QUICK SUMMARY

• The US Dollar Index is down -0.2% at 89.6
• Euro up 0.2% at 1.2244 (YTD: +0.3%)
• Yen unchanged at 108.76 (YTD: -5.1%)
• Onshore Yuan up 0.1% at 6.4100 (YTD: +1.8%)
• Swiss franc up 0.2% at 0.8956 (YTD: -1.1%)
• Sterling down 0.1% at 1.4141 (YTD: +3.4%)
• Canadian dollar down 0.2% at 1.2062 (YTD: +5.6%)
• Australian dollar unchanged at 0.7753 (YTD: +0.8%)
• NZ dollar up 0.1% at 0.7224 (YTD: +0.5%)

MACRO DATA RELEASES

• Brazil, CPI, Broad national - 15 (IPCA-15), Change P/P for May 2021 (IBGE, Brazil) at 0.44, below consensus estimate of 0.6
• Germany, Climate Germany (Incl.Services), Volume Index for May 2021 (Ifo, Univ. of Munich) at 99.20, above consensus estimate of 98.2
• Germany, GDP, Detailed, Change P/P for Q1 2021 (Destatis) at -1.80, below consensus estimate of -1.7
• Germany, GDP, Detailed, Change Y/Y for Q1 2021 (Destatis) at -3.40, below consensus estimate of -3.3
• Germany, Ifo Business Climate Germany Expectation (Incl. Services), Volume Index for May 2021 (Ifo, Univ. of Munich) at 102.90, above consensus estimate of 101.4
• Germany, Ifo Business Climate Germany Situation (Incl. services), Volume Index for May 2021 (Ifo, Univ. of Munich) at 95.70, above consensus estimate of 95.5
• Hungary, Policy Rates, Base Rate for May 2021 (Cent. Bank, Hungary) at 0.60, in line
• Hungary, Policy Rates, Overnight Deposit Rate for May 2021 (Cent. Bank, Hungary) at -0.05, below consensus estimate of -0.1
• Indonesia, 7-Day Reverse Repo for May 2021 (Bank Indonesia) at 3.50, in line
• Indonesia, Deposit Facility Rate for May 2021 (Bank Indonesia) at 2.75, below consensus estimate of 2.8
• Indonesia, Lending Facility Rate for May 2021 (Bank Indonesia) at 4.25, in line
• Nigeria, Policy Rates, Monetary Policy Rate for 25 May (Central Bank Nigeria) at 11.50, below consensus estimate of 11.5
• Russia, Production, IP Total , Change Y/Y for Apr 2021 (RosStat, Russia) at 7.20, above consensus estimate of 6.5
• Russia, Unemployment, Rate for Apr 2021 (RosStat, Russia) at 5.20, below consensus estimate of 5.4
• Singapore, GDP, Change Y/Y for Q1 2021 (Statistics Singapore) at 1.30, above consensus estimate of 0.9
• United States, Conference Board, Consumer confidence for May 2021 (The Conference Board) at 117.20, below consensus estimate of 119.2
• United States, New Home Sales for Apr 2021 (U.S. Census Bureau) at 0.86, below consensus estimate of 1.0

RATES SPREADS

• 5Y German-US interest rates spread 1.0 bp tighter, positive for the euro
• 5Y Japan-US rates spread 1.3 bp tighter, positive for the yen
• 5Y Chinese-US rates spread 3.0 bp wider, positive for the yuan

VOLATILITIES

• Deutsche Bank USD Currency Volatility Index currently at 6.34, up 0.02 on the day (YTD: -0.95)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.83, up 0.1 on the day (YTD: -1.1)
• Japanese Yen 1M ATM IV currently at 5.46, up 0.2 on the day (YTD: -0.6)
• Offshore Yuan 1M ATM IV currently at 4.28, up 0.2 on the day (YTD: -1.4)

NOTABLE MOVES IN SOVEREIGN CDS ( 5Y USD)

• Colombia (rated BBB-): up 3.8 basis points to 142 bp (1Y range: 83-168bp)
• Peru (rated BBB+): up 1.7 basis points to 95 bp (1Y range: 52-97bp)
• Turkey (rated BB-): up 4.1 basis points to 400 bp (1Y range: 282-597bp)
• Lebanon (rated CC): down 37.0 basis points to 3,483 bp (1Y range: 3,196-3,683bp)
• Ethiopia (rated CCC): down 4.5 basis points to 418 bp (1Y range: 383-442bp)
• Pakistan (rated B-): down 4.5 basis points to 399 bp (1Y range: 362-512bp)
• Senegal (rated ): down 4.5 basis points to 387 bp (1Y range: 355-409bp)
• Ecuador (rated WD): down 2.0 basis points to 171 bp (1Y range: 157-181bp)
• Indonesia (rated BBB): down 1.2 basis points to 76 bp (1Y range: 66-172bp)
• Israel (rated A+): down 1.0 basis points to 51 bp (1Y range: 46-53bp)

NOTABLE OTHER FX MOVERS TODAY

• Iceland Krona up 1.9% (YTD: +5.3%)
• Georgian Lari up 1.1% (YTD: +0.4%)
• Pacific Franc up 1.0% (YTD: +0.1%)
• Tunisian Dinar up 0.9% (YTD: -0.6%)
• Swedish Krona up 0.8% (YTD: -0.2%)
• Mauritius Rupee up 0.8% (YTD: -1.6%)
• Albanian Lek up 0.8% (YTD: +0.9%)
• Haiti Gourde up 0.7% (YTD: -19.0%)
• Turkish Lira down 0.7% (YTD: -12.0%)
• Sri Lanka Rupee down 0.8% (YTD: -7.0%)