QUICK US SUMMARY

• Yield curve flattening, with the 1Y-10Y spread tightening -1.7 bp on the day, now at 151.8 bp (YTD change: +71.4)
• 1Y: 0.0532% (down 0.3 bp)
• 2Y: 0.1546% (down 0.8 bp)
• 5Y: 0.7948% (down 2.4 bp)
• 7Y: 1.2477% (down 2.3 bp)
• 10Y: 1.5713% (down 1.9 bp)
• 30Y: 2.2448% (down 1.7 bp)

US MACRO RELEASES

• ISM Non-manufacturing, Business activity for Apr 2021 (ISM, United States) at 62.7, below consensus estimate of 69.5
• ISM Non-manufacturing, Employment for Apr 2021 (ISM, United States) at 58.8
• ISM Non-manufacturing, New orders for Apr 2021 (ISM, United States) at 63.2
• ISM Non-manufacturing, NMI/PMI for Apr 2021 (ISM, United States) at 62.7, below consensus estimate of 64.3
• ISM Non-manufacturing, Prices for Apr 2021 (ISM, United States) at 76.8
• Labour Market n.i.e, ADP total nonfarm private employment (estimate), Absolute change for Apr 2021 (ADP - Automatic Data) at 742.0, below consensus estimate of 800.0
• MBA Mortgage Applications Survey composite index, weekly percentage change, Chg P/P for W 30 Apr (MBA, USA) at -0.9
• Mortgage applications, market composite index for W 30 Apr (MBA, USA) at 700.4
• Mortgage applications, market composite index, purchase for W 30 Apr (MBA, USA) at 274.5
• Mortgage applications, market composite index, refinancing for W 30 Apr (MBA, USA) at 3188.7
• Mortgage Lending Rates, FRM 30-Year Contract Rate (MBA Sourced) for W 30 Apr (MBA, USA) at 3.2
• PMI, Composite, Output, Final for Apr 2021 (Markit Economics) at 63.5
• PMI, Services Sector, Business Activity, Final for Apr 2021 (Markit Economics) at 64.7

US FORWARD RATES

• 3-month USD Libor 5 years forward down 3.7 bp
• US Treasury 1-year zero-coupon rate 5 years forward down 2.9 bp, now at 2.2621% (meaning that markets are currently pricing an increase in short rates of 219.5 bp over the next 5 years)

US INFLATION

• TIPS 1Y breakeven inflation at 2.85% (down -1.4bp); 2Y at 2.85% (up 0.1bp); 5Y at 2.77% (up 0.5bp); 10Y at 2.46% (up 0.6bp); 30Y at 2.30% (down -0.1bp)
• 6-month forward inflation swap up 9.7 bp to 3.658%

RATES VOLATILITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) unchanged at 50.4%
• 3-Month LIBOR-OIS spread up 1.2 bp at 11.5 bp (12-months range: 9.9-43.9 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.610%; the German 1Y-10Y curve is 0.3 bp steeper at 39.9bp (YTD change: +25.0 bp)
• Japan 5Y: -0.082%; the Japanese 2Y-10Y curve is at 21.3bp (YTD change: -14.6 bp)
• China 5Y: 2.964%; the Chinese 1Y-10Y curve at 56.6bp (YTD change: -46.4 bp)
• Switzerland 5Y: -0.541% (down -1.2 bp); the Swiss 1Y-10Y curve is 1.5 bp steeper at 55.3bp (YTD change: +28.9 bp)