QUICK US SUMMARY

• Yield curve flattening, with the 1Y-10Y spread tightening -2.4 bp on the day, now at 158.9 bp (YTD change: +78.5)
• 1Y: 0.0460% (down 0.0 bp)
• 2Y: 0.1490% (down 0.8 bp)
• 5Y: 0.8177% (down 1.1 bp)
• 7Y: 1.2829% (down 2.1 bp)
• 10Y: 1.6352% (down 2.4 bp)
• 30Y: 2.3466% (down 5.5 bp)

US MACRO RELEASES

• 1 Year Inflation Expectations (median), preliminary for May 2021 (UMICH, Survey) at 4.6
• Capacity Utilization, Total index, Change M/M for Apr 2021 (FED, U.S.) at 74.9, below consensus estimate of 75.0
• Export Prices, All commodities, Change P/P, Price Index for Apr 2021 (BLS, U.S Dep. Of Lab) at 0.8, above consensus estimate of 0.6
• Import Prices, All commodities, Change P/P, Price Index for Apr 2021 (BLS, U.S Dep. Of Lab) at 0.7, above consensus estimate of 0.6
• Overall, Total business inventories, Change P/P for Mar 2021 (U.S. Census Bureau) at 0.3, in line with consensus
• Production, Change P/P for Apr 2021 (FED, U.S.) at 0.7, below consensus estimate of 1.0
• Production, Manufacturing, Total (SIC), Change P/P for Apr 2021 (FED, U.S.) at 0.4, in line with consensus
• Retail Sales, Total excluding building materials & motor vehicles & parts & gasoline station & food svc, Change P/P for Apr 2021 (U.S. Census Bureau) at -1.5, below consensus estimate of -0.2
• Retail Sales, Total excluding motor vehicle dealers and gasoline station, Change P/P for Apr 2021 (U.S. Census Bureau) at -0.8
• Retail Sales, Total including food services, Change P/P for Apr 2021 (U.S. Census Bureau) at 0.0, below consensus estimate of 1.0
• Retail Sales, Total including food services, excluding motor vehicle and parts, Change P/P for Apr 2021 (U.S. Census Bureau) at -0.8, below consensus estimate of 0.7
• University of Michigan, Current Conditions Index-prelim, Volume Index for May 2021 (UMICH, Survey) at 90.8, below consensus estimate of 99.6
• University of Michigan, Total-prelim, Change Y/Y for May 2021 (UMICH, Survey) at 3.1
• University of Michigan, Total-prelim, Volume Index for May 2021 (UMICH, Survey) at 77.6, below consensus estimate of 85.0
• University of Michigan, Total-prelim, Volume Index for May 2021 (UMICH, Survey) at 82.8, below consensus estimate of 90.4

US FORWARD RATES

• 3-month USD Libor 5 years forward down 0.9 bp
• US Treasury 1-year zero-coupon rate 5 years forward down 4.9 bp, now at 2.3808%
• Short-term rates are expected to increase by 226.5 bp over the next 5 years

US INFLATION

• TIPS 1Y breakeven inflation at 3.27% (up 15.7bp); 2Y at 2.88% (up 6.0bp); 5Y at 2.75% (up 2.3bp); 10Y at 2.52% (up 0.4bp); 30Y at 2.39% (up 0.6bp)
• 6-month forward inflation swap up 15.3 bp to 4.01%

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) down -0.7% at 53.8%
• 3-Month LIBOR-OIS spread down -1.3 bp at 9.1 bp (12-months range: 9.1-34.6 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.519% (down -0.7 bp); the German 1Y-10Y curve is 2.4 bp flatter at 49.3bp (YTD change: +34.9 bp)
• Japan 5Y: -0.087% (down -1.0 bp); the Japanese 1Y-10Y curve is 0.5 bp flatter at 20.4bp (YTD change: +6.1 bp)
• China 5Y: 2.933% (down 0.0 bp); the Chinese 1Y-10Y curve is 1.1 bp steeper at 58.8bp (YTD change: +12.4 bp)
• Switzerland 5Y: -0.483% (down -48.3 bp)