QUICK SUMMARY

• The US Dollar Index is down -0.4% at 89.8
• Euro up 0.4% at 1.2226 (YTD: +0.1%)
• Yen up 0.4% at 108.75 (YTD: -5.1%)
• Onshore Yuan unchanged at 6.4339 (YTD: +1.4%)
• Swiss franc up 0.7% at 0.8971 (YTD: -1.3%)
• Sterling up 0.5% at 1.4189 (YTD: +3.8%)
• Canadian dollar up 0.6% at 1.2058 (YTD: +5.6%)
• Australian dollar up 0.6% at 0.7775 (YTD: +1.1%)
• NZ dollar up 0.5% at 0.7202 (YTD: +0.2%)

MACRO DATA RELEASES

• Australia, Employment, Absolute change for Apr 2021 (AU Bureau of Stat) at -30.60, below consensus estimate of 15.0
• Australia, Markit PMI, Composite for May 2021 (Markit Economics) at 58.10
• Australia, Markit PMI, Manufacturing for May 2021 (Markit Economics) at 59.90
• Australia, Markit PMI, Services for May 2021 (Markit Economics) at 58.20
• Australia, Unemployment, Rate for Apr 2021 (AU Bureau of Stat) at 5.50, below consensus estimate of 5.6
• Indonesia, Trade Balance, Current Prices for Apr 2021 (Statistics Indonesia) at 2.19, above consensus estimate of 1.0
• Japan, CPI, Nationwide, All Items, Change Y/Y for Apr 2021 (MIC, Japan) at -0.40
• Japan, CPI, Nationwide, All Items, Less fresh food, Change Y/Y for Apr 2021 (MIC, Japan) at -0.10, above consensus estimate of -0.20
• South Africa, Policy Rates, Prime Overdraft Rate for May 2021 (SA Reserve Bank) at 7.00
• South Africa, Policy Rates, Repo Rate for May 2021 (SA Reserve Bank) at 3.50, in line with the consensus estimate
• United States, Jobless Claims, National, Initial for W 15 May (U.S. Dept. of Labor) at 444.0, below consensus estimate of 450.0
• United States, Philadelphia Fed, General business activity for May 2021 (FED, Philadelphia) at 31.50, below consensus estimate of 43.0

RATES SPREADS

• 5Y German-US interest rates spread 4.3 bp tighter, positive for the euro
• 5Y Japan-US rates spread 3.4 bp tighter, positive for the yen
• 5Y Chinese-US rates spread 2.9 bp wider, positive for the yuan

VOLATILITIES

• Deutsche Bank USD Currency Volatility Index currently at 6.46, up 0.02 on the day (YTD: -0.83)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.84, down -0.3 on the day (YTD: -1.1)
• Japanese Yen 1M ATM IV currently at 5.50, down -0.3 on the day (YTD: -0.6)
• Offshore Yuan 1M ATM IV currently at 3.83, down -0.1 on the day (YTD: -1.8)

NOTABLE MOVES IN SOVEREIGN CDS

• Thailand (rated BBB+): up 1.8 basis points to 41 bp (1Y range: 33-54bp)
• Colombia (rated BBB-): up 3.2 basis points to 138 bp (1Y range: 83-200bp)
• Brazil (rated BB-): down 3.6 basis points to 176 bp (1Y range: 141-310bp)
• Peru (rated BBB+): down 1.7 basis points to 82 bp (1Y range: 52-97bp)
• Portugal (rated BBB): down 0.7 basis points to 31 bp (1Y range: 26-92bp)
• Czech Republic (rated AA-): down 1.0 basis points to 38 bp (1Y range: 31-39bp)
• Spain (rated A-): down 1.0 basis points to 36 bp (1Y range: 29-95bp)
• Hong Kong Special Administrative Region Government (rated AA-): down 1.0 basis points to 35 bp (1Y range: 28-42bp)
• South Africa (rated BB-): down 5.8 basis points to 194 bp, lowest in a year (1Y range: 195-355bp)
• State of Qatar (rated AA-): down 1.4 basis points to 42 bp (1Y range: 33-92bp)

NOTABLE OTHER FX MOVERS TODAY

• Afghani up 2.2% (YTD: -0.7%)
• Qatari Riyal up 1.3% (YTD: 0.0%)
• Jamaican Dollar up 1.2% (YTD: -4.4%)
• Polish Zloty up 1.2% (YTD: +1.8%)
• Iceland Krona up 1.0% (YTD: +4.7%)
• South Africa Rand up 0.9% (YTD: +5.1%)
• Lesotho Loti up 0.9% (YTD: +5.1%)
• Haiti Gourde down 0.9% (YTD: -16.7%)
• Colombian Peso down 1.0% (YTD: -7.9%)
• Venezuela Bolivar down 3.0% (YTD: -64.4%)