QUICK SUMMARY

• The US Dollar Index is up 0.65% at 91.13 (YTD: +1.33%)
• Euro down 1.02% at 1.1994 (YTD: -1.8%)
• Yen down 0.51% at 110.64 (YTD: -6.7%)
• Onshore Yuan up 0.05% at 6.3969 (YTD: +2.0%)
• Swiss franc down 0.95% at 0.9084 (YTD: -2.6%)
• Sterling down 0.85% at 1.3992 (YTD: +2.3%)
• Canadian dollar down 1.07% at 1.2274 (YTD: +3.7%)
• Australian dollar down 1.30% at 0.7611 (YTD: -1.1%)
• NZ dollar down 1.18% at 0.7056 (YTD: -1.8%)

MACRO DATA RELEASES

• Brazil, Policy Rates, SELIC Target Rate for 16 Jun (Central Bank, Brazil) at 4.25 %, in line with consensus
• Canada, CPI, Core CPI (Bank of Canada), Change P/P, Price Index for May 2021 (CANSIM, Canada) at 0.40 %, in line with consensus
• Canada, CPI, Core CPI (Bank of Canada), Change Y/Y, Price Index for May 2021 (CANSIM, Canada) at 2.80 %, above consensus estimate of 2.40 %
• China (Mainland), Investment in Fixed Assets, Urban, Change Y/Y for May 2021 (NBS, China) at 15.40 %, below consensus estimate of 16.90 %
• China (Mainland), Retail Sales, Consumer goods, Change Y/Y for May 2021 (NBS, China) at 12.40 %, below consensus estimate of 13.60 %
• Namibia, Policy Rates, Bank Rate for Jun 2021 (Bank of Namibia) at 3.75 %
• New Zealand, GDP, Change P/P for Q1 2021 (Statistics, NZ) at 1.60 %, above consensus estimate of 0.50 %
• New Zealand, GDP, Change P/P for Q1 2021 (Statistics, NZ) at 1.40 %, above consensus estimate of 0.50 %
• Uganda, Policy Rates, Central Bank Rate for 16 Jun (Bank of Uganda) at 6.50 %
• United Kingdom, CPI, All items (CPI), Change Y/Y for May 2021 (ONS, United Kingdom) at 2.10 %, above consensus estimate of 1.80 %
• United States, Fed Interest On Excess Reserves for 17 Jun (FED, U.S.) raised to 0.15 %
• United States, Housing Starts for May 2021 (U.S. Census Bureau) at 1.57 Mln, below consensus estimate of 1.63 Mln
• United States, Policy Rates, Fed Funds Target Rate for 17 Jun (FOMC, U.S.) at 0.125 %, in line with consensus

KEY GLOBAL RATES DIFFERENTIALS

• 5Y German-US interest rates differential 11.8 bp wider at -150.5 bp (YTD change: -39.4 bp), negative for the euro
• 5Y Japan-US interest rates differential 10.5 bp wider at -101.1 bp (YTD change: -52.8 bp), negative for the yen
• 5Y China-US interest rates differential 12.1 bp tighter at 208.1 bp (YTD change: -49.0 bp), negative for the yuan

VOLATILITIES

• Deutsche Bank USD Currency Volatility Index currently at 5.74, up 0.07 on the day (YTD: -1.43)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.33, up 0.2 on the day (YTD: -1.4)
• Japanese Yen 1M ATM IV currently at 5.15, unchanged (YTD: -0.9)
• Offshore Yuan 1M ATM IV currently at 3.79, unchanged (YTD: -2.2)

NOTABLE MOVES IN SOVEREIGN CDS

• Oman (rated BB-): up 6.3 basis points to 239 bp (1Y range: 228-491bp)
• Colombia (rated BBB-): up 2.0 basis points to 130 bp (1Y range: 83-164bp)
• Egypt (rated B+): up 4.3 basis points to 324 bp (1Y range: 283-472bp)
• Brazil (rated BB-): up 1.2 basis points to 163 bp (1Y range: 141-264bp)
• Panama (rated BBB-): up 0.5 basis points to 66 bp (1Y range: 44-112bp)
• Government of Chile (rated A-): up 0.4 basis points to 64 bp (1Y range: 43-85bp)
• South Africa (rated BB-): down 1.5 basis points to 184 bp (1Y range: 178-328bp)
• Russia (rated BBB): down 1.6 basis points to 86 bp (1Y range: 72-129bp)
• Saudi Arabia (rated A): down 1.1 basis points to 55 bp (1Y range: 53-105bp)
• Morocco (rated BB+): down 4.4 basis points to 84 bp (1Y range: 86-127bp)

LARGEST FX MOVES TODAY

• Surinamese dollar down 1.6% (YTD: -33.5%)
• South Africa Rand down 1.6% (YTD: +5.0%)
• Swedish Krona down 1.7% (YTD: -2.6%)
• Turkish Lira down 1.9% (YTD: -13.9%)
• Norwegian Krone down 2.0% (YTD: +1.1%)
• Mexican Peso down 2.2% (YTD: -2.5%)
• Yemen Rial down 2.9% (YTD: -2.3%)
• CFA Franc BEAC down 2.9% (YTD: -1.1%)
• Bosnian Mark down 3.0% (YTD: -4.2%)
• Seychelles rupee down 17.0% (YTD: +19.3%)