QUICK SUMMARY

• The US Dollar Index is up 0.12% at 92.96 (YTD: +3.31%)
• Euro down 0.17% at 1.1778 (YTD: -3.6%)
• Yen down 0.42% at 109.91 (YTD: -6.1%)
• Onshore Yuan up 0.10% at 6.4845 (YTD: +0.7%)
• Swiss franc down 0.37% at 0.9213 (YTD: -3.9%)
• Sterling down 0.34% at 1.3626 (YTD: -0.3%)
• Canadian dollar up 0.59% at 1.2677 (YTD: +0.5%)
• Australian dollar down 0.12% at 0.7333 (YTD: -4.7%)
• NZ dollar down 0.37% at 0.6917 (YTD: -3.7%)

MACRO DATA RELEASES

• Czech Republic, Producer Prices, Change P/P, Price Index for Jun 2021 (CSU, Czech Rep) at 0.80 %, above consensus estimate of 0.70 %
• Czech Republic, Producer Prices, Change Y/Y, Price Index for Jun 2021 (CSU, Czech Rep) at 6.10 %, above consensus estimate of 5.90 %
• Germany, Producer Prices, Total industry, Change P/P, Price Index for Jun 2021 (Destatis) at 1.30 %, above consensus estimate of 1.10 %
• Germany, Producer Prices, Total industry, Change Y/Y, Price Index for Jun 2021 (Destatis) at 8.50 %, above consensus estimate of 8.40 %
• New Zealand, Milk Auction, Average Price, Constant Prices for W 20 Jul (GlobalDairy Trade) at US$ 3,839.00
• Poland, Producer Prices, Total industry, Change Y/Y for Jun 2021 (CSO, Poland) at 7.00 %, above consensus estimate of 6.80 %
• Poland, Production, Change Y/Y for Jun 2021 (CSO, Poland) at 18.40 %, below consensus estimate of 19.00 %
• Taiwan, Export Orders Received, Change Y/Y for Jun 2021 (MoEA, Taiwan) at 31.10 %, above consensus estimate of 29.45 %
• United States, Building Permits for Jun 2021 (U.S. Census Bureau) at 1.60 Mln, below consensus estimate of 1.70 Mln
• United States, Housing Starts for Jun 2021 (U.S. Census Bureau) at 1.64 Mln, above consensus estimate of 1.59 Mln

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +0.8 bp at 138.1 bp (YTD change: +27.0 bp)
• US-JAPAN: -2.7 bp at 82.3 bp (YTD change: +34.0 bp)
• US-CHINA: -2.3 bp at -206.5 bp (YTD change: +50.6 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +3.6 bp at 63.2 bp (YTD change: +17.1bp)
• US-JAPAN: -0.7 bp at -97.3 bp (YTD change: +4.2bp)
• JAPAN-GERMANY: +4.3 bp at 160.5 bp (YTD change: +12.9bp)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 6.30, up 0.28 (YTD: -0.87)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.25, down -0.2 (YTD: -1.4)
• Japanese Yen 1M ATM IV currently at 5.48, down -0.2 (YTD: -0.6)
• Offshore Yuan 1M ATM IV currently at 3.80, down -0.1 (YTD: -2.2)

NOTABLE MOVES IN SOVEREIGN CDS TODAY

• Oman (rated BB-): up 9.5 basis points to 248 bp (1Y range: 223-485bp)
• Bahrain (rated B+): up 4.1 basis points to 240 bp (1Y range: 159-335bp)
• Nigeria (rated B): up 6.0 basis points to 362 bp (1Y range: 333-383bp)
• Lebanon (rated CC): up 57.0 basis points to 3,474 bp (1Y range: 3,196-3,683bp)
• Kenya (rated B+): up 7.0 basis points to 428 bp (1Y range: 394-454bp)
• Pakistan (rated B-): up 6.5 basis points to 398 bp (1Y range: 362-512bp)
• Mexico (rated BBB-): down 2.4 basis points to 96 bp (1Y range: 79-164bp)
• Peru (rated BBB+): down 2.6 basis points to 83 bp (1Y range: 52-98bp)
• Government of Chile (rated A-): down 2.2 basis points to 64 bp (1Y range: 43-75bp)
• Russia (rated BBB): down 3.2 basis points to 86 bp (1Y range: 72-129bp)

LARGEST FX MOVES TODAY

• CFA Franc BCEAO up 1.2% (YTD: -4.0%)
• Armenian Dram up 0.7% (YTD: +6.7%)
• Philippine Peso up 0.7% (YTD: -5.1%)
• Vanuatu Vatu down 0.7% (YTD: -2.9%)
• Iceland Krona down 0.8% (YTD: +2.3%)
• Falklands Pound down 0.8% (YTD: +0.0%)
• Gibraltar Pound down 0.8% (YTD: +0.0%)
• Haiti Gourde down 1.0% (YTD: -23.0%)
• Venezuela Bolivar down 3.6% (YTD: -70.0%)
• Seychelles rupee down 17.0% (YTD: +23.4%)

YTD BIGGEST WINNERS & LOSERS

• Seychelles rupee up 23.4%
• Mozambique metical up 15.4%
• Argentine Peso down 12.7%
• Turkish Lira down 13.3%
• Haiti Gourde down 23.0%
• Surinamese dollar down 30.5%
• Syrian Pound down 49.4%
• Venezuela Bolivar down 70.0%
• Libyan Dinar down 70.4%
• Sudanese Pound down 87.6%