QUICK US SUMMARY

• 3-Month USD LIBOR +0.2bp today, now at 0.1200%
• The treasury yield curve steepened, with the 1s10s spread widening 2.3 bp, now at 123.3 bp (YTD change: +42.8bp)
• 1Y: 0.0710% (down 0.3 bp)
• 2Y: 0.2131% (up 0.4 bp)
• 5Y: 0.7999% (up 1.5 bp)
• 7Y: 1.0946% (up 1.9 bp)
• 10Y: 1.3039% (up 2.0 bp)
• 30Y: 1.8639% (up 0.5 bp)
• US treasury curve spreads: 2s5s at 58.6bp (up 0.9bp today), 5s10s at 50.5bp (up 0.6bp today), 10s30s at 56.0bp (down -1.6bp)
• Treasuries butterfly spreads: 2s5s10s at -8.7bp (down -0.5bp), 5s10s30s at 5.3bp (down -2.2bp)
• US 5-Year TIPS Real Yield: -1.9 bp at -1.7970%; 10-Year TIPS Real Yield: +0.3 bp at -1.0430%; 30-Year TIPS Real Yield: +0.2 bp at -0.3540%

US MACRO RELEASES

• Capacity Utilization, Total index, Change M/M for Aug 2021 (FED, U.S.) at 76.40 % (vs 76.10 % prior), in line with consensus estimate
• Export Prices, All commodities, Change P/P, Price Index for Aug 2021 (BLS, U.S Dep. Of Lab) at 0.40 % (vs 1.30 % prior), in line with consensus estimate
• Import Prices, All commodities, Change P/P, Price Index for Aug 2021 (BLS, U.S Dep. Of Lab) at -0.30 % (vs 0.30 % prior), below consensus estimate of 0.30 %
• MBA Mortgage Applications Survey composite index, weekly percentage change, Change P/P for W 10 Sep (MBA, USA) at 0.30 % (vs -1.90 % prior)
• Mortgage applications, market composite index for W 10 Sep (MBA, USA) at 707.90 (vs 705.60 prior)
• Mortgage applications, market composite index, purchase for W 10 Sep (MBA, USA) at 277.90 (vs 258.40 prior)
• Mortgage applications, market composite index, refinancing for W 10 Sep (MBA, USA) at 3,185.60 (vs 3,292.10 prior)
• Mortgage Lending Rates, FRM 30-Year Contract Rate (MBA Sourced) for W 10 Sep (MBA, USA) at 3.03 % (vs 3.03 % prior)
• New York Fed, General Business Condition for Sep 2021 (FED, NY) at 34.30 (vs 18.30 prior), above consensus estimate of 18.00
• Production, Change P/P for Aug 2021 (FED, U.S.) at 0.40 % (vs 0.90 % prior), in line with consensus estimate
• Production, Manufacturing, Total (SIC), Change P/P for Aug 2021 (FED, U.S.) at 0.20 % (vs 1.40 % prior), below consensus estimate of 0.40 %

US FORWARD RATES

• US Treasury 1-year zero-coupon rate 5 years forward up 3.3 bp, now at 1.7383%
• 1-Year Treasury rates are now expected to increase by 166bp over the next 5 years (down from 250bp earlier this year)
• 3-month Eurodollar futures expected hike of 14.7 bp by the end of 2022 (meaning the market prices 58.8% chance of a 25bp hike by end of 2022)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 3.08% (up 5.2bp); 2Y at 2.83% (up 4.6bp); 5Y at 2.65% (up 3.4bp); 10Y at 2.33% (up 1.7bp); 30Y at 2.23% (up 0.3bp)
• US Real Rates: 5Y at -1.7970%, -1.9 bp today; 10Y at -1.0430%, +0.3 bp today; 30Y at -0.3540%, +0.2 bp today

• The inflation swap curve is much flatter than it was back in June (see chart below), with longer-term expectations rising while they fell at the short end

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 0.5% at 13.4%
• 3-Month LIBOR-OIS spread up 1.0 bp at 6.0 bp (12-months range: 3.7-22.0 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.626% (up 1.7 bp); the German 1Y-10Y curve is 3.3 bp steeper at 36.5bp (YTD change: +21.4 bp)
• Japan 5Y: -0.104% (down -0.5 bp); the Japanese 1Y-10Y curve is 0.6 bp flatter at 14.8bp (YTD change: +0.8 bp)
• China 5Y: 2.735% (up 0.5 bp); the Chinese 1Y-10Y curve is unchanged at 57.2bp (YTD change: +10.8 bp)
• Switzerland 5Y: -0.578% (down -0.7 bp); the Swiss 1Y-10Y curve is 3.2 bp steeper at 45.0bp (YTD change: +21.6 bp)