QUICK US SUMMARY

• 3-Month USD LIBOR +0.45bp today, now at 0.2050%; 3-Month OIS unchanged at 0.0855%
• The treasury yield curve flattened, with the 1s10s spread tightening -1.3 bp, now at 123.3 bp (YTD change: +42.9bp)
• 1Y: 0.2640% (down 1.8 bp)
• 2Y: 0.6917% (up 0.6 bp)
• 5Y: 1.2679% (down 1.3 bp)
• 7Y: 1.4338% (down 2.8 bp)
• 10Y: 1.4973% (down 3.1 bp)
• 30Y: 1.8750% (down 1.9 bp)
• US treasury curve spreads: 2s5s at 57.1bp (down -1.4bp), 5s10s at 22.3bp (down -1.7bp), 10s30s at 37.8bp (up 0.6bp today)
• Treasuries butterfly spreads: 1s5s10s at -78.4bp (down -2.0bp), 5s10s30s at 14.2bp (up 2.4bp)
• US 5-Year TIPS Real Yield: +8.3 bp at -1.5380%; 10-Year TIPS Real Yield: +3.2 bp at -1.0070%; 30-Year TIPS Real Yield: +2.7 bp at -0.4040%

US$ 22BN 1.875% COUPON 30-YEAR BOND AUCTION (912810TB4)

• Dismal results despite a reduced size, with terrible pricing and below average end-user demand at 79.3% (vs 74.8% prior and 81.7% average)
• High yield at 1.895% (vs 1.940% prior), a huge 3.2 bp tail versus the when issued at the bid deadline
• Direct bids at 18.5% (vs 15.8% prior and 18.3% average)
• Indirect bids at 60.8% (vs 59.0% prior and 63.4% average)
• Bid-to-cover: 2.22 (vs 2.20 prior and 2.32 average)

US MACRO RELEASES

• Jobless Claims, National, Continued for W 27 Nov (U.S. Dept. of Labor) at 1.99 Mln (vs 1.96 Mln prior), above consensus estimate of 1.90 Mln
• Jobless Claims, National, Initial for W 04 Dec (U.S. Dept. of Labor) at 184.00 k (vs 222.00 k prior), below consensus estimate of 215.00 k
• Jobless Claims, National, Initial, four week moving average for W 04 Dec (U.S. Dept. of Labor) at 218.75 k (vs 238.75 k prior)
• Wholesale Inventories, Change P/P for Oct 2021 (U.S. Census Bureau) at 2.30 % (vs 2.20 % prior), above consensus estimate of 2.20 %
• Wholesale Trade, Change P/P for Oct 2021 (U.S. Census Bureau) at 2.20 % (vs 1.10 % prior), above consensus estimate of 1.00 %

US FORWARD RATES

• 1-month USD OIS 12-months forward now prices in 69.5 bp of Fed hikes (equivalent to 2.8 hikes), while Fed Funds Futures (FFZ2) price in 64 bp (2.6 hikes)
• The 3-month USD OIS forward curve prices in 72.7 bp of rate hikes over the next 15 months (equivalent to 2.91 rate hikes) and 142.4 bp over the next 3 years (equivalent to 5.69 rate hikes)
• 1-year US Treasury rate 5 years forward down 6.6 bp, now at 1.7658%, meaning that the 1-year Treasury rate is now expected to increase by 140.5 bp over the next 5 years (equivalent to 5.6 rate hikes)

US INFLATION & REAL RATES

• TIPS 1Y breakeven inflation at 5.27% (down -13.7bp); 2Y at 3.76% (down -12.1bp); 5Y at 2.80% (down -10.3bp); 10Y at 2.46% (down -7.8bp); 30Y at 2.28% (down -5.7bp)
• 6-month spot US CPI swap down -9.4 bp to 4.262%, with a flattening of the forward curve
• US Real Rates: 5Y at -1.5380%, +8.3 bp today; 10Y at -1.0070%, +3.2 bp today; 30Y at -0.4040%, +2.7 bp today

RATES VOLATILITY & LIQUIDITY

• USD swap rate implied volatility (USD 1 Month by 1 Year ATM Swaption) down -0.7% at 59.7%
• 3-Month LIBOR-OIS spread up 0.5 bp at 12.0 bp (12-months range: 2.6-17.4 bp)

KEY INTERNATIONAL RATES

• Germany 5Y: -0.594% (down -4.3 bp); the German 1Y-10Y curve is 4.2 bp flatter at 38.2bp (YTD change: +22.6 bp)
• Japan 5Y: -0.090% (up 0.5 bp); the Japanese 1Y-10Y curve is unchanged at 15.2bp (YTD change: +1.8 bp)
• China 5Y: 2.714% (down -0.9 bp); the Chinese 1Y-10Y curve is 2.3 bp flatter at 55.6bp (YTD change: +10.1 bp)
• Switzerland 5Y: -0.527% (down -3.2 bp); the Swiss 1Y-10Y curve is 5.2 bp flatter at 46.0bp (YTD change: +15.6 bp)