QUICK SUMMARY

• The US Dollar Index is up 0.05% at 92.82 (YTD: +3.16%)
• Euro down 0.15% at 1.1774 (YTD: -3.6%)
• Yen up 0.15% at 110.13 (YTD: -6.2%)
• Onshore Yuan down 0.03% at 6.4699 (YTD: +0.9%)
• Swiss franc down 0.15% at 0.9189 (YTD: -3.7%)
• Sterling up 0.45% at 1.3772 (YTD: +0.7%)
• Canadian dollar down 0.05% at 1.2558 (YTD: +1.4%)
• Australian dollar up 0.33% at 0.7382 (YTD: -4.1%)
• NZ dollar up 0.17% at 0.6981 (YTD: -2.8%)

MACRO DATA RELEASES

• Argentina, Trade Balance, Current Prices for Jun 2021 (INDEC, Argentina) at 1,067.00 Mln USD, below consensus estimate of 1,200.00 Mln USD
• Australia, Markit PMI, Composite for Jul 2021 (Markit Economics) at 45.20
• Australia, Markit PMI, Manufacturing for Jul 2021 (Markit Economics) at 56.80
• Australia, Markit PMI, Services for Jul 2021 (Markit Economics) at 44.20
• Denmark, Consumer confidence indicator for Jul 2021 (statbank.dk) at 2.60
• Euro Zone, EC Consumer Survey, All Respondents, Consumer Confidence Indicator, Balance for Jul 2021 (DG ECFIN, France) at -4.40, below consensus estimate of -2.50
• Euro Zone, Policy Rates, ECB Deposit Rate for Jul 2021 (ECB) at -0.50 %, in line with consensus estimate
• Euro Zone, Policy Rates, ECB Main refinancing, Fixed Rate (Announcement Dates) for Jul 2021 (ECB) at 0.00 %, in line with consensus estimate
• France, Business Sentiment, Composite business climate, manufacturing industry for Jul 2021 (INSEE, France) at 110.00 , above consensus estimate of 107.00
• Indonesia, Policy Rates, 7-Day Reverse Repo for Jul 2021 (Bank Indonesia) at 3.50 %, in line with consensus estimate
• Indonesia, Policy Rates, Deposit Facility Rate for Jul 2021 (Bank Indonesia) at 2.75 %, in line with consensus estimate
• Indonesia, Policy Rates, Lending Facility Rate for Jul 2021 (Bank Indonesia) at 4.25 %, in line with consensus estimate
• Mexico, CPI, Core CPI, First half of month, Change P/P, Price Index for Jul 2021 (INEGI, Mexico) at 0.31 %, above consensus estimate of 0.22 %
• Mexico, CPI, INPC, First half of month, Change P/P, Price Index for Jul 2021 (INEGI, Mexico) at 0.37 %, above consensus estimate of 0.27 %
• Mozambique, Policy Rates, Standing Lending Facility for Jul 2021 (Bank of Mozambique) at 16.25 %
• Russia, Production, IP Total , Change Y/Y for Jun 2021 (RosStat, Russia) at 10.40 %, above consensus estimate of 10.10 %
• South Africa, Policy Rates, Prime Overdraft Rate for Jul 2021 (SA Reserve Bank) at 7.00 %
• South Africa, Policy Rates, Repo Rate for Jul 2021 (SA Reserve Bank) at 3.50 %, in line with consensus estimate
• Taiwan, Unemployment, Rate for Jun 2021 (DGBAS, Taiwan) at 4.76 %
• Ukraine, Policy Rates, UA Central Bank Interest Rate for 23 Jul (NBU, Ukraine) at 8.00 %, above consensus estimate of 7.50 %
• United Kingdom, CBI Industrial Trends, Level of total order books, current situation for Jul 2021 (CBI, UK) at 17.00, above consensus estimate of 16.00
• United Kingdom, GfK Consumer confidence index for Jul 2021 (GfK Group) at -7.00, above consensus estimate of -8.00
• United States, Existing-Home Sales, Single-Family and Condos, total for Jun 2021 (NAR, United States) at 5.86 Mln, below consensus estimate of 5.90 Mln
• United States, Existing-Home Sales, Single-Family and Condos, total, Change P/P for Jun 2021 (NAR, United States) at 1.40 %
• United States, Jobless Claims, National, Continued for W 10 Jul (U.S. Dept. of Labor) at 3.24 Mln, above consensus estimate of 3.10 Mln
• United States, Jobless Claims, National, Initial for W 17 Jul (U.S. Dept. of Labor) at 419.00 k, above consensus estimate of 350.00 k

