QUICK SUMMARY

• The US Dollar Index is up 0.2% at 90.0 despite most major currencies being down on the day (the DX weightings are 57.6% EUR, 13.6% JPY, 11.9% GBP, 9.1% CAD, 4.2% SEK, 3.6% CHF)
• Euro down 0.4% at 1.2179 (YTD: -0.3%)
• Yen down 0.2% at 108.94 (YTD: -5.2%)
• Onshore Yuan unchanged at 6.4339 (YTD: +1.5%)
• Swiss franc down 0.1% at 0.8976 (YTD: -1.4%)
• Sterling down 0.3% at 1.4147 (YTD: +3.5%)
• Canadian dollar down 0.1% at 1.2066 (YTD: +5.5%)
• Australian dollar down 0.6% at 0.7731 (YTD: +0.5%)
• NZ dollar down 0.4% at 0.7170 (YTD: -0.2%)

MACRO DATA RELEASES

• Canada, Retail Sales, Change P/P for Mar 2021 (CANSIM, Canada) at 3.60, above consensus estimate of 2.3
• Denmark, Consumer confidence indicator for May 2021 (statbank.dk) at 2.80
• Euro Zone, EC Consumer Survey, All Respondents, Consumer Confidence Indicator, Balance for May 2021 (DG ECFIN, France) at -5.10, above consensus estimate of -6.8
• Euro Zone, PMI, Composite, Output, Flash for May 2021 (Markit Economics) at 56.90, above consensus estimate of 55.10
• Euro Zone, PMI, Manufacturing Sector, Total, Flash for May 2021 (Markit Economics) at 62.80, above consensus estimate of 62.5
• Euro Zone, PMI, Services Sector, Business Activity, Flash for May 2021 (Markit Economics) at 55.10, above consensus estimate of 52.3
• France, PMI, Composite, Output, Flash for May 2021 (Markit Economics) at 57.00, above consensus estimate of 53.7
• France, PMI, Manufacturing Sector, Total, Flash for May 2021 (Markit/CDAF, France) at 59.20, above consensus estimate of 58.5
• France, PMI, Services Sector, Business Activity, Flash for May 2021 (Markit/CDAF, France) at 56.60, above consensus estimate of 53.0
• Germany, PMI, Composite, Output, Flash for May 2021 (Markit Economics) at 56.20, below consensus estimate of 57.1
• Germany, PMI, Manufacturing Sector, Total, Flash for May 2021 (Markit Economics) at 64.00, below consensus estimate of 65.9
• Germany, PMI, Services Sector, Business Activity, Flash for May 2021 (Markit Economics) at 52.80, above consensus estimate of 52.0
• Japan, PMI, Manufacturing Sector, Jibun Bank Mfg PMI, Flash for May 2021 (Markit Economics) at 52.50
• United Kingdom, Markit/CIPS PMI, Composite, Flash for May 2021 (Markit Economics) at 62.00, in line with consensus
• United Kingdom, Markit/CIPS PMI, Manufacturing Flash for May 2021 (Markit Economics) at 66.10, above consensus estimate of 60.5
• United Kingdom, Markit/CIPS PMI, Services, Flash for May 2021 (Markit Economics) at 61.80, below consensus estimate of 62.0
• United Kingdom, Retail Sales, Change, Total including automotive fuel, Change Y/Y for Apr 2021 (ONS, United Kingdom) at 42.40, above consensus estimate of 36.8
• United Kingdom, Retail Sales, Total RSI excluding automotive fuel, Change P/P for Apr 2021 (ONS, United Kingdom) at 9.00, above consensus estimate of 4.2
• United Kingdom, Retail Sales, Total including automotive fuel, Change P/P for Apr 2021 (ONS, United Kingdom) at 9.20, above consensus estimate of 4.5
• United States, Existing-Home Sales, Single-Family and Condos, total for Apr 2021 (NAR, United States) at 5.85, below consensus estimate of 6.1
• United States, PMI, Composite, Output, Flash for May 2021 (Markit Economics) at 68.10
• United States, PMI, Manufacturing Sector, Total, Flash for May 2021 (Markit Economics) at 61.50, above consensus estimate of 60.2
• United States, PMI, Services Sector, Business Activity, Flash for May 2021 (Markit Economics) at 70.10, above consensus estimate of 64.5

