Rates

Very Little Action In The US Curve As Markets Await NFP Tomorrow

Expectations of rate hikes have been dialed down recently, with 3M USD Libor 5 Years Forward down by 35 basis points since the end of March

Published ET

Markets looking at Q3 2022 For rates liftoff | Sources: ϕpost, Refinitiv data

Markets looking at Q3 2022 For rates liftoff | Sources: ϕpost, Refinitiv data

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QUICK US SUMMARY

  • Yield curve steepening, with the 1Y-10Y spread widening 0.1 bp on the day, now at 151.9 bp (YTD change: +71.4)
  • 1Y: 0.0507% (down 0.3 bp)
  • 2Y: 0.1566% (up 0.2 bp)
  • 5Y: 0.8029% (up 0.8 bp)
  • 7Y: 1.2500% (up 0.2 bp)
  • 10Y: 1.5696% (down 0.2 bp)
  • 30Y: 2.2410% (down 0.4 bp)

US MACRO RELEASES

  • Jobless Claims, National, Continued for W 24 Apr (U.S. Dept. of Labor) at 3.7, above consensus estimate of 3.6
  • Jobless Claims, National, Initial for W 01 May (U.S. Dept. of Labor) at 498.0, below consensus estimate of 540.0
  • Jobless Claims, National, Initial, four week moving average for W 01 May (U.S. Dept. of Labor) at 560.0
  • Labor Cost, Total-prelim for Q1 2021 (BLS, U.S Dep. Of Lab) at -0.3, above consensus estimate of -0.8
  • Labor Market n.i.e, Unemployment, Announced job layoffs - Tally (Challenger, Gray & Christmas), Volume for Apr 2021 (Challenger) at 22.9
  • Labor Productivity, Total-prelim for Q1 2021 (BLS, U.S Dep. Of Lab) at 5.4, above consensus estimate of 4.3
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

US FORWARD RATES

  • 3-month USD Libor 5 years forward down 0.6 bp
  • US Treasury 1-year zero-coupon rate 5 years forward down 0.3 bp, now at 2.2596% (meaning that short-term rates are expected to increase by 219.1 bp over the next 5 years)

RATES VOLATILITY

  • USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 0.2% at 52.4%
  • 3-Month LIBOR-OIS spread down -0.7 bp at 10.8 bp (12-months range: 9.9-41.5 bp)
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

US INFLATION

  • TIPS 1Y breakeven inflation at 2.84% (unchanged); 2Y at 2.80% (down -0.3bp); 5Y at 2.73% (up 0.2bp); 10Y at 2.44% (unchanged); 30Y at 2.28% (up 0.1bp)
  • 6-month forward inflation swap up 1.0 bp to 3.668%
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

KEY INTERNATIONAL RATES

  • Germany 5Y: -0.599% (unchanged); the German 1Y-10Y curve is 0.1 bp steeper at 40.8bp (YTD change: +25.1 bp)
  • Japan 5Y: -0.082% (down -9.5 bp); the Japanese 2Y-10Y curve is 21.0 bp steeper at 20.8bp (YTD change: +6.4 bp)
  • China 5Y: 2.941%; the Chinese 1Y-10Y curve is 55.7 bp steeper at 55.7bp (YTD change: +9.3 bp)
  • Switzerland 5Y: -0.540% (up 0.1 bp); the Swiss 1Y-10Y curve is 7.5 bp flatter at 48.8bp (YTD change: +21.4 bp)
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data