Morgan Stanley Fixed-Global Macro Data US Liquid Rates Tracker-110706625

US Interest Rates StrategyUS Liquid Rates TrackerData PackageContentsPage23111721General Market Summary Treasury SummarySOFR Futures Rolldown ReportSTRIPSTIPSFor important disclosures, refer to the Disclosures Section, located at the end of this report. Source for all charts Morgan Stanley Research unless otherwise indicated.North AmericaMorgan Stanley & Co. LLCEli CarterStrategistEli.Carter@morganstanley.com+1 212 761-4703October 9, 2024 06:20 AM GMTUS Interest Rates Strategy - ResearchUS Interest Rates Market SummaryMaturityYTM (%)1w Chg (bp)MaturityYTM (%)1w Chg (bp)MaturitySpread (bp)1w Chg (bp)2y3.97832.72y3.78137.52y-19.64.83y3.88832.23y3.64637.53y-24.25.35y3.86528.75y3.54733.95y-31.85.27y3.93326.47y3.53831.57y-39.55.010y4.03523.310y3.56829.310y-46.66.030y4.32419.130y3.50424.130y-82.05.02s/3s-(bp) 9.0-0.52s/3s-(bp) 13.50.02s/3s-4.60.53s/5s-2.3-3.53s/5s-9.9-3.63s/5s-7.6-0.15s/7s6.8-2.35s/7s-0.9-2.55s/7s-7.7-0.27s/10s10.2-3.17s/10s3.0-2.17s/10s-7.11.010s/30s28.9-4.310s/30s-6.4-5.210s/30s-35.4-0.92s/3s/5s-6.72.92s/3s/5s-3.63.62s/3s/5s3.00.62s/5s/10s-28.21.42s/5s/10s-25.51.12s/5s/10s2.7-0.45s/7s/10s-3.40.85s/7s/10s-4.0-0.35s/7s/10s-0.6-1.15s/10s/30s-12.0-1.25s/10s/30s8.50.65s/10s/30s20.51.7Spread toCouponLIBOR OAS1w Chg (bp)SwapSpread (32nds)1w ChgMaturityUST (bp)1w Chg (bp)FNMA 3.5GN/FN 3.50-2920-040 2y FNMA7.53.2FNMA 4.0GN/FN 4.00-260-0-010 2y FHLMC37.7-1.2FNMA 4.5GN/FN 4.50-1600-032 3y FNMA4.6-1.4FNMA 5.0GN/FN 5.00-1660-072 3y FHLMC46.7-0.7 5y FNMA12.4-4.010y FHLMC-0.21.2CouponPrice1w PerfSwapSpread (32nds)1w ChgFNMA 3.591-19+-1-250FG/FN 3.50-0000-000FNMA 4.094-19+-1-210FG/FN 4.00-0000-000FNMA 4.597-000-1-16+FG/FN 4.50-0000-000FNMA 5.098-286-1-056FG/FN 5.00-0000-000MaturityRate (%)1w Chg (bp)MaturityNorm Vol (bp)1w Chg (bp)MaturityReal Yield (%)1w Chg (bp)1y x 1y3.4239.43m x 2y118.01.9TII7/261.70%22.41y x 2y3.3935.03m x 5y112.02.9TII4/291.68%24.22y x 2y3.3626.73m x 10y103.64.3TII7/341.77%21.62y x 5y3.4321.66m x 2y115.23.4TII2/542.07%17.73y x 2y3.3920.46m x 5y108.24.13y x 5y3.4718.86m x 10y101.34.03y x 10y3.6017.81y x 10y100.23.9MaturityBEI (bp)1w Chg (bp)4y x 5y3.5317.72y x 5y103.14.1TII7/26230.4312.75y x 5y3.5917.53y x 10y95.93.7TII4/29221.4510.85y x 10y3.7016.95y x 5y96.12.9TII7/34226.607.610y x 10y3.7515.85y x 10y92.62.9TII2/54225.746.410y x 20y3.4514.910y x 10y83.72.6MeetingsImplied (bp)1w Chg (bp)Index/SecurityClose1w ChgFF Effective463.6S&P 5005,751.1342.38#N/A462.213.3USD/JPY148.1904.630#N/A434.521.8USD/EUR1.098-0.009#N/A414.232.510y Bund2.25%21.62#N/A391.838.710y JGB0.92%7.00#N/A376.743.910y Gilt4.20%25.86#N/A362.846.45y Bund2.11%23.5020y JGB1.71%4.005y Gilt4.08%26.97Gold2614.20-25.8VIX21.422.2CDX NA IG52.86-0.58Source: Morgan Stanley ResearchFed MonitorOther Market DataMortgage Performance vs. SwapsGold/Fannie SwapsForward Swap RatesSwaption Implied VolatilityUS TIPS - Real YieldsUS TIPS - Breakeven InflationAs of close: October 8, 2024US TreasuriesUSD SwapsUST Benchmark Swap SpreadUS AgenciesMortgage Pass-Through OAS