US MACRO DATA

• Construction Spending, Change P/P for Mar 2021 (U.S. Census Bureau) at 0.2, missed consensus estimate of 1.9
• ISM Manufacturing, Employment for Apr 2021 (ISM, United States) at 55.1, missed consensus estimate of 61.5
• ISM Manufacturing, New orders for Apr 2021 (ISM, United States) at 64.3
• ISM Manufacturing, PMI total for Apr 2021 (ISM, United States) at 60.7, missed consensus estimate of 65.0
• ISM Manufacturing, Prices for Apr 2021 (ISM, United States) at 89.6, beat consensus estimate of 86.1
• PMI, Manufacturing Sector, Total, Final for Apr 2021 (Markit Economics) at 60.5

US TREASURY CURVE

• Yield curve flattening, with the 1Y-10Y spread tightening -3.2 bp on the day, now at 154.1 bp (YTD change: +73.7 bp)
• 1Y: 0.0583% (up 0.5 bp)
• 2Y: 0.1624% (unchanged)
• 5Y: 0.8253% (down 2.4 bp)
• 7Y: 1.2805% (down 3.1 bp)
• 10Y: 1.5994% (down 2.7 bp)
• 30Y: 2.2837% (down 1.5 bp)

US FORWARD RATES  

• 3-month USD Libor 5 years forward down 5.7 bp
• US Treasury 1-year zero-coupon rate 5 years forward down 4.1 bp, now at 2.3080% (meaning that short-term rates are expected to increase by 223.8 bp over the next 5 years)

US INFLATION  

• TIPS 1Y breakeven inflation at 2.74% (up 0.8bp); 2Y at 2.76% (up 1.5bp); 5Y at 2.68% (up 0.4bp);   10Y at 2.41% (up 0.1bp); 30Y at 2.28% (down -0.1bp)
• 6-month forward inflation swap down -10.4 bp to 3.46%

RATES VOLATILITY  

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) unchanged at 48.9%

KEY INTERNATIONAL RATES  

• Germany 5Y: -0.582% (down -0.7 bp); the German 1Y-10Y curve is 2.2 bp flatter at 42.3bp (YTD change: +27.4 bp)
• Japan 5Y: -0.082% (up 9.4 bp); the Japanese 2Y-10Y curve is 21.3 bp flatter at 21.3bp (YTD change: -14.6 bp)
• China 5Y: unchanged (markets are closed until Wednesday)
• Switzerland 5Y: -0.510% (up 2.3 bp); the Swiss 1Y-10Y curve is 0.1 bp steeper at 55.5bp (YTD change: +29.1 bp)