QUICK US SUMMARY

• 3-Month USD LIBOR -0.1bp today, now at 0.1309%
• The treasury yield curve flattened, with the 1s10s spread tightening -2.0 bp, now at 144.3 bp (YTD change: +63.8bp)
• 1Y: 0.0810% (down 0.3 bp)
• 2Y: 0.2931% (down 1.2 bp)
• 5Y: 0.9954% (down 2.9 bp)
• 7Y: 1.3274% (down 1.3 bp)
• 10Y: 1.5236% (down 2.3 bp)
• 30Y: 2.0689% (down 2.7 bp)
• US treasury curve spreads: 2s5s at 70.3bp (down -1.7bp), 5s10s at 52.8bp (up 0.6bp today), 10s30s at 54.5bp (down -0.5bp)
• Treasuries butterfly spreads: 2s5s10s at -17.8bp (up 2.4bp today), 5s10s30s at 1.7bp (down -0.8bp)
• US 5-Year TIPS Real Yield: -0.7 bp at -1.6150%; 10-Year TIPS Real Yield: -0.3 bp at -0.8490%; 30-Year TIPS Real Yield: -1.0 bp at -0.1930%

US MACRO RELEASES

• Mortgage applications, market composite index, refinancing for W 24 Sep (MBA, USA) at 3,359.50 (vs 3,391.10 prior)
• Mortgage Lending Rates, FRM 30-Year Contract Rate (MBA Sourced) for W 24 Sep (MBA, USA) at 3.10 % (vs 3.03 % prior)
• Mortgage applications, market composite index, purchase for W 24 Sep (MBA, USA) at 280.40 (vs 283.90 prior)
• MBA Mortgage Applications Survey composite index, weekly percentage change, Change P/P for W 24 Sep (MBA, USA) at -1.10 % (vs 4.90 % prior)
• Mortgage applications, market composite index for W 24 Sep (MBA, USA) at 734.90 (vs 742.70 prior)
• Pending Home Sales, United States, Change P/P for Aug 2021 (NAR, United States) at 8.10 % (vs -1.80 % prior), above consensus estimate of 1.40 %
• Pending Home Sales, United States for Aug 2021 (NAR, United States) at 119.50 (vs 110.70 prior)

US FORWARD RATES

• 3-month Eurodollar future (EDU2) expected hike of 19.2 bp by the end of 2022 (meaning the market prices 76.8% chance of a 25bp hike by end of 2022)
• The 3-month USD OIS forward curve prices in 104.1 bp over the next 3 years (equivalent to 4.16 rate hikes)
• The 3-month Eurodollar zero curve prices in 129.5 bp over the next 3 years (equivalent to 5.18 rate hikes)
• 1-year US Treasury rate 5 years forward down 1.8 bp, now at 2.0849%, meaning that the 1-year Treasury rate is now expected to increase by 198.7 bp over the next 5 years (equivalent to 7.9 rate hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 3.02% (up 1.7bp); 2Y at 2.79% (up 0.8bp); 5Y at 2.65% (down -2.3bp); 10Y at 2.35% (down -2.0bp); 30Y at 2.27% (down -1.7bp)
• 6-month spot US CPI swap up 21.7 bp to 3.399%, with a steepening of the forward curve
• US Real Rates: 5Y at -1.6150%, -0.7 bp today; 10Y at -0.8490%, -0.3 bp today; 30Y at -0.1930%, -1.0 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) down -0.3% at 16.7%
• 3-Month LIBOR-OIS spread down -1.7 bp at 6.1 bp (12-months range: 3.7-22.0 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.556% (down -1.2 bp); the German 1Y-10Y curve is 3.8 bp steeper at 46.7bp (YTD change: +30.7 bp)
• Japan 5Y: -0.072% (down -0.1 bp); the Japanese 1Y-10Y curve is 0.8 bp flatter at 18.3bp (YTD change: +4.3 bp)
• China 5Y: 2.708% (unchanged); the Chinese 1Y-10Y curve is 0.4 bp steeper at 54.3bp (YTD change: +7.9 bp)
• Switzerland 5Y: -0.522% (down -3.3 bp); the Swiss 1Y-10Y curve is 2.9 bp flatter at 50.1bp (YTD change: +25.7 bp)