QUICK US SUMMARY

• 3-Month USD LIBOR +0.1bp today, now at 0.1293%
• The treasury yield curve flattened, with the 1s10s spread tightening -0.2 bp, now at 119.0 bp (YTD change: +38.6bp)
• 1Y: 0.0630% (unchanged)
• 2Y: 0.2262% (unchanged)
• 5Y: 0.7705% (down 1.3 bp)
• 7Y: 1.0445% (down 0.8 bp)
• 10Y: 1.2533% (down 0.2 bp)
• 30Y: 1.8742% (up 0.3 bp)
• US treasury curve spreads: 2s5s at 54.4bp (down -1.3bp), 5s10s at 48.3bp (up 1.1bp today), 10s30s at 62.1bp (up 0.6bp today)
• Treasuries butterfly spreads: 2s5s10s at -6.5bp (up 2.4bp today), 5s10s30s at 13.1bp (down -0.6bp)
• US 5-Year TIPS Real Yield: -4.1 bp at -1.7160%; 10-Year TIPS Real Yield: -1.6 bp at -1.0230%; 30-Year TIPS Real Yield: +0.1 bp at -0.3010%

US MACRO RELEASES

• Chicago Fed CFMMI, National Activity Index for Jul 2021 (Fed Res, Chicago) at 0.53 (vs 0.09 prior)
• Existing-Home Sales, Single-Family and Condos, total for Jul 2021 (NAR, United States) at 5.99 Mln (vs 5.86 Mln prior), above consensus estimate of 5.83 Mln
• Existing-Home Sales, Single-Family and Condos, total, Change P/P for Jul 2021 (NAR, United States) at 2.00 % (vs 1.40 % prior)
• PMI, Composite, Output, Flash for Aug 2021 (Markit Economics) at 55.40 (vs 59.90 prior), below consensus estimate of 58.30
• PMI, Manufacturing Sector, Total, Flash for Aug 2021 (Markit Economics) at 61.20 (vs 63.40 prior), below consensus estimate of 62.50
• PMI, Services Sector, Business Activity, Flash for Aug 2021 (Markit Economics) at 55.20 (vs 59.90 prior), below consensus estimate of 59.50

US FORWARD RATES

• US Treasury 1-year zero-coupon rate 5 years forward down 0.2 bp, now at 1.6390%
• 1-Year Treasury rates are now expected to increase by 155.7 bp over the next 5 years
• 3-month Eurodollar futures expected hike of 16.7 bp by the end of 2022 (meaning the market prices 66.8% chance of a 25bp hike by end of 2022)
• The 3-month USD OIS forward curve prices in 21.8 bp of rate hikes over the next 18 months (equivalent to 0.87 rate hike) and 78.6 bp over the next 3 years (equivalent to 3.14 rate hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 2.81% (up 8.3bp); 2Y at 2.67% (up 7.8bp); 5Y at 2.56% (up 2.6bp); 10Y at 2.26% (up 1.4bp); 30Y at 2.19% (up 0.2bp)
• 6-month spot US CPI swap up 3.7 bp to 3.318%, with a steepening of the forward curve
• US Real Rates: 5Y at -1.7160%, -4.1 bp today; 10Y at -1.0230%, -1.6 bp today; 30Y at -0.3010%, +0.1 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 1.1% at 16.9%
• 3-Month LIBOR-OIS spread up 0.1 bp at 6.7 bp (12-months range: 3.7-22.0 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.743% (up 0.7 bp); the German 1Y-10Y curve is 1.0 bp steeper at 17.8bp (YTD change: +2.8 bp)
• Japan 5Y: -0.112% (up 0.8 bp); the Japanese 1Y-10Y curve is 0.1 bp steeper at 14.9bp (YTD change: +0.8 bp)
• China 5Y: 2.706% (up 2.2 bp); the Chinese 1Y-10Y curve is 1.5 bp flatter at 62.5bp (YTD change: +16.1 bp)
• Switzerland 5Y: -0.661% (up 1.1 bp); the Swiss 1Y-10Y curve is 2.1 bp steeper at 40.5bp (YTD change: +14.1 bp)