QUICK US SUMMARY

• Yield curve steepening, with the 1Y-10Y spread widening 3.6 bp on the day, now at 162.8 bp (YTD change: +82.4)
• 1Y: 0.0480% (unchanged)
• 2Y: 0.1592% (up 0.8 bp)
• 5Y: 0.8599% (up 4.1 bp)
• 7Y: 1.3267% (up 4.3 bp)
• 10Y: 1.6762% (up 3.6 bp)
• 30Y: 2.3750% (up 1.3 bp)

US MACRO RELEASES

• MBA Mortgage Applications Survey composite index, weekly percentage change, Change P/P for W 14 May (MBA, USA) at 1.2
• Mortgage applications, market composite index for W 14 May (MBA, USA) at 724.2
• Mortgage applications, market composite index, purchase for W 14 May (MBA, USA) at 265.3
• Mortgage applications, market composite index, refinancing for W 14 May (MBA, USA) at 3,413.3
• Mortgage Lending Rates, FRM 30-Year Contract Rate (MBA Sourced) for W 14 May (MBA, USA) at 3.2

US FORWARD RATES

• 3-month USD Libor 5 years forward up 5.6 bp
• US Treasury 1-year zero-coupon rate 5 years forward up 5.2 bp, now at 2.3877%
• Short-term rates are expected to increase by 232.4 bp over the next 5 years, starting in Q4 2022

US INFLATION

• TIPS 1Y breakeven inflation at 3.22% (down -14.6bp); 2Y at 2.83% (down -11.7bp); 5Y at 2.69% (down -8.8bp); 10Y at 2.47% (down -5.6bp); 30Y at 2.35% (down -3.1bp)
• 6-month forward inflation swap down -8.6 bp to 4.04%

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 3.9% at 62.9%
• 3-Month LIBOR-OIS spread down -1.6 bp at 9.1 bp (12-months range: 9.0-34.4 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.495% (up 0.5 bp); the German 1Y-10Y curve is 2.0 bp flatter at 51.4bp (YTD change: +35.7 bp)
• Japan 5Y: -0.091% (up 0.1 bp); the Japanese 1Y-10Y curve is 0.4 bp flatter at 20.3bp (YTD change: +5.4 bp)
• China 5Y: 2.929% (down -1.7 bp); the Chinese 1Y-10Y curve is 0.1 bp flatter at 56.8bp (YTD change: +10.4 bp)
• Switzerland 5Y: -0.478% (down -4.0 bp); the Swiss 1Y-10Y curve is 2.5 bp flatter at 65.2bp (YTD change: +38.8 bp)