QUICK US SUMMARY

• Yield curve flattening, with the 1s10s Treasury spread tightening -4.6 bp on the day, now at 122.7 bp (YTD change: +42.2)
• 1Y: 0.0740% (down 0.3 bp)
• 2Y: 0.2271% (up 0.2 bp)
• 5Y: 0.7800% (down 1.5 bp)
• 7Y: 1.0724% (down 3.0 bp)
• 10Y: 1.3006% (down 4.9 bp)
• 30Y: 1.9258% (down 4.8 bp)
• US treasury curve spreads: 2s5s at 55.3bp (down -1.7bp), 5s10s at 52.1bp (down -3.4bp), 10s30s at 62.5bp (unchanged)
• Treasuries butterfly spreads: 2s5s10s at -3.6bp (down -1.8bp), 5s10s30s at 9.4bp (up 2.6bp)

US MACRO RELEASES

• Capacity Utilization, Total index, Change M/M for Jun 2021 (FED, U.S.) at 75.40 %, below consensus estimate of 75.60 %
• Export Prices, All commodities, Change P/P, Price Index for Jun 2021 (BLS, U.S Dep. Of Lab) at 1.20 %, in line with consensus estimate
• Import Prices, All commodities, Change P/P, Price Index for Jun 2021 (BLS, U.S Dep. Of Lab) at 1.00 %, below consensus estimate of 1.20 %
• Jobless Claims, National, Continued for W 03 Jul (U.S. Dept. of Labor) at 3.24 Mln, below consensus estimate of 3.31 Mln
• Jobless Claims, National, Initial for W 10 Jul (U.S. Dept. of Labor) at 360.00 k, in line with consensus estimate
• Jobless Claims, National, Initial, four week moving average for W 10 Jul (U.S. Dept. of Labor) at 382.50 k
• New York Fed, General Business Condition for Jul 2021 (FED, NY) at 43.00 , above consensus estimate of 18.00
• Philadelphia Fed, Future capital expenditures for Jul 2021 (FED, Philadelphia) at 41.20
• Philadelphia Fed, Future general business activity for Jul 2021 (FED, Philadelphia) at 48.60
• Philadelphia Fed, General business activity for Jul 2021 (FED, Philadelphia) at 21.90 , below consensus estimate of 28.00
• Philadelphia Fed, New orders for Jul 2021 (FED, Philadelphia) at 17.00
• Philadelphia Fed, Number of employees for Jul 2021 (FED, Philadelphia) at 29.20
• Philadelphia Fed, Prices paid for Jul 2021 (FED, Philadelphia) at 69.70
• Production, Change P/P for Jun 2021 (FED, U.S.) at 0.40 %, below consensus estimate of 0.60 %
• Production, Manufacturing, Total (SIC), Change P/P for Jun 2021 (FED, U.S.) at -0.10 %, below consensus estimate of 0.20 %

US FORWARD RATES

• 3-month USD Libor 5 years forward up 1.5 bp
• US Treasury 1-year zero-coupon rate 5 years forward down 7.2 bp, now at 1.7305%
• 1-Year Treasury rates are now expected to increase by 164.5 bp over the next 5 years
• The market currently expects the 3-month USD OIS rate to rise by 19.2 bp over the next 18 months (equivalent to 0.77 rate hike) and 91.1 bp over the next 3 years (equivalent to 3.65 rate hikes)

US INFLATION

• TIPS 1Y breakeven inflation at 3.43% (up 10.2bp); 2Y at 2.82% (up 0.8bp); 5Y at 2.56% (down -1.0bp); 10Y at 2.32% (down -1.4bp); 30Y at 2.23% (down -2.1bp)
• 6-month spot US CPI swap up 8.7 bp to 4.068%, with a steepening of the forward curve

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 0.1% at 14.0%
• 3-Month LIBOR-OIS spread down -0.6 bp at 5.6 bp (12-months range: 3.7-23.6 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.629% (down -0.8 bp); the German 1Y-10Y curve is 1.3 bp flatter at 32.8bp (YTD change: +17.7 bp)
• Japan 5Y: -0.117% (down -0.1 bp); the Japanese 1Y-10Y curve is unchanged at 13.4bp (YTD change: -0.3 bp)
• China 5Y: 2.785% (up 1.7 bp); the Chinese 1Y-10Y curve is 4.2 bp steeper at 91.4bp (YTD change: +45.0 bp)
• Switzerland 5Y: -0.637% (down -2.8 bp); the Swiss 1Y-10Y curve is 7.7 bp flatter at 44.8bp (YTD change: +18.4 bp)