QUICK SUMMARY

• US macro data ahead of consensus on all releases today
• Personal Consumption Expenditure grew at 4.2% M/M vs estimate of 4.0%
• Personal Income up 21.1% M/M vs estimate of 20.0%
• Chicago PMI blew expectations at 72.1 vs estimate of 64.3
• US rates down across the yield curve; the expected 1Y rate in 5 years down 3bp
• Short-term inflation expectations (CPI swap) also down by 3bp

US TREASURY CURVE 

• Yield curve flattening, with the 1Y-10Y spread tightening -1.6 bp on the day, now at 157.3 bp (YTD change: +76.8 bp)
• 1Y: 0.0532% (down 0.0 bp)
• 2Y: 0.1623% (down 0.2 bp)
• 5Y: 0.8493% (down 1.8 bp)
• 7Y: 1.3110% (down 1.6 bp)
• 10Y: 1.6259% (down 1.6 bp)
• 30Y: 2.2982% (down 0.6 bp)

US FORWARD RATES

• 3-month USD Libor 5 years forward up 1.1 bp
• US Treasury 1-year zero-coupon rate 5 years forward down 2.8 bp, now at 2.3491% (meaning that short-term rates are expected to increase by 228.0 bp over the next 5 years)

US INFLATION  

• TIPS  1Y breakeven inflation at 2.63% (up 2.4bp); 2Y at 2.68% (down -1.3bp); 5Y at 2.64% (up 0.2bp);   10Y at 2.39% (down -0.7bp); 30Y at 2.28% (down -0.6bp)
• 6-month forward inflation swap down -3.3 bp to 3.568%

RATES VOLATILITY  

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 0.5% at 49.9%
• Ample interbank market liquidity: 3-Month LIBOR-OIS spread up very slightly 0.1 bp at 12.0 bp (12-months range: 10.5-52.1 bp)

KEY INTERNATIONAL RATES  

• Germany 5Y: -0.579% (down -1.7 bp); the German 1Y-10Y curve is 2.0 bp flatter at 44.4bp (YTD change: +28.5 bp)
• Japan 5Y: -0.082% (down -9.4 bp); the Japanese 2Y-10Y curve is 21.3 bp steeper at 21.3bp (YTD change: +6.7 bp)
• China 5Y: 2.964% (down -1.6 bp); the Chinese 1Y-10Y curve is 0.8 bp flatter at 56.6bp (YTD change: +10.2 bp)
• Switzerland 5Y: -0.533% (down -1.3 bp); the Swiss 1Y-10Y curve is 2.1 bp flatter at 55.4bp (YTD change: +28.5 bp)