US RATES SUMMARY

• 3-Month USD LIBOR +0.7bp today, now at 0.5110%; 3-Month OIS -3.6bp at 0.3620%
• The treasury yield curve flattened, with the 1s10s spread tightening -0.8 bp, now at 70.5 bp (YTD change: -42.3bp)
• 1Y: 1.0110% (down 9.8 bp)
• 2Y: 1.3327% (down 10.4 bp)
• 5Y: 1.5697% (down 14.3 bp)
• 7Y: 1.6683% (down 13.5 bp)
• 10Y: 1.7156% (down 10.6 bp)
• 30Y: 2.1087% (down 5.0 bp)
• US treasury curve spreads: 3m2Y at 100.1bp (down -11.4bp today), 2s5s at 24.0bp (down -4.1bp), 5s10s at 13.7bp (up 3.6bp), 10s30s at 38.8bp (up 5.7bp)
• Treasuries butterfly spreads: 1s5s10s at -55.0bp (up 8.1bp today), 5s10s30s at 23.7bp (up 1.1bp)
• TIPS 1Y breakeven inflation at 5.44% (up 27.9bp); 2Y at 4.32% (up 27.5bp); 5Y at 3.17% (up 12.7bp); 10Y at 2.72% (up 8.5bp); 30Y at 2.34% (up 4.4bp)
• US 5-Year TIPS Real Yield: -28.1 bp at -1.6940%; 10-Year TIPS Real Yield: -17.6 bp at -0.9750%; 30-Year TIPS Real Yield: -6.9 bp at -0.2060%

US MACRO RELEASES

• Chain Store Sales, Johnson Redbook Index, yoy% index, Change Y/Y for W 26 Feb (Redbook Research) at 13.40 % (vs 14.50 % prior)
• Construction Spending, Change P/P for Jan 2022 (U.S. Census Bureau) at 1.30 % (vs 0.20 % prior), above consensus estimate of 0.20 %
• Dallas Fed, General Business Activity for Feb 2022 (Fed Reserve, Dallas) at 16.60 (vs 0.60 prior)
• Dallas Fed, Revenue (Sales for TROS) for Feb 2022 (Fed Reserve, Dallas) at 21.90 (vs 2.80 prior)
• ISM Manufacturing, Employment for Feb 2022 (ISM, United States) at 52.90 (vs 54.50 prior)
• ISM Manufacturing, New orders for Feb 2022 (ISM, United States) at 61.70 (vs 57.90 prior)
• ISM Manufacturing, PMI total for Feb 2022 (ISM, United States) at 58.60 (vs 57.60 prior), above consensus estimate of 58.00
• ISM Manufacturing, Prices for Feb 2022 (ISM, United States) at 75.60 (vs 76.10 prior), above consensus estimate of 74.60
• PMI, Manufacturing Sector, Total, Final for Feb 2022 (Markit Economics) at 57.30 (vs 57.50 prior)

US FORWARD RATES

• Fed Funds futures now price in 27bp of Fed hikes by the end of March 2022, 57bp (2.3 x 25bp hikes) by the end of May 2022, and price in 5.5 hikes by the end of December 2022
• 3-month Eurodollar futures (EDZ) spreads price in 37.5 bp of hikes in 2023 (equivalent to 1.5 x 25 bp hikes), down -6.0 bp today, and -13.0 bp of hikes in 2024 (equivalent to -0.5 x 25 bp hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 5.44% (up 27.9bp); 2Y at 4.32% (up 27.5bp); 5Y at 3.17% (up 12.7bp); 10Y at 2.72% (up 8.5bp); 30Y at 2.34% (up 4.4bp)
• US Real Rates: 5Y at -1.6940%, -28.1 bp today; 10Y at -0.9750%, -17.6 bp today; 30Y at -0.2060%, -6.9 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 21.8 normals at 128.5
• 3-Month LIBOR-OIS spread up 4.2 bp at 14.9 bp (12-months range: -5.5-14.9 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.417% (down -26.2 bp); the German 1Y-10Y curve is 20.0 bp flatter at 57.9bp (YTD change: +16.3 bp)
• Japan 5Y: -0.009% (down -1.8 bp); the Japanese 1Y-10Y curve is 3.7 bp flatter at 21.3bp (YTD change: +5.1 bp)
• China 5Y: 2.529% (up 2.5 bp); the Chinese 1Y-10Y curve is 6.8 bp steeper at 78.8bp (YTD change: +27.8 bp)
• Switzerland 5Y: -0.230% (down -17.7 bp); the Swiss 1Y-10Y curve is 21.3 bp flatter at 81.0bp (YTD change: +17.5 bp)

