QUICK US SUMMARY

• 3-Month USD LIBOR +0.10bp today, now at 0.1249%; 3-Month OIS unchanged today, now at 0.0740%
• The treasury yield curve flattened, with the 1s10s spread tightening -5.6 bp, now at 153.1 bp (YTD change: +72.6bp)
• 1Y: 0.1070% (down 0.3 bp)
• 2Y: 0.4595% (up 0.7 bp)
• 5Y: 1.2006% (down 3.4 bp)
• 7Y: 1.4796% (down 5.1 bp)
• 10Y: 1.6377% (down 5.8 bp)
• 30Y: 2.0712% (down 7.3 bp)
• US treasury curve spreads: 2s5s at 74.1bp (down -4.1bp), 5s10s at 43.7bp (down -2.4bp), 10s30s at 43.4bp (down -1.4bp)
• Treasuries butterfly spreads: 1s5s10s at -65.6bp (up 1.5bp today), 5s10s30s at -0.7bp (up 1.5bp)
• US 5-Year TIPS Real Yield: +3.3 bp at -1.6920%; 10-Year TIPS Real Yield: -4.9 bp at -0.9950%; 30-Year TIPS Real Yield: -6.1 bp at -0.3270%

US MACRO RELEASES

• PMI, Services Sector, Business Activity, Flash for Oct 2021 (Markit Economics) at 58.20 (vs 54.90 prior), above consensus estimate of 55.10
• PMI, Manufacturing Sector, Total, Flash for Oct 2021 (Markit Economics) at 59.20 (vs 60.70 prior), below consensus estimate of 60.30
• PMI, Composite, Output, Flash for Oct 2021 (Markit Economics) at 57.30 (vs 55.00 prior)
• Federal Budget, Current Prices for Sep 2021 (Fiscal Service, USA) at -62.00 Bln USD (vs -171.00 Bln USD prior), below consensus estimate of -60.00 Bln USD

WEEKLY NET DURATION POSITIONING DATA

• Specs net short duration dropped slightly, mostly by closing the long position they held in TY. Largest position by far is still net short WN (Ultra 10Y)
• Leveraged funds increased their net long duration in Eurodollars, building a bet on a steepening of the yield curve, with their largest position largely unchanged (net short WN)

US FORWARD RATES

• 3-month Eurodollar future (EDU2) expected hike of 43.5 bp by the end of 2022 (equivalent to 1.7 hikes by end of 2022), up 0.9 bp today
• The 3-month USD OIS forward curve prices in 134.3 bp over the next 3 years (equivalent to 5.37 rate hikes)
• The 3-month Eurodollar zero curve prices in 157.3 bp over the next 3 years (equivalent to 6.29 rate hikes)
• 1-year US Treasury rate 5 years forward down 9.0 bp, now at 2.1354%, meaning that the 1-year Treasury rate is now expected to increase by 198.1 bp over the next 5 years (equivalent to 7.9 rate hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 3.98% (up 10.1bp); 2Y at 3.37% (up 3.3bp); 5Y at 2.98% (down -0.8bp); 10Y at 2.61% (down -0.7bp); 30Y at 2.41% (down -1.1bp)
• 6-month spot US CPI swap down -3.5 bp to 3.712%, with a flattening of the forward curve
• US Real Rates: 5Y at -1.6920%, +3.3 bp today; 10Y at -0.9950%, -4.9 bp today; 30Y at -0.3270%, -6.1 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 3.1% at 38.3%
• 3-Month LIBOR-OIS spread up 0.1 bp at 5.1 bp (12-months range: 2.7-17.5 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.423% (up 1.3 bp); the German 1Y-10Y curve is 0.5 bp steeper at 51.9bp (YTD change: +37.7 bp)
• Japan 5Y: -0.057% (up 0.8 bp); the Japanese 1Y-10Y curve is 0.2 bp flatter at 20.4bp (YTD change: +5.8 bp)
• China 5Y: 2.843% (up 1.4 bp); the Chinese 1Y-10Y curve is 1.9 bp steeper at 69.5bp (YTD change: +23.1 bp)
• Switzerland 5Y: -0.366% (up 1.5 bp); the Swiss 1Y-10Y curve is 2.3 bp steeper at 64.5bp (YTD change: +38.1 bp)