QUICK SUMMARY

• The US Dollar Index is down -0.42% at 91.88 (YTD: +2.11%)
• Euro up 0.40% at 1.1889 (YTD: -2.7%)
• Yen up 0.43% at 109.45 (YTD: -5.6%)
• Onshore Yuan up 0.54% at 6.4562 (YTD: +1.1%)
• Swiss franc up 0.49% at 0.9058 (YTD: -2.2%)
• Sterling up 0.51% at 1.3969 (YTD: +2.2%)
• Canadian dollar up 0.69% at 1.2443 (YTD: +2.3%)
• Australian dollar up 0.31% at 0.7399 (YTD: -3.8%)
• NZ dollar up 0.95% at 0.7013 (YTD: -2.4%)

MACRO DATA RELEASES

• Belgium, GDP, Change P/P for Q2 2021 (NBB, Belgium) at 1.40 %, below consensus estimate of 1.50 %
• Brazil, Composite Index, IGP-M inflation, Change P/P, Price Index for Jul 2021 (FGV, Brazil) at 0.78 %, below consensus estimate of 0.90 %
• Euro Zone, All Respondents, Total, Consumer Confidence Indicator, Balance for Jul 2021 (DG ECFIN, France) at -4.40, in line with consensus estimate
• Germany, CPI, Flash, Change Y/Y, Price Index for Jul 2021 (Destatis) at 3.80 %, above consensus estimate of 3.30 %
• Germany, HICP, Flash, Change Y/Y, Price Index for Jul 2021 (Destatis) at 3.10 %, above consensus estimate of 2.90 %
• Germany, Unemployment, Change, Absolute change for Jul 2021 (Deutsche Bundesbank) at -91k, below consensus estimate of -28k
• Germany, Unemployment, Rate, Registered for Jul 2021 (Deutsche Bundesbank) at 5.70 %, below consensus estimate of 5.80 %
• Japan, Labour Market n.i.e, Active opening rate for Jun 2021 at 1.13%, above consensus estimate of 1.10%
• Japan, Production, Mining and manufacturing, preliminary, Change P/P for Jun 2021 (METI, Japan) at 6.20 %, above consensus estimate of 5.00 %
• Japan, Unemployment, Rate for Jun 2021 (MIC, Japan) at 2.90 %, below consensus estimate of 3.00 %
• Sweden, GDP, GDP at market prices, Change Y/Y for Q2 2021 (SCB, Sweden) at 10.00 %
• Sweden, GDP, Total at market prices, Change P/P for Q2 2021 (SCB, Sweden) at 0.90 %, above consensus estimate of 0.70 %
• United States, GDP, Total-adv, Change P/P for Q2 2021 (BEA, US Dept. Of Com) at 6.50 %, below consensus estimate of 8.50 %
• United States, Jobless Claims, National, Initial for W 24 Jul (U.S. Dept. of Labor) at 400k, above consensus estimate of 380k

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +1.1 bp at 147.5 bp (YTD change: +36.4 bp)
• US-JAPAN: +1.8 bp at 87.4 bp (YTD change: +39.1 bp)
• US-CHINA: +3.8 bp at -197.3 bp (YTD change: +59.8 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +6.2 bp at 69.5 bp (YTD change: +23.4bp)
• US-JAPAN: +4.3 bp at -97.4 bp (YTD change: +4.1bp)
• JAPAN-GERMANY: +1.9 bp at 166.9 bp (YTD change: +19.3bp)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 6.04, down -0.11 (YTD: -1.13)
• Euro 1-Month At-The-Money Implied Volatility unchanged at 5.23 (YTD: -1.5)
• Japanese Yen 1M ATM IV currently at 5.34, up 0.1 (YTD: -0.8)
• Offshore Yuan 1M ATM IV currently at 4.18, down -0.2 (YTD: -1.8)

NOTABLE MOVES IN SOVEREIGN CDS TODAY

• Peru (rated BBB+): up 5.5 basis points to 95 bp (1Y range: 52-98bp)
• Indonesia (rated BBB): down 2.0 basis points to 80 bp (1Y range: 66-118bp)
• Bahrain (rated B+): down 7.3 basis points to 240 bp (1Y range: 159-330bp)
• Russia (rated BBB): down 2.6 basis points to 85 bp (1Y range: 72-129bp)
• Saudi Arabia (rated A): down 1.7 basis points to 55 bp (1Y range: 52-101bp)
• South Africa (rated BB-): down 6.5 basis points to 200 bp (1Y range: 178-328bp)
• Egypt (rated B+): down 11.6 basis points to 339 bp (1Y range: 283-424bp)
• Mexico (rated BBB-): down 3.6 basis points to 94 bp (1Y range: 79-164bp)
• Colombia (rated BB+): down 6.5 basis points to 146 bp (1Y range: 83-164bp)
• Oman (rated BB-): down 13.7 basis points to 231 bp (1Y range: 223-466bp)

LARGEST FX MOVES TODAY

• CFA Franc BEAC up 4.1% (YTD: +0.2%)
• Colombian Peso up 2.2% (YTD: -11.0%)
• Iceland Krona up 1.9% (YTD: +3.2%)
• Brazilian Real up 1.7% (YTD: +2.2%)
• Botswana Pula up 1.7% (YTD: -1.8%)
• Norwegian Krone up 1.7% (YTD: -1.8%)
• Lesotho Loti up 1.5% (YTD: +0.9%)
• Czech Koruna up 1.5% (YTD: +0.2%)
• South Africa Rand up 1.5% (YTD: +0.9%)