QUICK SUMMARY

• The US Dollar Index is up 0.07% at 92.89 (YTD: +3.24%)
• Euro up 0.01% at 1.1771 (YTD: -3.6%)
• Yen down 0.36% at 110.54 (YTD: -6.6%)
• Onshore Yuan down 0.16% at 6.4808 (YTD: +0.7%)
• Swiss franc down 0.02% at 0.9190 (YTD: -3.7%)
• Sterling down 0.12% at 1.3746 (YTD: +0.5%)
• Canadian dollar up 0.06% at 1.2556 (YTD: +1.4%)
• Australian dollar down 0.19% at 0.7364 (YTD: -4.3%)
• NZ dollar up 0.10% at 0.6971 (YTD: -3.0%)

MACRO DATA RELEASES

• Brazil, CPI, Broad national - 15 (IPCA-15), Change P/P for Jul 2021 (IBGE, Brazil) at 0.72 %, above consensus estimate of 0.64 %
• Canada, Retail Sales, Change P/P for May 2021 (CANSIM, Canada) at -2.10 %, above consensus estimate of -3.00 %
• Euro Zone, PMI, Composite, Output, Flash for Jul 2021 (Markit Economics) at 60.60, above consensus estimate of 60.00
• Euro Zone, PMI, Manufacturing Sector, Total, Flash for Jul 2021 (Markit Economics) at 62.60, above consensus estimate of 62.50
• Euro Zone, PMI, Services Sector, Business Activity, Flash for Jul 2021 (Markit Economics) at 60.40, above consensus estimate of 59.50
• France, PMI, Composite, Output, Flash for Jul 2021 (Markit Economics) at 56.80, below consensus estimate of 58.50
• France, PMI, Manufacturing Sector, Total, Flash for Jul 2021 (Markit/CDAF, France) at 58.10, below consensus estimate of 58.40
• France, PMI, Services Sector, Business Activity, Flash for Jul 2021 (Markit/CDAF, France) at 57.00, below consensus estimate of 58.70
• Germany, PMI, Composite, Output, Flash for Jul 2021 (Markit Economics) at 62.50, above consensus estimate of 60.80
• Germany, PMI, Manufacturing Sector, Total, Flash for Jul 2021 (Markit Economics) at 65.60, above consensus estimate of 64.20
• Germany, PMI, Services Sector, Business Activity, Flash for Jul 2021 (Markit Economics) at 62.20, above consensus estimate of 59.10
• Russia, Policy Rates, Central bank key rate for Jul 2021 (Central Bank, Russia) at 6.50% (up 1%), in line with consensus estimate
• United Kingdom, Markit/CIPS PMI, Composite, Flash for Jul 2021 (Markit Economics) at 57.70, below consensus estimate of 61.70
• United Kingdom, Markit/CIPS PMI, Manufacturing Flash for Jul 2021 (Markit Economics) at 60.40, below consensus estimate of 62.50
• United Kingdom, Markit/CIPS PMI, Services, Flash for Jul 2021 (Markit Economics) at 57.80, below consensus estimate of 62.00
• United Kingdom, Retail Sales, Change, Total including automotive fuel, Change Y/Y for Jun 2021 (ONS, United Kingdom) at 9.70 %, above consensus estimate of 9.60 %
• United Kingdom, Retail Sales, Total RSI excluding automotive fuel, Change P/P for Jun 2021 (ONS, United Kingdom) at 0.30%, below consensus estimate of 0.60 %
• United Kingdom, Retail Sales, Total including automotive fuel, Change P/P for Jun 2021 (ONS, United Kingdom) at 0.50%, above consensus estimate of 0.40 %
• United States, PMI, Composite, Output, Flash for Jul 2021 (Markit Economics) at 59.70
• United States, PMI, Manufacturing Sector, Total, Flash for Jul 2021 (Markit Economics) at 63.10, above consensus estimate of 62.00
• United States, PMI, Services Sector, Business Activity, Flash for Jul 2021 (Markit Economics) at 59.80, below consensus estimate of 64.80

WEEKLY CFTC DATA

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

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -0.4 bp at 141.8 bp (YTD change: +30.8 bp)
• US-JAPAN: -0.7 bp at 86.0 bp (YTD change: +37.8 bp)
• US-CHINA: +0.8 bp at -200.2 bp (YTD change: +57.0 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -2.9 bp at 66.3 bp (YTD change: +20.2bp)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 6.02, down -0.05 (YTD: -1.15)
• Euro 1-Month At-The-Money Implied Volatility currently at 4.93, down -0.2 (YTD: -1.8)
• Japanese Yen 1M ATM IV currently at 5.10, down -0.2 (YTD: -1.0)
• Offshore Yuan 1M ATM IV currently at 3.69, down -0.2 (YTD: -2.3)

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

• 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%