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +0.2 bp at 142.2 bp (YTD change: +31.1 bp), negative for the euro
• US-JAPAN: -1.8 bp at 86.7 bp (YTD change: +38.4 bp), positive for the yen
• US-CHINA: -2.2 bp at -201.0 bp (YTD change: +56.1 bp), positive for the yuan

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +0.9 bp at 69.2 bp (YTD change: +23.1bp), negative for the euro
• US-JAPAN: +7.0 bp at -90.3 bp (YTD change: +11.2bp), negative for the yen
• JAPAN-GERMANY: -1.9 bp at 158.6 bp (YTD change: +11.0bp)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 6.07, down -0.03 (YTD: -1.10)
• Euro 1-Month At-The-Money Implied Volatility unchanged at 5.13 (YTD: -1.6)
• Japanese Yen 1M ATM IV unchanged at 5.30 (YTD: -0.8)
• Offshore Yuan 1M ATM IV unchanged at 3.88 (YTD: -2.1)

NOTABLE MOVES IN SOVEREIGN CDS TODAY

South Africa (rated BB-): up 4.0 basis points to 204 bp (1Y range: 178-328bp)

Government of Chile (rated A-): up 0.9 basis points to 64 bp (1Y range: 43-75bp)

Lebanon (rated CC): down 29.5 basis points to 3,400 bp (1Y range: 3,196-3,683bp)

Vietnam (rated BB): down 1.0 basis points to 108 bp (1Y range: 90-159bp)

Pakistan (rated B-): down 3.5 basis points to 389 bp (1Y range: 362-512bp)

Ecuador (rated WD): down 1.5 basis points to 167 bp (1Y range: 157-181bp)

Indonesia (rated BBB): down 0.7 basis points to 79 bp (1Y range: 66-118bp)

Nigeria (rated B): down 3.5 basis points to 354 bp (1Y range: 333-383bp)

Bahrain (rated B+): down 4.4 basis points to 237 bp (1Y range: 159-330bp)

Oman (rated BB-): down 16.1 basis points to 231 bp (1Y range: 223-466bp)

LARGEST FX MOVES TODAY

• Seychelles rupee up 11.7% (YTD: +41.3%)
• Vanuatu Vatu up 1.3% (YTD: -1.6%)
• Sao Tome Dobra up 1.3% (YTD: +8.3%)
• St Helena Pound up 1.1% (YTD: +0.9%)
• Falklands Pound up 0.9% (YTD: +0.8%)
• Gibraltar Pound up 0.9% (YTD: +0.8%)
• Lesotho Loti down 0.8% (YTD: -0.1%)
• Surinamese dollar down 0.8% (YTD: -33.4%)
• Fiji Dollar down 0.9% (YTD: -2.4%)
• Haiti Gourde down 1.5% (YTD: -24.2%)

YTD BIGGEST WINNERS & LOSERS

• Seychelles rupee up 41.3%
• Mozambique metical up 15.4%
• Argentine Peso down 12.8%
• Turkish Lira down 13.2%
• Haiti Gourde down 24.2%
• Surinamese dollar down 33.4%
• Syrian Pound down 49.4%
• Libyan Dinar down 70.4%
• Venezuela Bolivar down 71.1%
• Sudanese Pound down 87.6%