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +11.6 bp at 204.4 bp (YTD change: +32.3 bp)
• US-JAPAN: -5.8 bp at 165.1 bp (YTD change: +30.4 bp)
• US-CHINA: -12.1 bp at -89.3 bp (YTD change: +39.9 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +13.1 bp at 119.0 bp (YTD change: +35.8bp)
• US-JAPAN: -16.5 bp at -42.2 bp (YTD change: +28.6bp)
• JAPAN-GERMANY: +29.6 bp at 161.2 bp (YTD change: +7.2bp)

FX DAILY SUMMARY

• The US Dollar Index is up 0.67% at 97.37 (YTD: +1.78%)
• Euro down 0.86% at 1.1123 (YTD: -2.2%)
• Yen down 0.01% at 115.01 (YTD: +0.1%)
• Onshore Yuan down 0.04% at 6.3116 (YTD: +0.7%)
• Swiss franc down 0.28% at 0.9191 (YTD: -0.8%)
• Sterling down 0.72% at 1.3323 (YTD: -1.5%)
• Canadian dollar down 0.39% at 1.2728 (YTD: -0.7%)
• Australian dollar up 0.03% at 0.7264 (YTD: +0.1%)
• NZ dollar up 0.04% at 0.6762 (YTD: -0.9%)

GLOBAL MACRO DATA RELEASES

• Australia, Current Account, Balance for Q4 2021 (AU Bureau of Stat) at 12.70 Bln AUD (vs 23.90 Bln AUD prior), below consensus estimate of 14.90 Bln AUD
• Australia, Net exports, Goods and Services, Total, Contributions to GDP Growth for Q4 2021 (AU Bureau of Stat) at -0.20 % (vs 1.00 % prior), above consensus estimate of -1.00 %
• Australia, Policy Rates, Cash Target Rate for Mar 2022 (RBA, Australia) at 0.10 % (unchanged), in line with consensus
• Canada, GDP, All industries, Change P/P for Dec 2021 (CANSIM, Canada) at 0.00 % (vs 0.60 % prior), below consensus estimate of 0.10 %
• Canada, GDP, Total at market prices, annualized, Change P/P for Q4 2021 (CANSIM, Canada) at 6.70 % (vs 5.40 % prior), above consensus estimate of 6.50 %
• Canada, PMI, Manufacturing Sector, Markit Mfg. PMI SA for Feb 2022 (Markit Economics) at 56.60 (vs 56.20 prior)
• China (Mainland), PMI, Manufacturing Sector for Feb 2022 (NBS, China) at 50.20 (vs 50.10 prior), above consensus estimate of 49.90
• China (Mainland), PMI, Manufacturing Sector, Caixin PMI for Feb 2022 (Markit Economics) at 50.40 (vs 49.10 prior), above consensus estimate of 49.30
• Euro Zone, PMI, Manufacturing Sector, Total, Final for Feb 2022 (Markit Economics) at 58.20 (vs 58.40 prior), below consensus estimate of 58.40
• France, PMI, Manufacturing Sector, Total, Final for Feb 2022 (Markit Economics) at 57.20 (vs 57.60 prior), below consensus estimate of 57.60
• Germany, CPI, Flash, Change Y/Y, Price Index for Feb 2022 (Destatis) at 5.10 % (vs 4.90 % prior), in line with consensus
• Germany, HICP, Flash, Change Y/Y, Price Index for Feb 2022 (Destatis) at 5.50 % (vs 5.10 % prior), above consensus estimate of 5.40 %
