QUICK SUMMARY

• The US Dollar Index is up 0.14% at 92.70 (YTD: +3.03%)
• Euro down 0.06% at 1.1805 (YTD: -3.3%)
• Yen down 0.20% at 110.08 (YTD: -6.2%)
• Onshore Yuan down 0.23% at 6.4785 (YTD: +0.8%)
• Swiss franc down 0.19% at 0.9194 (YTD: -3.7%)
• Sterling down 0.40% at 1.3772 (YTD: +0.7%)
• Canadian dollar down 0.15% at 1.2611 (YTD: +1.0%)
• Australian dollar down 0.34% at 0.7402 (YTD: -3.8%)
• NZ dollar up 0.39% at 0.7008 (YTD: -2.5%)

WEEKLY CFTC POSITIONING DATA

• ALL CURRENCIES: increase in net short US$ positioning
• G10: increase in net short US$ positioning
• Emerging: reduced their net short US$ positioning
• Euro: reduced their net short US$ positioning
• Japanese Yen: reduction 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: reduced their net short US$ positioning
• New Zealand Dollar: increase in net short US$ positioning
• Brazilian Real: increase in net short US$ positioning
• Russian Rouble: reduced their net short US$ positioning
• Mexican Peso: increase in net long US$ positioning

MACRO DATA RELEASES

• Austria, HICP, Change P/P, Price Index for Jun 2021 (Statistics Austria) at 0.20 %
• Austria, HICP, Change Y/Y for Jun 2021 (Statistics Austria) at 2.80 %
• Canada, Housing Starts, All areas for Jun 2021 (CMHC, Canada) at 282.10 k, above consensus estimate of 270.00 k
• Canada, Wholesale Trade, Sales, all trade groups, Change P/P for May 2021 (CANSIM, Canada) at 0.50 %, below consensus estimate of 1.10 %
• Euro Zone, CPI, Change P/P, Price Index for Jun 2021 (Eurostat) at 0.30 %, in line with consensus estimate
• Euro Zone, CPI, Change Y/Y for Jun 2021 (Eurostat) at 1.90 %, in line with consensus estimate
• Euro Zone, CPI, Total excluding energy, food, alcohol and tobacco, Change Y/Y for Jun 2021 (Eurostat) at 0.90 %, in line with consensus estimate
• Euro Zone, HICP, Overall index excluding energy, food, alcohol and tobacco, Change P/P for Jun 2021 (Eurostat) at 0.30 %, in line with consensus estimate
• Japan, Policy Rates, Bank Of Japan Policy Rate Balance for 16 Jul (Bank of Japan) at -0.10 %, in line with consensus estimate
• Nigeria, CPI, Change Y/Y for Jun 2021 (NBS, Nigeria) at 17.75 %
• Nigeria, CPI, Food, Change Y/Y, Price Index for Jun 2021 (NBS, Nigeria) at 21.83 %
• Poland, Core CPI, Excluding food and energy prices, Change Y/Y, Price Index for Jun 2021 (Central Bank, Poland) at 3.50 %, below consensus estimate of 3.60 %
• Russia, Producer Prices, Change P/P for Jun 2021 (RosStat, Russia) at 2.90 %
• Singapore, Exports, Domestic non-oil, Change Y/Y for Jun 2021 (Statistics Singapore) at 15.90 %, above consensus estimate of 9.70 %
• Singapore, Exports, Non-oil domestic exports, Change P/P for Jun 2021 (Statistics Singapore) at 6.00 %, above consensus estimate of 2.10 %
• Slovakia, HICP, Change P/P, Price Index for Jun 2021 (Stat Office of SR) at 0.40 %, in line with consensus estimate
• Slovakia, HICP, Change Y/Y, Price Index for Jun 2021 (Stat Office of SR) at 2.50 %, above consensus estimate of 2.40 %
• United States, Overall, Total business inventories, Change P/P for May 2021 (U.S. Census Bureau) at 0.50 %, in line with consensus estimate
• United States, Retail Sales, Total excluding bldg material & motor vehicle & parts & gasoline station & food svc, Change P/P for Jun 2021 (U.S. Census Bureau) at 1.10 %, above consensus estimate of 0.40 %
• United States, Retail Sales, Total including food services, Change P/P for Jun 2021 (U.S. Census Bureau) at 0.60 %, above consensus estimate of -0.40 %
• United States, Retail Sales, Total including food services, excluding motor vehicle and parts, Change P/P for Jun 2021 (U.S. Census Bureau) at 1.30 %, above consensus estimate of 0.40 %
• United States, University of Michigan, Total-prelim, Volume Index for Jul 2021 (UMICH, Survey) at 80.80, below consensus estimate of 86.50

