QUICK SUMMARY

• The US Dollar Index is down -0.05% at 90.08 (YTD: +0.15%)
• Euro unchanged at 1.2171 (YTD: -0.3%)
• Yen up 0.12% at 109.38 (YTD: -5.6%)
• Onshore Yuan up 0.12% at 6.3929 (YTD: +2.1%)
• Swiss franc up 0.25% at 0.8947 (YTD: -1.0%)
• Sterling up 0.11% at 1.4171 (YTD: +3.6%)
• Canadian dollar up 0.17% at 1.2093 (YTD: +5.3%)
• Australian dollar up 0.16% at 0.7752 (YTD: +0.8%)
• NZ dollar down 0.08% at 0.7192 (YTD: +0.1%)

MACRO DATA RELEASES

• China (Mainland), Monetary Financial Institutions, Social Financing, Current Prices for May 2021 (PBC) at 1,920.00, below consensus estimate of 2002.30
• China (Mainland), Monetary Financial Institutions, Uses of Funds, New loans, Current Prices for May 2021 (PBC) at 1500.00, above consensus estimate of 1,410.00
• China (Mainland), Money supply M2, Change Y/Y for May 2021 (PBC) at 8.30, above consensus estimate of 8.10
• Czech Republic, CPI, Change Y/Y, Price Index for May 2021 (CSU, Czech Rep) at 2.90, below consensus estimate of 3.20
• Denmark, CPI, All Items, Change Y/Y, Price Index for May 2021 (statbank.dk) at 1.70
• Euro Zone, Policy Rates, ECB Deposit Rate for Jun 2021 (ECB) at -0.50, in line with consensus
• Euro Zone, Policy Rates, ECB Main refinancing, Fixed Rate (Announcement Dates) for Jun 2021 (ECB) at 0.00, in line with consensus
• Norway, CPI, All Items, Change P/P, Price Index for May 2021 (Statistics Norway) at -0.10, below consensus estimate of 0.10
• Norway, CPI, All Items, Change Y/Y for May 2021 (Statistics Norway) at 2.70, below consensus estimate of 2.90
• Peru, Policy Rates, Reference Interest Rate for Jun 2021 (Central Bank, Peru) at 0.25 (unchanged)
• Serbia, Policy Rates, RS Benchmark Interest Rate, Change P/P for Jun 2021 (NBS, Serbia) at 1.00, in line with consensus
• Sweden, CPI, All Items, Change P/P, Price Index for May 2021 (SCB, Sweden) at 0.20, below consensus estimate of 0.40
• Sweden, CPI, All Items, Change Y/Y, Price Index for May 2021 (SCB, Sweden) at 1.80, below consensus estimate of 2.00
• United States, CPI, All items, Change P/P for May 2021 (BLS, U.S Dep. Of Lab) at 0.60, above consensus estimate of 0.40
• United States, Jobless Claims, National, Initial for W 05 Jun (U.S. Dept. of Labor) at 376.00, above consensus estimate of 370.00

KEY GLOBAL RATES DIFFERENTIALS

• 5Y German-US interest rates differential 1.6 bp tighter at -135.4 bp (YTD change: -24.4 bp), positive for the euro
• 5Y Japan-US interest rates differential 2.4 bp tighter at -84.3 bp (YTD change: -36.1 bp), positive for the yen
• 5Y China-US interest rates differential 2.3 bp tighter at 224.5 bp (YTD change: -32.7 bp), negative for the yuan

VOLATILITIES

• Deutsche Bank USD Currency Volatility Index currently at 5.82, down -0.04 on the day (YTD: -1.35)
• Euro 1-Month At-The-Money Implied Volatility currently at 4.89, down -0.3 on the day (YTD: -1.8)
• Japanese Yen 1M ATM IV currently at 4.85, down -0.3 on the day (YTD: -1.3)
• Offshore Yuan 1M ATM IV currently at 3.71, unchanged (YTD: -2.3)

NOTABLE MOVES IN SOVEREIGN CDS

• Egypt (rated B+): up 3.5 basis points to 326 bp (1Y range: 283-485bp)
• Vietnam (rated BB): up 0.7 basis points to 103 bp (1Y range: 90-179bp)
• Ethiopia (rated CCC): down 2.0 basis points to 398 bp (1Y range: 383-442bp)
• Ecuador (rated WD): down 1.0 basis points to 163 bp (1Y range: 157-181bp)
• South Africa (rated BB-): down 1.6 basis points to 179 bp (1Y range: 181-328bp)
• Slovenia (rated A): down 0.5 basis points to 51 bp (1Y range: 47-55bp)
• Colombia (rated BBB-): down 1.4 basis points to 126 bp (1Y range: 83-168bp)
• Panama (rated BBB-): down 1.1 basis points to 65 bp (1Y range: 44-112bp)
• Russia (rated BBB): down 1.7 basis points to 85 bp (1Y range: 72-129bp)
• Turkey (rated BB-): down 10.5 basis points to 371 bp (1Y range: 282-597bp)

LARGEST FX MOVES TODAY

• Eritrean Nakfa up 2.6%
• Nicaragua Cordoba up 2.5%
• Turkish Lira up 2.1% (YTD: -11.8%)
• Seychelles rupee up 1.5% (YTD: +37.9%)
• Azerbaijani New Manat up 1.3%
• Afghani down 1.4% (YTD: -2.9%)
• Rwanda Franc down 1.8% (YTD: -1.5%)
• Aruba florin down 2.2%
• Cape Verde Escudo down 3.6%
• Mozambique metical down 4.1% (YTD: +15.4%)