• Germany, PMI, Manufacturing Sector, Total, Final for Feb 2022 (Markit Economics) at 58.40 (vs 58.50 prior), below consensus estimate of 58.50
• Indonesia, CPI, Change Y/Y for Feb 2022 (Statistics Indonesia) at 2.06 % (vs 2.18 % prior), below consensus estimate of 2.20 %
• Indonesia, IHS Markit, PMI, Manufacturing Sector, IHS Markit PMI, Manufacturing for Feb 2022 (Markit Economics) at 51.20 (vs 53.70 prior)
• Italy, HICP, Preliminary, Change P/P, Price Index for Feb 2022 (ISTAT, Italy) at 0.80 % (vs 0.00 % prior), above consensus estimate of 0.20 %
• Italy, HICP, Preliminary, Change Y/Y, Price Index for Feb 2022 (ISTAT, Italy) at 6.20 % (vs 5.10 % prior), above consensus estimate of 5.40 %
• Italy, PMI, Manufacturing Sector for Feb 2022 (Markit Economics) at 58.30 (vs 58.30 prior), above consensus estimate of 58.00
• Japan, PMI, Manufacturing Sector, Jibun Bank Mfg PMI, Final for Feb 2022 (Markit Economics) at 52.70 (vs 52.90 prior)
• Mexico, PMI, Manufacturing Sector for Feb 2022 (Markit Economics) at 48.00 (vs 46.10 prior)
• New Zealand, Milk Auction, Average Price, Constant Prices for W 01 Mar (Global Dairy Trade) at 5,065.00 USD (vs 4,840.00 USD prior)
• Russia, PMI, Manufacturing Sector for Feb 2022 (Markit Economics) at 48.60 (vs 51.80 prior)
• Turkey, PMI, Manufacturing Sector, Istanbul Chamber of Industry PMI for Feb 2022 (Markit Economics) at 50.40 (vs 50.50 prior)
• United Kingdom, PMI, Manufacturing Sector for Feb 2022 (Markit Economics) at 58.00 (vs 57.30 prior), above consensus estimate of 57.30

FX VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 7.66, up 0.05 (YTD: +1.55)
• Euro 1-Month At-The-Money Implied Volatility currently at 9.95, up 1.5 (YTD: +5.0)
• Japanese Yen 1M ATM IV currently at 7.35, up 0.8 (YTD: +3.2)
• Offshore Yuan 1M ATM IV currently at 3.28, up 0.1

NOTABLE MOVES IN SOVEREIGN CDS BID SPREADS TODAY

• Argentina (rated CCC): down 78.1 basis points to 3,259 bp (1Y range: 1,362-3,883bp)
• China (rated A+): down 5.8 basis points to 62 bp (1Y range: 29-66bp)
• Latvia (rated A-): up 3.0 basis points to 53 bp (1Y range: 43-53bp)
• Israel (rated A+): up 3.5 basis points to 62 bp (1Y range: 50-62bp)
• Lithuania (rated A): up 3.5 basis points to 55 bp (1Y range: 44-55bp)
• Poland (rated A-): up 3.5 basis points to 55 bp (1Y range: 44-55bp)
• United Arab Emirates (rated AA-): up 4.0 basis points to 71 bp (1Y range: 61-71bp)
• Slovenia (rated A): up 4.0 basis points to 64 bp (1Y range: 51-64bp)
• Egypt (rated B+): up 10.9 basis points to 538 bp (1Y range: 283-574bp)
• Russia (still rated BBB): up 136.2 basis points to 1,541 bp (1Y range: 75-1,405bp)

