Slight Rise In Yields Across The Curve Despite Disappointing Macro Data

The US breakeven inflation curve is flatter, with short-term inflation expectations falling today, leader to higher real yields

Published Sep 1, 2021 12:15 AM ET

US Treasury Curve Spreads | Sources: ϕpost, Refinitiv data

3-Month USD LIBOR at 0.1196%
The treasury yield curve steepened, with the 1s10s spread widening 2.4 bp, now at 124.1 bp (YTD change: +43.7bp)
1Y: 0.0660% (up 0.2 bp)
2Y: 0.2113% (up 0.8 bp)
5Y: 0.7755% (up 0.8 bp)
7Y: 1.0855% (up 2.1 bp)
10Y: 1.3071% (up 2.7 bp)
30Y: 1.9276% (up 3.3 bp)
US treasury curve spreads: 2s5s at 56.4bp (unchanged , 5s10s at 53.2bp (up 2.1bp today), 10s30s at 62.1bp (up 0.6bp today)
Treasuries butterfly spreads: 2s5s10s at -3.6bp (up 2.1bp today), 5s10s30s at 9.0bp (down -1.1bp)
US 5-Year TIPS Real Yield: +5.3 bp at -1.7680%; 10-Year TIPS Real Yield: +6.0 bp at -1.0260%; 30-Year TIPS Real Yield: +4.8 bp at -0.2970%

Chain Store Sales, Johnson Redbook Index, yoy% index, Change Y/Y for W 28 Aug (Redbook Research) at 18.60 % (vs 16.60 % prior)
Chicago PMI, Total Business Barometer for Aug 2021 (MNI Indicators) at 66.80 (vs 73.40 prior), below consensus estimate of 68.00
Conference Board, Consumer confidence for Aug 2021 (The Conference Board) at 113.80 (vs 129.10 prior), below consensus estimate of 124.00
Dallas Fed, General Business Activity for Aug 2021 (Fed Reserve, Dallas) at 5.40 (vs 33.30 prior)
Dallas Fed, Revenue (Sales for TROS) for Aug 2021 (Fed Reserve, Dallas) at 16.50 (vs 21.70 prior)
House Prices, FHFA, USA (Purchase-Only) for Jun 2021 (OFHEO, United States) at 343.30 (vs 337.40 prior)
House Prices, FHFA, USA (Purchase-Only), Change P/P for Jun 2021 (OFHEO, United States) at 1.60 % (vs 1.70 % prior)
House Prices, FHFA, USA (Purchase-Only), Change Y/Y for Jun 2021 (OFHEO, United States) at 18.80 % (vs 18.00 % prior)
House Prices, S&P Case-Shiller, Composite-20, Change P/P for Jun 2021 (Standard & Poor's) at 1.80 % (vs 1.80 % prior), in line with consensus estimate
House Prices, S&P Case-Shiller, Composite-20, Change P/P, Price Index for Jun 2021 (Standard & Poor's) at 2.00 % (vs 2.10 % prior)
House Prices, S&P Case-Shiller, Composite-20, Change Y/Y, Price Index for Jun 2021 (Standard & Poor's) at 19.10 % (vs 17.00 % prior), above consensus estimate of 18.50 %

US Treasury 1-year zero-coupon rate 5 years forward up 4.4 bp, now at 1.7487%
1-Year Treasury rates are now expected to increase by 166.9 bp over the next 5 years
3-month Eurodollar futures expected hike of 16.0 bp by the end of 2022 (meaning the market prices 64.0% chance of a 25bp hike by end of 2022)
The 3-month USD OIS forward curve prices in 18.9 bp of rate hikes over the next 18 months (equivalent to 0.76 rate hike) and 81.0 bp over the next 3 years (equivalent to 3.24 rate hikes)

TIPS 1Y breakeven inflation at 2.98% (down -6.7bp); 2Y at 2.76% (down -6.6bp); 5Y at 2.61% (down -4.0bp); 10Y at 2.32% (down -3.0bp); 30Y at 2.24% (down -1.6bp)
6-month spot US CPI swap down -5.8 bp to 4.100%, with a flattening of the forward curve
US Real Rates: 5Y at -1.7680%, +5.3 bp today; 10Y at -1.0260%, +6.0 bp today; 30Y at -0.2970%, +4.8 bp today

USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) down -0.1% at 14.7%
3-Month LIBOR-OIS spread down 0.0 bp at 5.3 bp (12-months range: 3.7-22.0 bp)

Germany 5Y: -0.676% (up 3.9 bp); the German 1Y-10Y curve is 6.4 bp steeper at 29.1bp (YTD change: +14.0 bp)
Japan 5Y: -0.115% (down -0.1 bp); the Japanese 1Y-10Y curve is 0.1 bp flatter at 15.3bp (YTD change: +0.8 bp)
China 5Y: 2.672% (down -0.6 bp); the Chinese 1Y-10Y curve is 0.8 bp steeper at 60.9bp (YTD change: +14.5 bp)
Switzerland 5Y: -0.625% (up 1.9 bp); the Swiss 1Y-10Y curve is 1.5 bp flatter at 46.5bp (YTD change: +15.1 bp)