QUICK SUMMARY

• The US Dollar Index is up 0.15% at 92.70 (YTD: +3.02%)
• Euro down 0.26% at 1.1791 (YTD: -3.5%)
• Yen up 0.06% at 110.55 (YTD: -6.6%)
• Onshore Yuan up 0.14% at 6.4718 (YTD: +0.8%)
• Swiss franc down 0.14% at 0.9255 (YTD: -4.3%)
• Sterling down 0.02% at 1.3796 (YTD: +0.9%)
• Canadian dollar down 0.22% at 1.2489 (YTD: +1.9%)
• Australian dollar down 0.29% at 0.7475 (YTD: -2.8%)
• NZ dollar down 0.07% at 0.7005 (YTD: -2.5%)

MACRO DATA RELEASES

• Brazil, Retail Sales, Change Y/Y for May 2021 (IBGE, Brazil) at 16.00 %, below consensus estimate of 16.50 %
• France, Reserve Assets, Current Prices for Jun 2021 (MINEFI, France) at 18,6242.00 Mln EUR
• Germany, Production, Total industry including construction, Change P/P for May 2021 (Destatis) at -0.30 %, below consensus estimate of 0.50 %
• Japan, Current Account, Balance, Current Prices for May 2021 (BOJ/MOF Japan) at 1,979.70 Bln JPY, above consensus estimate of 1,820.40 Bln JPY
• New Zealand, Reserve Assets, Current Prices for Jun 2021 (RBNZ) at 19,977.00 Mln NZD
• Romania, Policy Rates, Policy Rate for 07 Jul (Cent. Bank, Romania) at 1.25 %, in line with consensus estimate
• Russia, CPI, Change P/P for Jun 2021 (RosStat, Russia) at 0.70%, above consensus estimate of 0.50 %
• Russia, CPI, Change Y/Y for Jun 2021 (RosStat, Russia) at 6.50%, above consensus estimate of 6.30 %
• South Africa, Reserves, Gross gold and other foreign reserves, Current Prices for Jun 2021 (SA Reserve Bank) at 54.47 Bln USD
• South Africa, Reserves, Reserve Bank, international liquidity position, Current Prices for Jun 2021 (SA Reserve Bank) at 51.37 Bln USD
• Switzerland, Foreign reserves in convertible foreign currencies, Current Prices for Jun 2021 (Swiss National Bank) at 941,125.00 Mln CHF
• Taiwan, CPI, Change Y/Y, Price Index for Jun 2021 (DGBAS, Taiwan) at 1.89 %, below consensus estimate of 2.30 %
• United Kingdom, House Prices, Halifax, UK, Change P/P for Jun 2021 at -0.50 % (May data +1.2%)

KEY GLOBAL RATES DIFFERENTIALS

• 5Y German-US interest rates differential 0.9 bp wider at -142.9 bp (YTD change: -31.8 bp), negative for the euro
• 5Y Japan-US interest rates differential 0.2 bp wider at -91.2 bp (YTD change: -42.9 bp), negative for the yen
• 5Y China-US interest rates differential unchanged at 212.6 bp (YTD change: -44.5 bp)

VOLATILITIES

• Deutsche Bank USD Currency Volatility Index currently at 6.01, up 0.19 on the day (YTD: -1.16)
• Euro 1-Month At-The-Money Implied Volatility unchanged at 5.41 (YTD: -1.3)
• Japanese Yen 1M ATM IV currently at 5.33, up 0.2 on the day (YTD: -0.8)
• Offshore Yuan 1M ATM IV unchanged at 3.74 (YTD: -2.2)
• Risk reversals showing speculative appetite for yen appreciation against the USD

NOTABLE MOVES IN SOVEREIGN CDS

• Russia (rated BBB): up 1.0 basis points to 84 bp (1Y range: 72-129bp)
• Indonesia (rated BBB): up 0.8 basis points to 75 bp (1Y range: 66-126bp)
• Brazil (rated BB-): up 1.3 basis points to 170 bp (1Y range: 141-252bp)
• Oman (rated BB-): up 1.7 basis points to 241 bp (1Y range: 223-485bp)
• Vietnam (rated BB): up 0.8 basis points to 105 bp (1Y range: 90-167bp)
• Saudi Arabia (rated A): down 0.3 basis points to 55 bp (1Y range: 52-101bp)
• Government of Chile (rated A-): down 0.3 basis points to 57 bp (1Y range: 43-75bp)
• Mexico (rated BBB-): down 0.5 basis points to 92 bp (1Y range: 79-164bp)
• South Africa (rated BB-): down 1.4 basis points to 189 bp (1Y range: 178-328bp)
• Colombia (rated BB+): down 1.5 basis points to 137 bp (1Y range: 83-164bp)

LARGEST FX MOVES TODAY

• Malagasy Ariary up 3.1% (YTD: +3.1%)
• Seychelles rupee up 3.0% (YTD: +51.2%)
• Jamaican Dollar down 1.5% (YTD: -6.0%)
• Russian Rouble down 1.6% (YTD: -0.8%)
• Chilean Peso down 1.8% (YTD: -5.1%)
• Norwegian Krone down 1.8% (YTD: -1.7%)
• Hungarian Forint down 2.0% (YTD: -1.8%)
• Colombian Peso down 2.4% (YTD: -10.6%)
• Afghani down 2.7% (YTD: -5.7%)
• Brazilian Real down 2.7% (YTD: -0.7%)