QUICK US SUMMARY

• Yield curve flattening, with the 1Y-10Y spread tightening -4.6 bp on the day, now at 144.1 bp (YTD change: +63.7)
• 1Y: 0.0510% (unchanged)
• 2Y: 0.1567% (up 0.2 bp)
• 5Y: 0.7500% (down 2.6 bp)
• 7Y: 1.1681% (down 4.2 bp)
• 10Y: 1.4924% (down 4.6 bp)
• 30Y: 2.1704% (down 5.0 bp)
• 10-year treasury note auction results: US$38bn of the 1.625% May 2031 note was sold at auction with a median yield of 1.497% and bid-to-cover of 2.58x
• US treasury curve spreads: 2-5 at 59.4bp (down -2.8bp today), 5-10 at 74.2bp (down -2.0bp today), 10-30 at 67.9bp (down -0.3bp today)
• Treasuries butterfly spreads: 2x5x10 at 14.2bp (up 0.2bp today), 5x10X30 at -6.4bp (up 1.9bp today)

US MACRO RELEASES

• MBA Mortgage Applications Survey composite index, weekly percentage change, Change P/P for W 04 Jun (MBA, USA) at -3.10
• Mortgage applications, market composite index for W 04 Jun (MBA, USA) at 645.40
• Mortgage applications, market composite index, purchase for W 04 Jun (MBA, USA) at 262.10
• Mortgage applications, market composite index, refinancing for W 04 Jun (MBA, USA) at 2,869.20
• Mortgage Lending Rates, FRM 30-Year Contract Rate (MBA Sourced) for W 04 Jun (MBA, USA) at 3.15
• Refinitiv / Ipsos Primary Consumer Sentiment Index (CSI) for Jun 2021 (Refinitiv/Ipsos) at 62.49
• Wholesale Inventories, Change P/P for Apr 2021 (U.S. Census Bureau) at 0.80, in line with consensus estimate
• Wholesale Trade, Change P/P for Apr 2021 (U.S. Census Bureau) at 0.80

US FORWARD RATES

• 3-month USD Libor 5 years forward down 3.0 bp
• US Treasury 1-year zero-coupon rate 5 years forward down 7.2 bp, now at 2.1127%
• Short-term rates are expected to increase by 204.0 bp over the next 5 years

US INFLATION

• TIPS 1Y breakeven inflation at 3.07% (down -20.6bp); 2Y at 2.69% (down -9.4bp); 5Y at 2.46% (down -5.3bp); 10Y at 2.30% (down -4.2bp); 30Y at 2.30% (down -1.5bp)
• 6-month spot US CPI swap down -23.1 bp to 4.183%, with a flattening of the forward curve

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 4.1% at 76.6%
• 3-Month LIBOR-OIS spread up 0.2 bp at 7.7 bp (12-months range: 6.2-26.5 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.617% (down -1.7 bp); the German 1Y-10Y curve is 2.4 bp flatter at 39.2bp (YTD change: +24.0 bp)
• Japan 5Y: -0.092% (down -0.4 bp); the Japanese 1Y-10Y curve is 1.0 bp flatter at 18.3bp (YTD change: +3.7 bp)
• China 5Y: 2.988% (up 2.6 bp); the Chinese 1Y-10Y curve is 0.7 bp steeper at 71.2bp (YTD change: +24.8 bp)
• Switzerland 5Y: -0.516% (down -7.1 bp); the Swiss 1Y-10Y curve is 2.7 bp steeper at 56.2bp (YTD change: +31.8 bp)