QUICK US SUMMARY

• 3-Month USD LIBOR unchanged at 0.1308%
• The treasury yield curve flattened, with the 1s10s spread tightening -1.4 bp, now at 117.5 bp (YTD change: +37.1bp)
• 1Y: 0.0680% (down 0.3 bp)
• 2Y: 0.2216% (up 0.4 bp)
• 5Y: 0.7702% (up 0.2 bp)
• 7Y: 1.0362% (down 0.6 bp)
• 10Y: 1.2433% (down 1.7 bp)
• 30Y: 1.8736% (down 2.7 bp)
• US treasury curve spreads: 2s5s at 54.9bp (down -0.2bp), 5s10s at 47.3bp (down -1.8bp), 10s30s at 63.0bp (down -1.0bp)
• Treasuries butterfly spreads: 2s5s10s at -7.9bp (down -1.6bp), 5s10s30s at 14.9bp (up 0.5bp)
• US 5-Year TIPS Real Yield: +2.6 bp at -1.7370%; 10-Year TIPS Real Yield: +1.1 bp at -1.0490%; 30-Year TIPS Real Yield: -1.5 bp at -0.3110%

HEADLINES

• Crude oil and base metals fell sharply today, as markets priced in heightened risks on the demand side
• The US$8bn 30-year TIPS (912810SV1) auction went OK, with good pricing and average stats: high yield at -0.292% (stop-through vs. -0.287% when issued), 2.34x bid-to-cover ratio (vs. 2.31x prior and 2.45x average of the previous 12 auctions), indirects took in 74.89% (vs. 74.8% average), dealers 12.72% (vs. 18.7% average) and directs 12.38% (vs. 6.5% average)

US MACRO RELEASES

• Jobless Claims, National, Continued for W 07 Aug (U.S. Dept. of Labor) at 2.82 Mln (vs 2.87 Mln prior), above consensus estimate of 2.80 Mln
• Jobless Claims, National, Initial for W 14 Aug (U.S. Dept. of Labor) at 348.00 k (vs 375.00 k prior), below consensus estimate of 363.00 k
• Jobless Claims, National, Initial, four week moving average for W 14 Aug (U.S. Dept. of Labor) at 377.75 k (vs 396.25 k prior)
• Leading Index, Change P/P for Jul 2021 (The Conference Board) at 0.90 % (vs 0.70 % prior), above consensus estimate of 0.80 %
• Philadelphia Fed, Future capital expenditures for Aug 2021 (FED, Philadelphia) at 33.70 (vs 41.20 prior)
• Philadelphia Fed, Future general business activity for Aug 2021 (FED, Philadelphia) at 33.70 (vs 48.60 prior)
• Philadelphia Fed, General business activity for Aug 2021 (FED, Philadelphia) at 19.40 (vs 21.90 prior), below consensus estimate of 23.00
• Philadelphia Fed, New orders for Aug 2021 (FED, Philadelphia) at 22.80 (vs 17.00 prior)
• Philadelphia Fed, Number of employees for Aug 2021 (FED, Philadelphia) at 32.60 (vs 29.20 prior)
• Philadelphia Fed, Prices paid for Aug 2021 (FED, Philadelphia) at 71.20 (vs 69.70 prior)

US FORWARD RATES

• US Treasury 1-year zero-coupon rate 5 years forward down 2.4 bp, now at 1.6170%
• 1-Year Treasury rates are now expected to increase by 153.7 bp over the next 5 years
• 3-month Eurodollar futures expected hike of 16.8 bp by the end of 2022 (meaning the market prices 67.2% chance of a 25bp hike by end of 2022)
• The 3-month USD OIS forward curve prices in 20.6 bp of rate hikes over the next 18 months (equivalent to 0.82 rate hike) and 81.0 bp over the next 3 years (equivalent to 3.24 rate hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 2.85% (down -9.4bp); 2Y at 2.67% (down -6.2bp); 5Y at 2.58% (down -2.7bp); 10Y at 2.28% (down -2.7bp); 30Y at 2.20% (down -1.2bp)
• 6-month spot US CPI swap down -0.2 bp to 3.410%, with a steepening of the forward curve
• US Real Rates: 5Y at -1.7370%, +2.6 bp today; 10Y at -1.0490%, +1.1 bp today; 30Y at -0.3110%, -1.5 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 1.5% at 15.8%
• 3-Month LIBOR-OIS spread down -0.6 bp at 5.4 bp (12-months range: 3.7-22.0 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.739% (down -0.4 bp); the German 1Y-10Y curve is 1.3 bp flatter at 17.8bp (YTD change: +2.2 bp)
• Japan 5Y: -0.117% (unchanged 0.0 bp); the Japanese 1Y-10Y curve is 0.0 bp flatter at 14.9bp (YTD change: +1.2 bp)
• China 5Y: 2.684% (up 0.1 bp); the Chinese 1Y-10Y curve is 0.7 bp steeper at 66.4bp (YTD change: +20.0 bp)
• Switzerland 5Y: -0.665% (up 0.8 bp); the Swiss 1Y-10Y curve is 3.4 bp flatter at 34.2bp (YTD change: +7.8 bp)