QUICK US SUMMARY

• 3-Month USD LIBOR +0.50bp today, now at 0.1950%; 3-Month OIS +0.1bp at 0.0845%
• The treasury yield curve steepened, with the 1s10s spread widening 1.6 bp, now at 120.3 bp (YTD change: +39.8bp)
• 1Y: 0.2790% (up 3.3 bp)
• 2Y: 0.6932% (up 6.2 bp)
• 5Y: 1.2597% (up 5.5 bp)
• 7Y: 1.4303% (up 5.2 bp)
• 10Y: 1.4819% (up 4.9 bp)
• 30Y: 1.8092% (up 3.9 bp)
• US treasury curve spreads: 2s5s at 56.7bp (down -1.0bp), 5s10s at 22.2bp (down -1.1bp), 10s30s at 32.8bp (down -0.7bp)
• Treasuries butterfly spreads: 1s5s10s at -74.5bp (down -3.3bp), 5s10s30s at 10.5bp (up 0.4bp)
• US 5-Year TIPS Real Yield: -2.9 bp at -1.6010%; 10-Year TIPS Real Yield: -1.7 bp at -1.0410%; 30-Year TIPS Real Yield: +0.2 bp at -0.4870%

US MACRO RELEASES

• Chain Store Sales, Johnson Redbook Index, yoy% index, Change Y/Y for W 04 Dec (Redbook Research) at 15.30 % (vs 21.90 % prior)
• Consumer credit, total, Absolute change for Oct 2021 (FED, U.S.) at 16.90 Bln USD (vs 29.91 Bln USD prior), below consensus estimate of 25.00 Bln USD
• Labor Cost, Unit, business, nonfarm, Change P/P for Q3 2021 (BLS, U.S Dep. Of Lab) at 9.60 % (vs 8.30 % prior), above consensus estimate of 8.30 %
• Labor Productivity, Output per hour of all persons, nonfarm business for Q3 2021 (BLS, U.S Dep. Of Lab) at -5.20 % (vs -5.00 % prior), below consensus estimate of -4.90 %
• Trade Balance, Total, Goods and services for Oct 2021 (U.S. Census Bureau) at -67.10 Bln USD (vs -80.90 Bln USD prior), below consensus estimate of -66.80 Bln USD

$ 53.8 BN 3-YEAR 1% COUPON US TREASURY NOTE (91282CDN8)

• Mixed results, with decent pricing but below-average end-user demand (at 70.2% vs 72.1% average)
• Priced at par to yield 1%, a small 0.3bp stop-through vs the when-issued at the bid deadline
• Bid-to-cover ratio at 2.43 (vs 2.42 average)
• Indirects at 52.1% (vs 54.2% prior and 53.6% average)
• Directs at 18.01% (vs 18.3% prior and 18.05% average)
• Dealers at 29.81% (vs 27.6% prior and 27.9% average)

US FORWARD RATES

• 1-month USD OIS 12-months forward now prices in 67bp of Fed hikes, equivalent to 2 and 2/3 hikes
• The 3-month USD OIS forward curve prices in 72.1 bp of rate hikes over the next 15 months (equivalent to 2.88 rate hikes) and 142.4 bp over the next 3 years (equivalent to 5.70 rate hikes)
• 1-year US Treasury rate 5 years forward up 3.9 bp, now at 1.7740%, meaning that the 1-year Treasury rate is now expected to increase by 141.5 bp over the next 5 years (equivalent to 5.7 rate hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 5.35% (up 13.3bp); 2Y at 3.85% (up 11.3bp); 5Y at 2.86% (up 8.0bp); 10Y at 2.49% (up 6.3bp); 30Y at 2.31% (up 3.9bp)
• 6-month spot US CPI swap up 7.1 bp to 4.312%, with a steepening of the forward curve
• US Real Rates: 5Y at -1.6010%, -2.9 bp today; 10Y at -1.0410%, -1.7 bp today; 30Y at -0.4870%, +0.2 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) up 2.5% at 67.1%
• 3-Month LIBOR-OIS spread up 0.4 bp at 11.1 bp (12-months range: 2.4-17.1 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.597% (up 1.8 bp); the German 1Y-10Y curve is 1.2 bp steeper at 36.2bp (YTD change: +20.2 bp)
• Japan 5Y: -0.090% (up 1.0 bp); the Japanese 1Y-10Y curve is 1.4 bp steeper at 17.2bp (YTD change: +2.7 bp)
• China 5Y: 2.717% (up 3.5 bp); the Chinese 1Y-10Y curve is 0.6 bp steeper at 58.6bp (YTD change: +12.2 bp)
• Switzerland 5Y: -0.536% (down -1.0 bp); the Swiss 1Y-10Y curve is 3.3 bp steeper at 46.0bp (YTD change: +16.6 bp)