QUICK US SUMMARY

• Yield curve steepening, with the 1Y-10Y spread widening 0.9 bp on the day, now at 152.8 bp (YTD change: +72.4)
• 1Y: 0.0507% (unchanged)
• 2Y: 0.1468% (down 1.0 bp)
• 5Y: 0.7741% (down 2.9 bp)
• 7Y: 1.2383% (down 1.2 bp)
• 10Y: 1.5788% (up 0.9 bp)
• 30Y: 2.2808% (up 4.0 bp)

US MACRO RELEASES

• Average Earnings YY, Chg Y/Y for Apr 2021 (BLS, U.S Dep. Of Lab) at 0.3, above consensus estimate of -0.4
• Consumer credit, total, Absolute change for Mar 2021 (FED, U.S.) at 25.8, above consensus estimate of 20.0
• Earnings, Average Hourly, Nonfarm payrolls, all employees, total private, Chg P/P for Apr 2021 (BLS, U.S Dep. Of Lab) at 0.7, above consensus estimate of 0.0
• Employment, Nonfarm payroll, goods-producing, manufacturing, total, Absolute change for Apr 2021 (BLS, U.S Dep. Of Lab) at -18.0, below consensus estimate of 55.0
• Employment, Nonfarm payroll, service-producing, government, Absolute change for Apr 2021 (BLS, U.S Dep. Of Lab) at 48.0
• Employment, Nonfarm payroll, total private, Absolute change for Apr 2021 (BLS, U.S Dep. Of Lab) at 218.0, below consensus estimate of 893.0
• Employment, Nonfarm payroll, total, Absolute change for Apr 2021 (BLS, U.S Dep. Of Lab) at 266.0, below consensus estimate of 978.0
• Hours Worked, Average Per Week, Nonfarm payrolls, all employees, total private for Apr 2021 (BLS, U.S Dep. Of Lab) at 35.0, above consensus estimate of 34.9
• Labor Force Partic for Apr 2021 (BLS, U.S Dep. Of Lab) at 61.7
• Unemployment, Rate for Apr 2021 (BLS, U.S Dep. Of Lab) at 6.1, above consensus estimate of 5.8
• Unemployment, Rate, Special (U-6) for Apr 2021 (BLS, U.S Dep. Of Lab) at 10.4
• Wholesale Inventories, Chg P/P for Mar 2021 (U.S. Census Bureau) at 1.3, below consensus estimate of 1.4
• Wholesale Trade, Chg P/P for Mar 2021 (U.S. Census Bureau) at 4.6, above consensus estimate of 1.0

US FORWARD RATES

• 3-month USD Libor 5 years forward up 0.6 bp
• US Treasury 1-year zero-coupon rate 5 years forward up 0.7 bp, now at 2.2667% (meaning that short-term rates are expected to increase by 220.1 bp over the next 5 years)

RATES VOLATILITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) down -1.4% at 50.8%
• 3-Month LIBOR-OIS spread down -0.4 bp at 10.4 bp (12-months range: 9.9-41.5 bp)

US INFLATION

• TIPS 1Y breakeven inflation at 2.85% (up 0.8bp); 2Y at 2.77% (down -0.4bp); 5Y at 2.75% (up 0.3bp); 10Y at 2.49% (up 0.4bp); 30Y at 2.32% (up 0.4bp)
• 6-month forward inflation swap up 2.4 bp to 3.692%

KEY INTERNATIONAL RATES

• Germany 5Y: -0.584% (up 1.3 bp); the German 1Y-10Y curve is 1.2 bp steeper at 41.9bp (YTD change: +26.3 bp)
• Japan 5Y: -0.094% (down 0.0 bp); the Japanese 1Y-10Y curve unchanged at 21.0bp (YTD change: +6.4 bp)
• China 5Y: 2.939% (down -0.2 bp); the Chinese 1Y-10Y curve is 3.6 bp steeper at 59.3bp (YTD change: +12.9 bp)
• Switzerland 5Y: -0.534% (up 0.6 bp); the Swiss 1Y-10Y curve is 7.2 bp steeper at 55.0bp (YTD change: +28.6 bp)