Morgan Stanley Fixed-Global Macro Data US Liquid Rates Tracker-110668526

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 7, 2024 09:04 AM GMTUS Interest Rates Strategy - ResearchUS Interest Rates Market SummaryMaturityYTM (%)1w Chg (bp)MaturityYTM (%)1w Chg (bp)MaturitySpread (bp)1w Chg (bp)2y3.93131.02y3.73137.52y-20.06.53y3.84030.03y3.59235.03y-24.85.05y3.81325.65y3.49730.35y-31.64.77y3.87822.07y3.48426.27y-39.44.210y3.98019.210y3.51022.510y-47.03.330y4.26714.630y3.44215.730y-82.51.22s/3s-(bp) 9.1-1.02s/3s-(bp) 13.9-2.52s/3s-4.8-1.43s/5s-2.7-4.43s/5s-9.5-4.73s/5s-6.8-0.45s/7s6.5-3.65s/7s-1.3-4.15s/7s-7.8-0.57s/10s10.2-2.97s/10s2.6-3.77s/10s-7.6-0.910s/30s28.7-4.610s/30s-6.8-6.710s/30s-35.5-2.12s/3s/5s-6.43.32s/3s/5s-4.42.32s/3s/5s2.0-1.12s/5s/10s-28.41.02s/5s/10s-24.70.62s/5s/10s3.7-0.45s/7s/10s-3.7-0.75s/7s/10s-3.9-0.45s/7s/10s-0.20.45s/10s/30s-12.0-1.85s/10s/30s8.1-1.15s/10s/30s20.10.7Spread toCouponLIBOR OAS1w Chg (bp)SwapSpread (32nds)1w ChgMaturityUST (bp)1w Chg (bp)FNMA 3.5603GN/FN 3.50-28+0-016 2y FNMA7.55.9FNMA 4.0653GN/FN 4.00-28+-0-002 2y FHLMC17.0-24.4FNMA 4.5603GN/FN 4.50-18+0-070 3y FNMA-14.8-23.3FNMA 5.0556GN/FN 5.00-16+0-12+ 3y FHLMC26.1-23.4 5y FNMA-1.6-21.110y FHLMC-13.7-14.5CouponPrice1w PerfSwapSpread (32nds)1w ChgFNMA 3.591-24+-1-212FG/FN 3.50-0000-000FNMA 4.094-226-1-192FG/FN 4.00-0000-000FNMA 4.597-040-1-150FG/FN 4.50-0000-000FNMA 5.099-020-1-030FG/FN 5.00-0000-000MaturityRate (%)1w Chg (bp)MaturityNorm Vol (bp)1w Chg (bp)MaturityReal Yield (%)1w Chg (bp)1y x 1y3.3534.93m x 2y114.2-2.5TII7/261.68%21.81y x 2y3.3229.93m x 5y109.80.6TII4/291.66%21.32y x 2y3.3122.83m x 10y100.71.1TII7/341.74%15.22y x 5y3.3717.36m x 2y113.2-0.6TII2/542.04%10.03y x 2y3.3418.46m x 5y107.32.83y x 5y3.4214.56m x 10y100.62.63y x 10y3.5412.51y x 10y99.22.3MaturityBEI (bp)1w Chg (bp)4y x 5y3.4712.42y x 5y101.71.9TII7/26227.6214.45y x 5y3.5311.33y x 10y95.42.0TII4/29217.9611.05y x 10y3.6310.65y x 5y95.81.7TII7/34223.758.010y x 10y3.689.65y x 10y92.31.7TII2/54223.966.910y x 20y3.399.410y x 10y83.51.7MeetingsImplied (bp)1w Chg (bp)Index/SecurityClose1w ChgFF Effective461.8S&P 5005,751.0712.90#N/A458.913.2USD/JPY148.7106.520#N/A428.921.4USD/EUR1.098-0.019#N/A407.433.210y Bund2.21%7.28#N/A387.143.910y JGB0.88%7.50#N/A372.751.510y Gilt4.13%14.42#N/A359.353.85y Bund2.08%10.9520y JGB1.66%-1.005y Gilt4.02%18.46Gold2647.1013.4VIX19.212.3CDX NA IG52.751.51Source: Morgan Stanley ResearchFed MonitorOther Market DataMortgage Performance vs. SwapsGold/Fannie SwapsForward Swap RatesSwaption Implied VolatilityUS TIPS - Real YieldsUS TIPS - Breakeven InflationAs of close: October 4, 2024US TreasuriesUSD SwapsUST Benchmark Swap SpreadUS AgenciesMo