US Rates Rise Slightly, With The Largest Increase In The Belly Of The Curve

University of Michigan data showed high confidence in economic recovery and lower than expected inflation expectations; short-term inflation pricing has dropped drastically since the start of June, with the 6-Month CPI swap falling 65bp from 4.56% to 3.91%

Published ET

US Yield Curve Spreads | Sources: ϕpost, Refinitiv

US Yield Curve Spreads | Sources: ϕpost, Refinitiv

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  • Yield curve steepening, with the 1Y-10Y spread widening 1.7 bp on the day, now at 140.6 bp (YTD change: +60.1)
  • 1Y: 0.0480% (unchanged)
  • 2Y: 0.1490% (up 0.2 bp)
  • 5Y: 0.7436% (up 2.7 bp)
  • 7Y: 1.1469% (up 2.3 bp)
  • 10Y: 1.4535% (up 1.7 bp)
  • 30Y: 2.1421% (up 1.2 bp)
  • US treasury curve spreads: 2-5 at 59.5bp (up 2.5bp today), 5-10 at 71.0bp (down -1.1bp today), 10-30 at 68.9bp (down -0.5bp today)
  • Treasuries butterfly spreads: 2x5x10 at 11.5bp (down -3.8bp today), 5x10X30 at -2.9bp (up 0.1bp today)


  • 1 Year Inflation Expectations (median), preliminary for Jun 2021 (UMICH, Survey) at 4.00
  • University of Michigan, Current Conditions Index-prelim, Volume Index for Jun 2021 (UMICH, Survey) at 90.60, below consensus estimate of 92.30
  • University of Michigan, Total-prelim, Change Y/Y for Jun 2021 (UMICH, Survey) at 2.80
  • University of Michigan, Total-prelim, Volume Index for Jun 2021 (UMICH, Survey) at 83.80, above consensus estimate of 79.00
  • University of Michigan, Total-prelim, Volume Index for Jun 2021 (UMICH, Survey) at 86.40, above consensus estimate of 84.00


  • Specs reduced their duration significantly this week
  • Asset managers on the other hand increased duration, with a focus on longer-dated underlying

5s, 10s intraday Yields | Sources: ϕpost, Refinitiv US rates spreads | Sources: ϕpost, Refinitiv2X5X10 Butterfly | Sources: ϕpost, Refinitiv


  • 3-month USD Libor 5 years forward down 3.0 bp
  • US Treasury 1-year zero-coupon rate 5 years forward up 2.0 bp, now at 2.0624% (meaning that short-term rates are expected to increase by 199.0 bp over the next 5 years)
Implied Rate Hikes | Sources: ϕpost, RefinitivImplied Yields on Fed Funds Futures | Sources: ϕpost, RefinitivEurodollar Implied Yield | Sources: ϕpost, RefinitivUS 2-10Y Forward Curve | Sources: ϕpost, Refinitiv


  • TIPS 1Y breakeven inflation at 3.17% (down -5.5bp); 2Y at 2.72% (down -7.7bp); 5Y at 3.55% (up 103.7bp); 10Y at 2.32% (down -1.1bp); 30Y at 2.32% (up 0.3bp)
  • 6-month spot US CPI swap down -30.7 bp to 3.912%, with a flattening of the forward curve
Sources: ϕpost, RefinitivSources: ϕpost, Refinitiv


  • USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 3.1% at 74.3%
  • 3-Month LIBOR-OIS spread up 1.5 bp at 7.0 bp (12-months range: 5.5-26.2 bp)
MOVE Indices | Sources: ϕpost, RefinitivSources: ϕpost, Refinitiv


  • Germany 5Y: -0.635% (down -0.7 bp); the German 1Y-10Y curve is 1.4 bp flatter at 38.7bp (YTD change: +23.8 bp)
  • Japan 5Y: -0.121% (down -0.5 bp); the Japanese 1Y-10Y curve is 1.6 bp flatter at 15.0bp (YTD change: +0.7 bp)
  • China 5Y: 2.982% (up 0.8 bp); the Chinese 1Y-10Y curve is 2.1 bp steeper at 71.5bp (YTD change: +25.1 bp)
  • Switzerland 5Y: -0.555% (down -4.8 bp); the Swiss 1Y-10Y curve is 6.9 bp flatter at 53.8bp (YTD change: +27.4 bp)
Sovereign spreads | Sources: ϕpost, RefinitivImplied hikes | Sources: ϕpost, Refinitiv