QUICK US SUMMARY

• 3-Month USD LIBOR down -0.7bp today, now at 0.1218%
• The treasury yield curve steepened, with the 1s10s spread widening 4.4 bp, now at 123.4 bp (YTD change: +42.9bp)
• 1Y: 0.0630% (unchanged)
• 2Y: 0.2243% (down 0.2 bp)
• 5Y: 0.7982% (up 2.8 bp)
• 7Y: 1.0809% (up 3.6 bp)
• 10Y: 1.2969% (up 4.4 bp)
• 30Y: 1.9147% (up 4.1 bp)
• US treasury curve spreads: 2s5s at 57.4bp (up 3.0bp today), 5s10s at 49.9bp (up 1.6bp today), 10s30s at 61.8bp (down -0.3bp)
• Treasuries butterfly spreads: 2s5s10s at -7.9bp (down -1.4bp), 5s10s30s at 12.0bp (down -1.1bp)
• US 5-Year TIPS Real Yield: -1.2 bp at -1.7280%; 10-Year TIPS Real Yield: +0.7 bp at -1.0160%; 30-Year TIPS Real Yield: +2.0 bp at -0.2810%

HEADLINES

• The $60 billion 2-year Treasury auction (91282CCU3) saw very strong demand and a 1.1 bp stop-trough: high yield of 0.242% (vs 0.253% when issued at the bid deadline and 0.213% at the previous auction in July), 2.65x bid-to-cover (2.47x in July and 2.53x 5-month average), competitive bids up at 81.2% (vs 74.1% in July and the 68.7% average), indirects took 60.54% (vs 52.8% last month and a 52.2% average), primary dealers were left with only 18.3% (vs 26.0% in July and 31.3% average).

US MACRO RELEASES

• Building Permits for Jul 2021 (U.S. Census Bureau) at 1.63 Mln (vs 1.64 Mln prior)
• Chain Store Sales, Johnson Redbook Index, yoy% index, Change Y/Y for W 21 Aug (Redbook Research) at 16.6% (vs 15.00 % prior)
• New Home Sales for Jul 2021 (U.S. Census Bureau) at 0.71 Mln (vs 0.68 Mln prior), above consensus estimate of 0.70 Mln
• New Home Sales, Change P/P for Jul 2021 (U.S. Census Bureau) at 1.00 % (vs -6.60 % prior)
• Richmond Fed Manufacturing, Manufacturing Index for Aug 2021 (FED, Richmond) at 9.00 (vs 27.00 prior)
• Richmond Fed Manufacturing, Shipments, current conditions for Aug 2021 (FED, Richmond) at 6.00 (vs 21.00 prior)
• Richmond Fed Services, Revenues for Aug 2021 (FED, Richmond) at 15.00 (vs 19.00 prior)

US FORWARD RATES

• US Treasury 1-year zero-coupon rate 5 years forward up 6.1 bp, now at 1.7002%
• 1-Year Treasury rates are now expected to increase by 161.8 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 21.0 bp of rate hikes over the next 18 months (equivalent to 0.84 rate hike) and 82.7 bp over the next 3 years (equivalent to 3.31 rate hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 2.86% (up 5.0bp); 2Y at 2.70% (up 3.0bp); 5Y at 2.59% (up 3.7bp); 10Y at 2.30% (up 3.6bp); 30Y at 2.21% (up 2.0bp)
• 6-month spot US CPI swap up 3.9 bp to 3.357%, with a steepening of the forward curve
• US Real Rates: 5Y at -1.7280%, -1.2 bp today; 10Y at -1.0160%, +0.7 bp today; 30Y at -0.2810%, +2.0 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 0.3% at 17.2%
• 3-Month LIBOR-OIS spread down -0.7 bp at 6.0 bp (12-months range: 3.7-22.0 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.731% (up 0.3 bp); the German 1Y-10Y curve is 0.2 bp steeper at 19.0bp (YTD change: +3.0 bp)
• Japan 5Y: -0.119% (up 0.2 bp); the Japanese 1Y-10Y curve is 0.3 bp steeper at 14.7bp (YTD change: +1.1 bp)
• China 5Y: 2.698% (down -0.8 bp); the Chinese 1Y-10Y curve is 0.1 bp steeper at 62.6bp (YTD change: +16.2 bp)
• Switzerland 5Y: -0.664% (up 0.1 bp); the Swiss 1Y-10Y curve is 6.4 bp flatter at 36.1bp (YTD change: +7.7 bp)