KEY GLOBAL RATES DIFFERENTIALS

• 5Y German-US interest rates differential 0.9 bp wider at -142.4 bp (YTD change: -31.3 bp), negative for the euro
• 5Y Japan-US interest rates differential 1.6 bp tighter at -90.7 bp (YTD change: -42.4 bp), positive for the yen
• 5Y China-US interest rates differential 0.8 bp tighter at 198.6 bp (YTD change: -58.6 bp), negative for the yuan

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 6.02, up 0.06 (YTD: -1.15)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.08, down -0.1 (YTD: -1.6)
• Japanese Yen 1M ATM IV unchanged at 5.05 (YTD: -1.1)
• Offshore Yuan 1M ATM IV unchanged at 3.60 (YTD: -2.4)

NOTABLE MOVES IN SOVEREIGN CDS TODAY

• Indonesia (rated BBB): up 0.6 basis points to 77 bp (1Y range: 66-126bp)
• Senegal (rated ): down 1.5 basis points to 371 bp (1Y range: 355-409bp)
• Russia (rated BBB): down 0.3 basis points to 85 bp (1Y range: 72-129bp)
• Nigeria (rated B): down 1.5 basis points to 347 bp (1Y range: 333-383bp)
• Turkey (rated BB-): down 2.6 basis points to 379 bp (1Y range: 282-597bp)
• Argentina (rated CCC): down 17.3 basis points to 1,907 bp (1Y range: 1,049-1,968bp)
• Saudi Arabia (rated A): down 0.6 basis points to 55 bp (1Y range: 52-101bp)
• Panama (rated BBB-): down 0.7 basis points to 67 bp (1Y range: 44-97bp)
• Colombia (rated BB+): down 1.8 basis points to 143 bp (1Y range: 83-164bp)
• South Africa (rated BB-): down 3.3 basis points to 194 bp (1Y range: 178-328bp)

LARGEST FX MOVES TODAY

• CFA Franc BEAC up 3.2% (YTD: -0.2%)
• Aruba florin up 2.2% (YTD: +2.2%)
• Peru Sol up 1.6% (YTD: -7.4%)
• Mozambique metical up 1.6% (YTD: +17.3%)
• Rwanda Franc up 1.4% (YTD: -0.1%)
• Azerbaijan New Manat down 1.2% (YTD: -1.2%)
• Chilean Peso down 1.6% (YTD: -6.2%)
• Eritrean Nakfa down 2.6% (YTD: -2.6%)
• Nicaragua Cordoba down 2.6% (YTD: -2.6%)
• Venezuela Bolivar down 3.4% (YTD: -68.9%)

YTD BIGGEST WINNERS & LOSERS

• Seychelles rupee up 22.9%
• Mozambique metical up 17.3%
• Argentine Peso down 12.6%
• Turkish Lira down 12.8%
• Haiti Gourde down 22.0%
• Surinamese dollar down 33.0%
• Syrian Pound down 49.4%
• Venezuela Bolivar down 68.9%
• Libyan Dinar down 70.4%
• Sudanese Pound down 87.6%