LARGEST FX MOVES TODAY

• Belarusian ruble up 5.8% (YTD: -14.4%)
• Colombian Peso up 1.4% (YTD: +4.8%)
• Iceland Krona down 1.1% (YTD: +1.5%)
• Armenian Dram down 1.4% (YTD: -1.8%)
• Swedish Krona down 1.5% (YTD: -6.2%)
• Czech Koruna down 1.6% (YTD: -4.2%)
• CFA Franc BCEAO down 1.8% (YTD: -2.9%)
• Polish Zloty down 1.8% (YTD: -5.5%)
• Georgian Lari down 2.2% (YTD: -4.4%)
• Hungarian Forint down 2.2% (YTD: -4.1%)

COMMODITIES - NOTABLE GAINERS TODAY

• TRPC Natural Gas TTF Monthly up 26.1% (YTD: 41.9%)
• ICE Europe Newcastle Coal Monthly up 14.0% (YTD: 84.0%)
• Brent Forties and Oseberg Dated FOB North Sea Crude up 13.1% (YTD: 43.4%)
• TRPC Natural Gas TTF Day 1 up 12.7% (YTD: 45.2%)
• Brent Crude Spot Free On Board (FOB) Sullom Voe North Sea up 11.2% (YTD: 46.9%)
• NYMEX RBOB Gasoline up 10.4% (YTD: 34.5%)
• Bursa Malaysia Crude Palm Oil up 9.6% (YTD: 58.5%)
• ICE Europe Low Sulphur Gasoil up 9.2% (YTD: 41.9%)
• NYMEX Light Sweet Crude Oil (WTI) up 8.0% (YTD: 34.3%)
• CBoT Wheat up 7.9% (YTD: 28.5%)
• Crude Oil WTI Cushing US FOB up 7.8% (YTD: 34.9%)
• CBoT Corn up 6.1% (YTD: 24.1%)
• CBoT Soybean Oil up 5.4% (YTD: 37.5%)
• Johnson Matthey; Iridium New York 0930 up 5.1% (YTD: 2.5%)
• DCE RBD Palm Oil up 4.8% (YTD: 41.2%)

COMMODITIES - NOTABLE LOSERS TODAY

• EEX European Union Aviation Allowance Continuation Month 1 down -16.4% (YTD: -14.2%)
• Intercontinental Exchange European Union Allowance (EUA) Yearly down -16.3% (YTD: -14.1%)
• EEX European-Carbon- Secondary Trading down -16.2% (YTD: -13.9%)
• Shanghai International Exchange TSR 20 Rubber down -2.1% (YTD: -1.7%)
• SHFE Bitumen Continuation Month 1 down -1.6% (YTD: 5.9%)
• SHFE Rubber down -1.4% (YTD: -7.2%)

ENERGY COMMODITIES TODAY

• WTI crude front month currently at US$ 106.62 per barrel, up 8.0% (YTD: +34.3%); 6-month term structure in widening backwardation
• Brent crude front month currently at US$ 107.78 per barrel, up 3.9% (YTD: +32.3%)
• Brent 1-month at-the-money implied volatility at 62.1, up 10.3 vols (12-month range: 26.1-62.1)
• Newcastle Coal (ICE Europe) currently at US$ 313.00 per tonne, up 14.0% (YTD: +84.0%)
• Natural Gas (Henry Hub) currently at US$ 4.63 per MMBtu, up 3.9% (YTD: +28.4%)
• Gasoline (NYMEX) currently at US$ 3.16 per gallon, up 10.4% (YTD: +34.5%); 6-month term structure in widening backwardation
• Low Sulphur Gasoil (ICE Europe) currently at US$ 987.50 per tonne, up 9.2% (YTD: +41.9%)

The Urals-Brent crude spread keeps widening, as buyers are unwilling to take the risk of taking Russian deliveries when it's not clear yet how sanctions apply to oil payments / shipments