QUICK US SUMMARY

• 3-Month USD LIBOR -0.15bp today, now at 0.1223%; 3-Month SOFR OIS unchanged at 0.0520%
• The treasury yield curve flattened, with the 1s10s spread tightening -2.6 bp, now at 141.7 bp (YTD change: +61.3bp)
• 1Y: 0.0990% (unchanged)
• 2Y: 0.3642% (up 0.4 bp)
• 5Y: 1.0533% (down 2.1 bp)
• 7Y: 1.3420% (down 2.6 bp)
• 10Y: 1.5160% (down 2.6 bp)
• 30Y: 2.0202% (down 1.3 bp)
• US treasury curve spreads: 2s5s at 68.9bp (down -2.5bp), 5s10s at 46.3bp (down -0.3bp), 10s30s at 50.4bp (up 1.3bp today)
• Treasuries butterfly spreads: 1s5s10s at -50.1bp (up 1.8bp today), 5s10s30s at 3.7bp (up 1.5bp)
• US 5-Year TIPS Real Yield: -2.8 bp at -1.7170%; 10-Year TIPS Real Yield: -3.6 bp at -1.0170%; 30-Year TIPS Real Yield: -2.0 bp at -0.3390%

US MACRO RELEASES

• Producer Prices, Final demand less foods and energy, Change P/P for Sep 2021 (BLS, U.S Dep. Of Lab) at 0.20 % (vs 0.60 % prior), below consensus estimate of 0.50 %
• Producer Prices, Final demand less foods and energy, Change Y/Y for Sep 2021 (BLS, U.S Dep. Of Lab) at 6.80 % (vs 6.70 % prior), below consensus estimate of 7.10 %
• PPI ex Food/Energy/Trade MM, Change P/P for Sep 2021 (BLS, U.S Dep. Of Lab) at 0.10 % (vs 0.30 % prior)
• PPI ex Food/Energy/Trade YY, Change Y/Y, Price Index for Sep 2021 (BLS, U.S Dep. Of Lab) at 5.90 % (vs 6.30 % prior)
• Producer Prices, Final demand, Change P/P for Sep 2021 (BLS, U.S Dep. Of Lab) at 0.50 % (vs 0.70 % prior), below consensus estimate of 0.60 %
• Jobless Claims, National, Initial, four week moving average for W 09 Oct (U.S. Dept. of Labor) at 334.25 k (vs 344.00 k prior)
• Jobless Claims, National, Initial for W 09 Oct (U.S. Dept. of Labor) at 293.00 k (vs 326.00 k prior), below consensus estimate of 319.00 k
• Producer Prices, Final demand, Change Y/Y for Sep 2021 (BLS, U.S Dep. Of Lab) at 8.60 % (vs 8.30 % prior), below consensus estimate of 8.70 %
• Jobless Claims, National, Continued for W 02 Oct (U.S. Dept. of Labor) at 2.59 Mln (vs 2.71 Mln prior), below consensus estimate of 2.68 Mln

US FORWARD RATES

• 3-month Eurodollar futures (EDU2) price in 30.0 bp of Fed hikes by the end of 2022
• 1-month USD LIBOR FRAs imply 36.9 bp hike by the end of 2022, meaning that the FRA market expects 1.5 full hike by then
• The 3-month USD OIS forward curve prices in 116.1 bp over the next 3 years (equivalent to 4.64 rate hikes)
• The 3-month Eurodollar zero curve prices in 138.7 bp over the next 3 years (equivalent to 5.55 rate hikes)
• 1-year US Treasury rate 5 years forward down 3.8 bp, now at 2.0166%, meaning that the 1-year Treasury rate is now expected to increase by 189.4 bp over the next 5 years (equivalent to 7.6 rate hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 3.50% (up 4.2bp); 2Y at 3.15% (up 5.6bp); 5Y at 2.81% (up 0.8bp); 10Y at 2.51% (up 1.0bp); 30Y at 2.37% (up 0.7bp)
• 6-month spot US CPI swap down -4.0 bp to 3.665%, with a flattening of the forward curve
• US Real Rates: 5Y at -1.7170%, -2.8 bp today; 10Y at -1.0170%, -3.6 bp today; 30Y at -0.3390%, -2.0 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) down -0.9% at 18.7%
• 3-Month LIBOR-OIS spread up 0.8 bp at 6.6 bp (12-months range: 3.7-22.0 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.539% (down -5.1 bp); the German 1Y-10Y curve is 5.2 bp flatter at 48.9bp (YTD change: +34.4 bp)
• Japan 5Y: -0.072% (down -0.1 bp); the Japanese 1Y-10Y curve is 1.1 bp flatter at 19.8bp (YTD change: +5.4 bp)
• China 5Y: 2.805% (up 0.2 bp); the Chinese 1Y-10Y curve is 0.2 bp flatter at 66.5bp (YTD change: +20.1 bp)
• Switzerland 5Y: -0.468% (down -2.5 bp); the Swiss 1Y-10Y curve is 5.3 bp steeper at 62.4bp (YTD change: +37.9 bp)