QUICK SUMMARY

• The US Dollar Index is down -0.35% at 92.26 (YTD: +2.53%)
• Euro up 0.14% at 1.1864 (YTD: -2.9%)
• Yen up 0.42% at 111.04 (YTD: -7.0%)
• Onshore Yuan down 0.06% at 6.4721 (YTD: +0.8%)
• Swiss franc up 0.49% at 0.9206 (YTD: -3.9%)
• Sterling up 0.39% at 1.3821 (YTD: +1.1%)
• Canadian dollar up 0.93% at 1.2321 (YTD: +3.3%)
• Australian dollar up 0.75% at 0.7525 (YTD: -2.2%)
• NZ dollar up 0.72% at 0.7026 (YTD: -2.2%)

WEEKLY CFTC DATA

• ALL: reduced their net short US$ positioning
• G10: reduced their net short US$ positioning
• Emerging: increase in net short US$ positioning
• Euro: reduced their 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 long US$ positioning
• Swiss Franc: reduced their net short 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: increase in net short US$ positioning
• Mexican Peso: reduction in net long US$ positioning

MACRO DATA RELEASES

• Brazil, CPI, Sao Paulo, General, Change P/P for Jun 2021 (FIPE, Brazil) at 0.81 %
• Brazil, Production, General industry, Change P/P for May 2021 (IBGE, Brazil) at 1.40 %, below consensus estimate of 1.70 %
• Brazil, Production, General industry, Change Y/Y for May 2021 (IBGE, Brazil) at 24.00 %, below consensus estimate of 25.00 %
• Canada, Building Permits, Total residential and non-residential, Change P/P for May 2021 (CANSIM, Canada) at -14.80 %, below consensus estimate of -0.30 %
• Canada, PMI, Manufacturing Sector for Jun 2021 (Markit Economics) at 56.50
• Canada, Trade Balance, Total, fob for May 2021 (CANSIM, Canada) at -1.39 Bln CAD, below consensus estimate of 0.37 Bln CAD
• Euro Zone, Domestic Producer Prices, Total excluding construction (EA19), Change P/P, Price Index for May 2021 (Eurostat) at 1.30 %, above consensus estimate of 1.20 %
• Euro Zone, Domestic Producer Prices, Total excluding construction (EA19), Change Y/Y, Price Index for May 2021 (Eurostat) at 9.60 %, above consensus estimate of 9.50 %
• Norway, Labour Market n.i.e, Number of persons unemployed and in labour market measures for Jun 2021 (NAV, Norway) at 103.20 k
• Norway, Unemployment, Rate for Jun 2021 (NAV, Norway) at 2.90 %, below consensus estimate of 3.00 %
• United States, Earnings, Average Hourly, Nonfarm payrolls, all employees, total private, Change P/P for Jun 2021 (BLS, U.S Dep. Of Lab) at 0.30 %, below consensus estimate of 0.40 %
• United States, Employment, Nonfarm payroll, total private, Absolute change for Jun 2021 (BLS, U.S Dep. Of Lab) at 662.00k, above consensus estimate of 600.00 k
• United States, Employment, Nonfarm payroll, total, Absolute change for Jun 2021 (BLS, U.S Dep. Of Lab) at 850.00k, above consensus estimate of 700.00 k
• United States, Hours Worked, Average Per Week, Nonfarm payrolls, all employees, total private for Jun 2021 (BLS, U.S Dep. Of Lab) at 34.70 hrs, below consensus estimate of 34.90 hrs
• United States, Manufacturers New Orders, Total manufacturing, Change P/P for May 2021 (U.S. Census Bureau) at 1.70 %, above consensus estimate of 1.60 %
• United States, Trade Balance, Total, Goods and services for May 2021 (U.S. Census Bureau) at -71.20 Bln USD, above consensus estimate of -71.40 Bln USD
• United States, Unemployment, Rate for Jun 2021 (BLS, U.S Dep. Of Lab) at 5.90 %, above consensus estimate of 5.70 %

Latest Monthly Reuters FX Poll For The Euro | Sources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

• 5Y German-US interest rates differential 1.5 bp tighter at -147.2 bp (YTD change: -36.1 bp), positive for the euro
• 5Y Japan-US interest rates differential 3.4 bp tighter at -98.6 bp (YTD change: -50.3 bp), positive for the yen
• 5Y China-US interest rates differential 1.3 bp wider at 204.6 bp (YTD change: -52.5 bp), positive for the yuan

VOLATILITIES

• Deutsche Bank USD Currency Volatility Index currently at 6.09, up 0.03 on the day (YTD: -1.08)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.25, down -0.4 on the day (YTD: -1.4)
• Japanese Yen 1M ATM IV currently at 5.00, down -0.5 on the day (YTD: -1.1)
• Offshore Yuan 1M ATM IV currently at 3.80, down -0.1 on the day (YTD: -2.2)
• Risk reversals still pretty close to home, showing very light directional bias in option markets

NOTABLE MOVES IN SOVEREIGN CDS

• Bahrain (rated B+): up 8.5 basis points to 203 bp (1Y range: 172-347bp)
• Oman (rated BB-): up 4.7 basis points to 235 bp (1Y range: 223-485bp)
• Colombia (rated BB+): up 1.1 basis points to 137 bp (1Y range: 83-164bp)
• Egypt (rated B+): up 2.5 basis points to 325 bp (1Y range: 283-437bp)
• Indonesia (rated BBB): up 0.4 basis points to 74 bp (1Y range: 66-126bp)
• Brazil (rated BB-): down 1.0 basis points to 165 bp (1Y range: 141-252bp)
• Russia (rated BBB): down 0.6 basis points to 82 bp (1Y range: 72-129bp)
• Panama (rated BBB-): down 0.6 basis points to 64 bp (1Y range: 44-98bp)
• Peru (rated BBB+): down 0.9 basis points to 79 bp (1Y range: 52-98bp)
• Mexico (rated BBB-): down 1.6 basis points to 91 bp (1Y range: 79-164bp)

LARGEST FX MOVES TODAY

• CFA Franc BEAC up 3.1% (YTD: +0.2%)
• Aruba florin up 2.2% (YTD: +2.2%)
• Malagasy Ariary up 1.8% (YTD: +1.8%)
• Jamaican Dollar up 1.8% (YTD: -4.6%)
• Seychelles rupee up 1.7% (YTD: +25.7%)
• Brazilian Real down 1.8% (YTD: +2.7%)
• Nicaragua Cordoba down 2.6% (YTD: -2.6%)
• Eritrean Nakfa down 2.6% (YTD: -2.6%)
• Haiti Gourde down 3.1% (YTD: -22.2%)
• Venezuela Bolivar down 3.2% (YTD: -66.7%)

YTD BIGGEST WINNERS & LOSERS

• Seychelles rupee up 25.7%
• Mozambique metical up 17.3%
• Argentine Peso down 12.2%
• Turkish Lira down 14.5%
• Haiti Gourde down 22.2%
• Surinamese dollar down 32.4%
• Syrian Pound down 49.4%
• Venezuela Bolivar down 66.7%
• Libyan Dinar down 70.4%
• Sudanese Pound down 87.7%