QUICK US SUMMARY

• Yield curve steepening, with the 1Y-10Y spread widening 1.8 bp on the day, now at 157.4 bp (YTD change: +76.9bp)
• 1Y: 0.0482% (unchanged)
• 2Y: 0.1608% (up 0.6 bp)
• 5Y: 0.8014% (up 1.6 bp)
• 7Y: 1.2735% (up 1.7 bp)
• 10Y: 1.6217% (up 1.8 bp)
• 30Y: 2.3466% (up 2.0 bp)

US MACRO RELEASES

• Chain Store Sales, Johnson Redbook Index, yoy% index, Change Y/Y for W 08 May (Redbook Research) at 13.3
• JOLTS Job Openings for Mar 2021 (BLS, U.S Dep. Of Lab) at 8.1, above consensus estimate of 7.5
• NFIB, Index of Small Business Optimism for Apr 2021 (NFIB, United States) at 99.8

US FORWARD RATES

• 3-month USD Libor 5 years forward up 3.6 bp
• US Treasury 1-year zero-coupon rate 5 years forward up 2.4 bp, now at 2.3317% (meaning that short-term rates are expected to increase by 226.0 bp over the next 5 years)
• The 5Y forward 2Y-10Y curve has flattened dramatically since the beginning of the year and is now inverted, which looks a little overdone

US INFLATION

• TIPS 1Y breakeven inflation at 2.90% (up 2.0bp); 2Y at 2.75% (up 0.2bp); 5Y at 2.76% (up 0.3bp); 10Y at 2.52% (up 0.2bp); 30Y at 2.36% (up 0.8bp)
• 6-month forward inflation swap down -0.1 bp to 3.766%
• The forward curve inversion is still at its deepest level ever, with the 6-month almost 130bp over the 5Y forward

RATES VOLATILITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) unchanged at 54.9%
• 3-Month LIBOR-OIS spread down -1.8 bp at 9.4 bp (12-months range: 9.4-38.3 bp), lowest level since 2019

KEY INTERNATIONAL RATES

• Germany 5Y: -0.547% (up 4.2 bp); the German 1Y-10Y curve is 6.0 bp steeper at 47.8bp (YTD change: +32.1 bp)
• Japan 5Y: -0.090% (down -0.5 bp); the Japanese 1Y-10Y curve is 0.6 bp flatter at 20.8bp (YTD change: +5.2 bp)
• China 5Y: 2.910% (down -1.1 bp); the Chinese 1Y-10Y curve is 0.7 bp steeper at 57.0bp (YTD change: +14.5 bp)
• Switzerland 5Y: -0.481% (up 4.1 bp); the Swiss 1Y-10Y curve is 5.4 bp steeper at 64.4bp (YTD change: +35.0 bp)