QUICK US SUMMARY

• Yield curve flattening, with the 1Y-10Y spread tightening -2.0 bp on the day, now at 156.0 bp (YTD change: +75.5)
• 1Y: 0.0430% (unchanged 0.0 bp)
• 2Y: 0.1513% (down 0.4 bp)
• 5Y: 0.8034% (down 1.8 bp)
• 7Y: 1.2618% (down 1.8 bp)
• 10Y: 1.6029% (down 2.0 bp)
• 30Y: 2.3004% (down 1.7 bp)

US MACRO RELEASES

• Chicago Fed National Activity Index for Apr 2021 (Fed Res, Chicago) at 0.2, below consensus of 1.2

US FORWARD RATES

• 3-month USD Libor 5 years forward down 1.5 bp
• US Treasury 1-year zero-coupon rate 5 years forward down 2.6 bp, now at 2.2872%
• Short-term rates are expected to increase by 222.8 bp over the next 5 years, well down from 236bp a couple of weeks ago

US INFLATION

• TIPS 1Y breakeven inflation at 3.31% (up 8.8bp); 2Y at 2.91% (up 8.2bp); 5Y at 2.68% (up 2.5bp); 10Y at 2.44% (up 1.3bp); 30Y at 2.33% (up 1.2bp)
• 6-month spot US CPI swap down -1.1 bp to 3.904%, with a steepening of the forward curve

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 3.5% at 63.7%
• 3-Month LIBOR-OIS spread up 0.4 bp at 8.5 bp (12-months range: 8.1-33.4 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.531% (down -0.9 bp); the German 1Y-10Y curve is 0.6 bp flatter at 49.6bp (YTD change: +34.2 bp)
• Japan 5Y: -0.087% (down -0.5 bp); the Japanese 1Y-10Y curve is 0.1 bp flatter at 19.9bp (YTD change: +5.7 bp)
• China 5Y: 2.893% (up 0.8 bp); the Chinese 1Y-10Y curve is 0.4 bp flatter at 54.6bp (YTD change: +8.2 bp)
• Switzerland 5Y: -0.484% (down -0.6 bp); the Swiss 1Y-10Y curve is 2.1 bp steeper at 62.0bp (YTD change: +35.6 bp)
• The important change since March is that the expectation of rate hikes have come down in the US while they rose in Germany / EU countries. So the changes in macro expectations (from good to worse in the US and bad to better in the EU) are being at least partially priced in.