QUICK SUMMARY

• The US Dollar Index is down -0.04% at 90.52 (YTD: +0.65%)
• Euro up 0.08% at 1.2116 (YTD: -0.8%)
• Yen down 0.36% at 110.06 (YTD: -6.2%)
• Onshore Yuan down 0.00% at 6.3967 (YTD: +2.0%)
• Swiss franc down 0.19% at 0.8992 (YTD: -1.6%)
• Sterling up 0.04% at 1.4112 (YTD: +3.2%)
• Canadian dollar up 0.16% at 1.2139 (YTD: +4.9%)
• Australian dollar up 0.09% at 0.7713 (YTD: +0.2%)
• NZ dollar up 0.29% at 0.7146 (YTD: -0.5%)

MACRO DATA RELEASES

• Brazil, Central Bank Economic Activity Index (IBC-Br), Change P/P for Apr 2021 (Central Bank, Brazil) at 0.44, below consensus estimate of 0.55
• Canada, Manufacturers Shipments, Change P/P for Apr 2021 (CANSIM, Canada) at -2.10, below consensus estimate of -1.10
• Czech Republic, Current Account, Balance, Current Prices for Apr 2021 (Czech National Bank) at 37.31, above consensus estimate of 20.50
• Euro Zone, Production, Total, excluding construction (EA19), Change P/P for Apr 2021 (Eurostat) at 0.80, above consensus estimate of 0.40
• Euro Zone, Production, Total, excluding construction (EA19), Change Y/Y for Apr 2021 (Eurostat) at 39.30, above consensus estimate of 37.40
• India, CPI, Rural and urban, General, Change Y/Y, Price Index for May 2021 (MOSPI, India) at 6.30, above consensus estimate of 5.30
• India, Wholesale Prices, Change Y/Y, Price Index for May 2021 (Econ Adviser, India) at 12.94, below consensus estimate of 13.07
• Japanese industrial production at 2.9%, above consensus estimate of 2.5%
• Japanese capacity utilization growth comes in at 1.1% (vs 5.6% prior)
• Poland, Current Account, Balance, Current Prices for Apr 2021 (Central Bank, Poland) at 1,740.00, above consensus estimate of 1,203.00
• Portugal, CPI, All items, national, Change P/P, Price Index for May 2021 (INE, Portugal) at 0.20
• Portugal, CPI, All items, national, Change Y/Y, Price Index for May 2021 (INE, Portugal) at 1.20
• South Korea, Exports, Total, FOB(Free On Board), Change Y/Y for May 2021 (KOR Customs Service) at 45.60
• South Korea, Imports, Total, CIF(Cost Insurance Freight), Change Y/Y for May 2021 (KOR Customs Service) at 37.90
• Swiss PPI month on month at 0.8% vs 0.7% prior, YoY 3.2% vs 1.8% prior

KEY GLOBAL RATES DIFFERENTIALS

• 5Y German-US interest rates differential 1.8 bp wider at -140.0 bp (YTD change: -28.9 bp), negative for the euro
• 5Y Japan-US interest rates differential 4.9 bp wider at -91.9 bp (YTD change: -43.6 bp), negative for the yen
• 5Y China-US interest rates differential 4.3 bp wider at 218.7 bp (YTD change: -38.4 bp), positive for the yuan

VOLATILITIES

• Deutsche Bank USD Currency Volatility Index currently at 5.65, up 0.02 on the day (YTD: -1.52)
• Euro 1-Month At-The-Money Implied Volatility currently at 4.98, up 0.1 on the day (YTD: -1.7)
• Japanese Yen 1M ATM IV currently at 4.83, unchanged (YTD: -1.3)
• Offshore Yuan 1M ATM IV currently at 3.76, up 0.1 on the day (YTD: -2.2)

NOTABLE MOVES IN SOVEREIGN CDS

• South Africa (rated BB-): up 3.0 basis points to 182 bp (1Y range: 178-328bp)
• Brazil (rated BB-): up 2.6 basis points to 161 bp (1Y range: 141-264bp)
• Government of Chile (rated A-): up 0.8 basis points to 64 bp (1Y range: 43-85bp)
• Mexico (rated BBB-): up 0.9 basis points to 91 bp (1Y range: 79-164bp)
• Russia (rated BBB): up 0.7 basis points to 86 bp (1Y range: 72-129bp)
• Saudi Arabia (rated A): down 0.6 basis points to 55 bp (1Y range: 53-105bp)
• United Arab Emirates (rated AA-): down 1.0 basis points to 58 bp (1Y range: 50-62bp)
• Egypt (rated B+): down 5.7 basis points to 320 bp (1Y range: 283-472bp)
• Argentina (rated CCC): down 33.8 basis points to 1,691 bp (1Y range: 1,049-6,788bp)
• Indonesia (rated BBB): down 2.3 basis points to 72 bp (1Y range: 66-132bp)

LARGEST FX MOVES TODAY

• Seychelles rupee up 15.1% (YTD: +45.5%)
• Eritrean Nakfa up 2.8% (YTD: 0.0%)
• CFA Franc BEAC up 2.4% (YTD: +1.9%)
• Brazilian Real up 1.2% (YTD: +2.7%)
• Turkish Lira down 1.1% (YTD: -12.3%)
• Haiti Gourde down 1.1% (YTD: -20.5%)
• Georgian Lari down 1.1% (YTD: +2.7%)
• Samoa Tala down 1.5% (YTD: -0.2%)
• Aruba florin down 2.2% (YTD: 0.0%)
• Mozambique metical down 3.5% (YTD: +15.4%)