QUICK US SUMMARY

• 3-Month USD LIBOR -0.1bp today, now at 0.1301%
• The treasury yield curve flattened, with the 1s10s spread tightening -3.1 bp, now at 141.4 bp (YTD change: +60.9bp)
• 1Y: 0.0790% (unchanged)
• 2Y: 0.2814% (down 1.2 bp)
• 5Y: 0.9713% (down 2.4 bp)
• 7Y: 1.2945% (down 3.3 bp)
• 10Y: 1.4925% (down 3.1 bp)
• 30Y: 2.0498% (down 1.9 bp)
• US treasury curve spreads: 2s5s at 69.0bp (down -1.2bp), 5s10s at 52.1bp (down -0.7bp), 10s30s at 55.8bp (up 1.3bp today)
• Treasuries butterfly spreads: 2s5s10s at -17.2bp (up 0.5bp today), 5s10s30s at 3.2bp (up 1.5bp)
• US 5-Year TIPS Real Yield: -0.5 bp at -1.6200%; 10-Year TIPS Real Yield: -3.2 bp at -0.8810%; 30-Year TIPS Real Yield: -3.1 bp at -0.2240%

US MACRO RELEASES

• Personal Consumption Expenditure, Profits after tax total-final, Change P/P for Q2 2021 (BEA, US Dept. Of Com) at 12.00 % (vs 11.90 % prior)
• Total-final, Change P/P for Q2 2021 (BEA, US Dept. Of Com) at 8.10 % (vs 7.90 % prior)
• Implicit Price Deflator, GDP, Total-final, Change P/P for Q2 2021 (BEA, US Dept. Of Com) at 6.20 % (vs 6.20 % prior), above consensus estimate of 6.10 %
• Personal Consumption Expenditure, Total-final, Change P/P for Q2 2021 (BEA, US Dept. Of Com) at 6.50 % (vs 6.50 % prior)
• Personal Consumption Expenditure, Total-final, Change P/P for Q2 2021 (BEA, US Dept. Of Com) at 6.10 % (vs 6.10 % prior), in line with Reuters consensus
• Jobless Claims, National, Initial, four week moving average for W 25 Sep (U.S. Dept. of Labor) at 340.00 k (vs 335.75 k prior)
• Jobless Claims, National, Initial for W 25 Sep (U.S. Dept. of Labor) at 362.00 k (vs 351.00 k prior), above consensus estimate of 335.00 k
• Jobless Claims, National, Continued for W 18 Sep (U.S. Dept. of Labor) at 2.80 Mln (vs 2.85 Mln prior), in line with Reuters consensus
• GDP, Total-final (Unrevised), Change P/P for Q2 2021 (BEA, US Dept. Of Com) at 6.70 % (vs 6.60 % prior), above consensus estimate of 6.60 %
• Corporate Profits, With IVA and CCAdj, Profits after tax total, Change P/P for Q2 2021 (BEA, US Dept. Of Com) at 10.50 % (vs 9.70 % prior)
• Chicago PMI, Total Business Barometer for Sep 2021 (MNI Indicators) at 64.70 (vs 66.80 prior), just below consensus estimate of 65.00

US FORWARD RATES

• 3-month Eurodollar future (EDU2) expected hike of 18.2 bp by the end of 2022 (meaning the market prices 72.8% chance of a 25bp hike by end of 2022)
• The 3-month USD OIS forward curve prices in 103.1 bp over the next 3 years (equivalent to 4.12 rate hikes)
• The 3-month Eurodollar zero curve prices in 126.4 bp over the next 3 years (equivalent to 5.06 rate hikes)
• 1-year US Treasury rate 5 years forward down 5.0 bp, now at 2.0347%, meaning that the 1-year Treasury rate is now expected to increase by 193.7 bp over the next 5 years (equivalent to 7.7 rate hikes), still 30bp higher than last week

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 3.01% (down -1.4bp); 2Y at 2.78% (down -0.7bp); 5Y at 2.63% (down -1.8bp); 10Y at 2.36% (up 0.2bp); 30Y at 2.28% (up 1.1bp)
• 6-month spot US CPI swap down -0.9 bp to 3.391%, with a steepening of the forward curve
• US Real Rates: 5Y at -1.6200%, -0.5 bp today; 10Y at -0.8810%, -3.2 bp today; 30Y at -0.2240%, -3.1 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) down -0.2% at 16.5%
• 3-Month LIBOR-OIS spread up 0.3 bp at 6.4 bp (12-months range: 3.7-22.0 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.562% (up 0.8 bp); the German 1Y-10Y curve is 2.3 bp steeper at 47.0bp (YTD change: +33.0 bp)
• Japan 5Y: -0.088% (up 0.1 bp); the Japanese 1Y-10Y curve is unchanged at 18.8bp (YTD change: +4.3 bp)
• China 5Y: 2.697% (down -1.1 bp); the Chinese 1Y-10Y curve is 3.6 bp steeper at 57.9bp (YTD change: +11.5 bp)
• Switzerland 5Y: -0.491% (up 3.1 bp); the Swiss 1Y-10Y curve is 5.9 bp steeper at 55.0bp (YTD change: +31.6 bp)