RATES SPREADS

• 5Y German-US interest rates spread 3.2 bp wider, negative for the euro
• 5Y Japan-US rates spread 0.7 bp wider, negative for the yen
• 5Y Chinese-US rates spread 4.0 bp tighter, negative for the yuan

VOLATILITIES

• Deutsche Bank USD Currency Volatility Index currently at 6.35, down -0.11 on the day (YTD: -0.94)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.71, down -0.1 on the day (YTD: -1.2)
• Japanese Yen 1M ATM IV currently at 5.45, unchanged (YTD: -0.6)
• Offshore Yuan 1M ATM IV currently at 3.78, down -0.1 on the day (YTD: -1.9)

WEEKLY SPECULATORS DATA FROM CTFC

• ALL: increase in net short US$ positioning
• G10: increase in net short US$ positioning
• Emerging: reduced their net short US$ positioning
• Euro: increase in net short US$ positioning
• Japanese Yen: increase in net long US$ positioning
• UK Pound Sterling: reduced their net short US$ positioning
• Australian Dollar: increase in net short US$ positioning
• Swiss Franc: increase in net long US$ positioning
• Canadian Dollar: increase in net short US$ positioning
• New Zealand Dollar: reduced their net short US$ positioning
• Brazilian Real: increase in net short US$ positioning
• Russian Rouble: reduced their net short US$ positioning
• Mexican Peso: increase in net long US$ positioning

NOTABLE MOVES IN SOVEREIGN CDS

• Peru (rated BBB+): up 6.0 basis points to 88 bp (1Y range: 52-97bp)
• Government of Chile (rated A-): up 2.4 basis points to 69 bp (1Y range: 43-93bp)
• Russia (rated BBB): down 0.9 basis points to 91 bp (1Y range: 72-129bp)
• Israel (rated A+): down 0.5 basis points to 52 bp (1Y range: 46-53bp)
• Lithuania (rated A): down 0.5 basis points to 45 bp (1Y range: 40-47bp)
• Poland (rated A-): down 0.5 basis points to 45 bp (1Y range: 40-47bp)
• Latvia (rated A-): down 0.5 basis points to 44 bp (1Y range: 39-46bp)
• South Africa (rated BB-): down 2.5 basis points to 191 bp (1Y range: 194-355bp)
• Spain (rated A-): down 0.5 basis points to 36 bp (1Y range: 29-95bp)
• Thailand (rated BBB+): down 0.7 basis points to 40 bp (1Y range: 33-54bp)

NOTABLE OTHER MOVERS TODAY

• Sao Tome Dobra up 10.9% (YTD: +10.9%)
• Cape Verde Escudo up 3.8% (YTD: +3.8%)
• CFA Franc BEAC up 3.7% (YTD: +3.1%)
• Seychelles rupee up 3.1% (YTD: +30.4%)
• Georgian Lari up 2.3% (YTD: +0.2%)
• Aruba florin up 2.2% (YTD: +2.2%)
• Nicaragua Cordoba down 1.7% (YTD: -1.7%)
• Eritrean Nakfa down 2.6% (YTD: -2.6%)
• Sudanese Pound down 2.8% (YTD: -86.6%)
• Haiti Gourde down 3.8% (YTD: -19.9%)

YTD BIGGEST WINNERS & LOSERS

• Seychelles rupee up 30.4%
• Mozambique metical up 24.8%
• Sao Tome Dobra up 10.9%
• Argentine Peso down 10.8%
• Turkish Lira down 11.8%
• Haiti Gourde down 19.9%
• Syrian Pound down 49.4%
• Venezuela Bolivar down 64.4%
• Libyan Dinar down 70.0%
• Sudanese Pound down 86.6%