QUICK US SUMMARY

• 3-Month USD LIBOR +0.3bp today, now at 0.1248%
• The treasury yield curve steepened, with the 1s10s spread widening 2.5 bp, now at 128.0 bp (YTD change: +47.5bp)
• 1Y: 0.0810%
• 2Y: 0.2247% (up 0.4 bp)
• 5Y: 0.8278% (up 2.1 bp)
• 7Y: 1.1310% (up 1.7 bp)
• 10Y: 1.3607% (up 2.5 bp)
• 30Y: 2.0028% (up 0.1 bp)
• US treasury curve spreads: 2s5s at 60.3bp (up 1.7bp today), 5s10s at 53.3bp (up 0.4bp today), 10s30s at 64.3bp (down -2.4bp)
• Treasuries butterfly spreads: 2s5s10s at -7.4bp (down -1.3bp), 5s10s30s at 10.2bp (down -3.7bp)
• US 5-Year TIPS Real Yield: +1.3 bp at -1.8140%; 10-Year TIPS Real Yield: +1.0 bp at -1.0560%; 30-Year TIPS Real Yield: +1.4 bp at -0.2590%

RELEVANT HEADLINES

• The 30-Year Treasury auction tailed for the 4th time in a row: high yield of 2.040% (1bp higher than when issued), bid-to-cover at 2.21x (vs 2.29x average of 5 prior auctions). Definitely weak but not as bad as the previous 30Y auction (tail of 2.8bp), which might explain why 30Y yields dropped slightly after the auction into the close
• Next week sees more coupon-bearing auctions: $27bn of 20Y (912810SZ2) on Wednesday and $8bn of 30Y TIPS (912810SZV1) on Friday
• Additional US fiscal stimulus is expected to slow down for the next months, as Democrats need moderates (opposed to potentially large tax increases) to support / vote for the US$ 3.5 trillion reconciliation bill

US MACRO RELEASES

• Jobless Claims, National, Continued for W 31 Jul (U.S. Dept. of Labor) at 2.87 Mln, in line with consensus estimate
• Jobless Claims, National, Initial for W 07 Aug (U.S. Dept. of Labor) at 375.00 k, in line with consensus estimate
• Jobless Claims, National, Initial, four week moving average for W 07 Aug (U.S. Dept. of Labor) at 396.25 k
• PPI ex Food/Energy/Trade MM, Change P/P for Jul 2021 (BLS, U.S Dep. Of Lab) at 0.90 %
• PPI ex Food/Energy/Trade YY, Change Y/Y, Price Index for Jul 2021 (BLS, U.S Dep. Of Lab) at 6.10 %
• Producer Prices, Final demand less foods and energy, Change P/P for Jul 2021 (BLS, U.S Dep. Of Lab) at 1.00 %, above consensus estimate of 0.50 %
• Producer Prices, Final demand less foods and energy, Change Y/Y for Jul 2021 (BLS, U.S Dep. Of Lab) at 6.20 %, above consensus estimate of 5.60 %
• Producer Prices, Final demand, Change P/P for Jul 2021 (BLS, U.S Dep. Of Lab) at 1.00 %, above consensus estimate of 0.60 %
• Producer Prices, Final demand, Change Y/Y for Jul 2021 (BLS, U.S Dep. Of Lab) at 7.80 %, above consensus estimate of 7.30 %

US FORWARD RATES

• US Treasury 1-year zero-coupon rate 5 years forward up 1.2 bp, now at 1.7924%, meaning that 1-Year Treasury yields are expected to increase by 170.9 bp over the next 5 years
• 3-month Eurodollar futures expected hike of 17.7 bp by the end of 2022 (meaning the market prices 70.8% chance of a 25bp hike by end of 2022)
• The 3-month USD OIS forward curve prices in 19.8 bp of rate hikes over the next 18 months (equivalent to 0.79 rate hike) and 87.6 bp over the next 3 years (equivalent to 3.50 rate hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 3.08% (down -2.8bp); 2Y at 2.81% (down -1.0bp); 5Y at 2.71% (up 0.6bp); 10Y at 2.40% (down -0.3bp); 30Y at 2.28% (down -1.3bp)
• US Real Rates: 5Y at -1.8140%, +1.3 bp today; 10Y at -1.0560%, +1.0 bp today; 30Y at -0.2590%, +1.4 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) down -1.2% at 13.6%
• 3-Month LIBOR-OIS spread up 0.7 bp at 5.8 bp (12-months range: 3.7-22.0 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.718% (unchanged); the German 1Y-10Y curve is 0.5 bp flatter at 20.3bp (YTD change: +4.1 bp)
• Japan 5Y: -0.120% (down -0.5 bp); the Japanese 1Y-10Y curve is 0.9 bp flatter at 15.3bp (YTD change: +1.8 bp)
• China 5Y: 2.711% (down -1.5 bp); the Chinese 1Y-10Y curve is 4.8 bp flatter at 65.5bp (YTD change: +19.1 bp)
• Switzerland 5Y: -0.681% (down -0.9 bp); the Swiss 1Y-10Y curve is 5.6 bp flatter at 42.2bp (YTD change: +6.8 bp)