66-107bp)
• China (rated A+): up 8.2 basis points to 65 bp (1Y range: 29-61bp)
• Argentina (rated CCC): up 179.1 basis points to 3,299 bp (1Y range: 1,362-3,883bp)
• Russia (rated BBB): up 552.2 basis points to 1,405 bp (1Y range: 75-852bp), with an implied default probability now at close to 60%

LARGEST FX MOVES TODAY

• Solomon Is Dollar up 2.2% (YTD: +0.1%)
• South Africa Rand down 1.5% (YTD: +4.0%)
• Samoa Tala down 1.7% (YTD: -0.3%)
• Polish Zloty down 1.9% (YTD: -3.7%)
• Hungarian Forint down 2.0% (YTD: -1.5%)
• Georgian Lari down 2.2% (YTD: -2.3%)
• Czech Koruna down 2.3% (YTD: -2.4%)
• CFA Franc BEAC down 3.9% (YTD: -0.8%)
• Kazakhstan Tenge down 6.1% (YTD: -11.6%)
• Russian Rouble down 24.4% (YTD: -30.5%), which is the largest one-day collapse in the currency since the 1998 Russian financial crisis

COMMODITIES TOP GAINERS TODAY

• Baltic Exchange Dirty Tank Index up 17.1% (YTD: 70.4%)
• ICE Europe Newcastle Coal Monthly up 15.0% (YTD: 61.4%)
• TRPC Natural Gas TTF Day 1 up 12.4% (YTD: 28.8%)
• Bursa Malaysia Crude Palm Oil up 10.9% (YTD: 44.7%)
• CBoT Wheat up 10.1% (YTD: 19.0%)
• DCE Coking Coal Continuation Month 1 up 7.4% (YTD: 27.7%)
• CBoT Soybean Oil up 6.0% (YTD: 30.5%)
• CBoT Corn up 5.8% (YTD: 17.0%)
• NYMEX NY Harbor ULSD up 5.8% (YTD: 25.8%)
• TRPC Natural Gas TTF Monthly up 5.4% (YTD: 12.6%)
• ICE Europe Low Sulphur Gasoil up 5.3% (YTD: 30.0%)
• Palladium spot up 5.3% (YTD: 26.8%)
• Baltic Exchange Clean Tank index up 5.0% (YTD: -7.8%)
• Crude Oil WTI Cushing US FOB up 4.9% (YTD: 25.1%)
• NYMEX Light Sweet Crude Oil (WTI) up 4.5% (YTD: 24.3%)

COMMODITIES TOP LOSERS TODAY

• EEX European Union Aviation Allowance Continuation Month 1 down -6.8% (YTD: 2.6%)
• EEX European-Carbon- Secondary Trading down -6.7% (YTD: 2.8%)
• Intercontinental Exchange European Union Allowance (EUA) Yearly down -6.7% (YTD: 2.6%)
• Zhengzhou Exchange Thermal Coal down -5.5% (YTD: 13.5%)
• Baltic Exchange Capesize Index down -4.4% (YTD: -31.2%)
• ICE-US Cocoa down -3.3% (YTD: -2.7%)
• DCE RBD Palm Oil down -2.8% (YTD: 34.8%)
• SMM Rare Earth Neodymium Metal Spot Price Daily down -2.7% (YTD: 32.0%)
• ICE-US Coffee C down -2.4% (YTD: 2.4%)
• Baltic Exchange Panamax Index down -2.2% (YTD: 3.3%)
• SHFE Bitumen Continuation Month 1 down -2.2% (YTD: 7.7%)
• BALTIC EXCH DRY down -1.7% (YTD: -8.1%)
• SHFE Rubber down -1.6% (YTD: -6.0%)
• NYMEX Henry Hub Natural Gas down -1.5% (YTD: 23.6%)
• Shanghai International Exchange TSR 20 down -1.5% (YTD: 0.4%)