QUICK SUMMARY

• The US Dollar Index is up 0.56% at 92.78 (YTD: +3.11%)
• Euro down 0.61% at 1.1760 (YTD: -3.7%)
• Yen down 0.46% at 110.25 (YTD: -6.4%)
• Onshore Yuan down 0.35% at 6.4825 (YTD: +0.7%)
• Swiss franc down 0.77% at 0.9144 (YTD: -3.2%)
• Sterling down 0.41% at 1.3871 (YTD: +1.4%)
• Canadian dollar down 0.31% at 1.2546 (YTD: +1.5%)
• Australian dollar down 0.69% at 0.7353 (YTD: -4.4%)
• NZ dollar down 0.64% at 0.7008 (YTD: -2.5%)

MACRO DATA RELEASES

• Canada, Employment, Absolute change for Jul 2021 (CANSIM, Canada) at 94.00 k, below consensus estimate of 177.50 k
• Canada, Unemployment, Rate for Jul 2021 (CANSIM, Canada) at 7.50 %, above consensus estimate of 7.40 %
• France, Reserve Assets, Current Prices for Jul 2021 (MINEFI, France) at 190,654.00 Mln EUR
• Germany, Production, Total industry including construction, Change P/P for Jun 2021 (Destatis) at -1.30 %, below consensus estimate of 0.50 %
• India, Policy Rates, Cash Reserve Ratio for 06 Aug (RBI) at 4.00 %, in line with consensus estimate
• India, Policy Rates, Repo Rate for 06 Aug (RBI) at 4.00 %, in line with consensus estimate
• India, Policy Rates, Reverse Repo Rate for 06 Aug (RBI) at 3.35 %, in line with consensus estimate
• New Zealand, Reserve Assets, Current Prices for Jul 2021 (RBNZ) at 17,599.00 Mln NZD
• Romania, Policy Rates, Policy Rate for 06 Aug (Cent. Bank, Romania) at 1.25 %, in line with consensus estimate
• Russia, CPI, Change P/P for Jul 2021 (RosStat, Russia) at 0.30 %, below consensus estimate of 0.40 %
• Russia, CPI, Change Y/Y for Jul 2021 (RosStat, Russia) at 6.50 %, below consensus estimate of 6.60 %
• South Africa, Reserves, Gross gold and other foreign reserves, Current Prices for Jul 2021 (SA Reserve Bank) at 54.46 Bln USD
• South Africa, Reserves, Reserve Bank, international liquidity position, Current Prices for Jul 2021 (SA Reserve Bank) at 51.65 Bln USD
• Switzerland, Foreign reserves in convertible foreign currencies, Current Prices for Jul 2021 (Swiss National Bank) at 923,240.00 Mln CHF
• United Kingdom, House Prices, Halifax, UK, Change P/P for Jul 2021 at 0.40 %
• United States, Employment, Nonfarm payroll, total, Absolute change for Jul 2021 (BLS, U.S Dep. Of Lab) at 943 k, above consensus estimate of 870 k
• United States, Unemployment, Rate for Jul 2021 (BLS, U.S Dep. Of Lab) at 5.40 %, below consensus estimate of 5.70 %

WEEKLY CFTC DATA

• ALL: reduction in net long US$ positioning
• G10: reduction in net long US$ positioning
• Emerging: increase in net short US$ positioning
• Euro: increase in net short US$ positioning
• Japanese Yen: reduction in net long US$ positioning
• UK Pound Sterling: reduction in net long US$ positioning
• Australian Dollar: increase in net long US$ positioning
• Swiss Franc: reduced their net short US$ positioning
• Canadian Dollar: increase in net short US$ positioning
• New Zealand Dollar: reduced their net short US$ positioning
• Brazilian Real: increase in net short US$ positioning
• Russian Rouble: increase in net short US$ positioning
• Mexican Peso: reduction in net long US$ positioning

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +0.7 bp at 150.4 bp (YTD change: +39.3 bp)
• US-JAPAN: +3.7 bp at 90.2 bp (YTD change: +41.9 bp)
• US-CHINA: +5.3 bp at -186.0 bp (YTD change: +71.1 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +0.8 bp at 77.0 bp (YTD change: +30.9bp)
• US-JAPAN: +4.3 bp at -87.1 bp (YTD change: +14.4bp)
• JAPAN-GERMANY: -3.5 bp at 164.1 bp (YTD change: +16.5bp)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 5.92, down -0.11 (YTD: -1.25)
• Euro 1-Month At-The-Money Implied Volatility currently at 4.98, down -0.1 (YTD: -1.7)
• Japanese Yen 1M ATM IV unchanged at 5.39 (YTD: -0.7)
• Offshore Yuan 1M ATM IV unchanged at 4.05 (YTD: -1.9)

NOTABLE MOVES IN SOVEREIGN CDS TODAY

• Oman (rated BB-): up 12.4 basis points to 248 bp (1Y range: 223-452bp)
• Egypt (rated B+): up 14.5 basis points to 346 bp (1Y range: 283-422bp)
• Bahrain (rated B+): up 4.7 basis points to 246 bp (1Y range: 159-330bp)
• South Africa (rated BB-): up 3.7 basis points to 203 bp (1Y range: 178-328bp)
• Turkey (rated BB-): up 5.7 basis points to 391 bp (1Y range: 282-597bp)
• Brazil (rated BB-): up 1.6 basis points to 182 bp (1Y range: 141-252bp)
• Malaysia (rated BBB+): up 0.2 basis points to 50 bp (1Y range: 33-57bp)
• Government of Chile (rated A-): down 0.5 basis points to 68 bp (1Y range: 43-75bp)
• Indonesia (rated BBB): down 0.7 basis points to 78 bp (1Y range: 66-118bp)
• Mexico (rated BBB-): down 0.9 basis points to 94 bp (1Y range: 79-164bp)

LARGEST FX MOVES TODAY

• CFA Franc BEAC up 2.9% (YTD: 0.0%)
• Aruba Florin up 2.2% (YTD: +2.2%)
• Lesotho Loti down 1.8% (YTD: +0.3%)
• Chilean Peso down 1.8% (YTD: -9.8%)
• Turkish Lira down 1.9% (YTD: -13.9%)
• Philippine Peso down 1.9% (YTD: -5.3%)
• Haiti Gourde down 2.0% (YTD: -26.1%)
• Nicaragua Cordoba down 2.3% (YTD: -2.7%)
• Eritrean Nakfa down 2.6% (YTD: -2.6%)

YTD BIGGEST WINNERS & LOSERS

• Seychelles rupee up 34.7%
• Mozambique metical up 17.2%
• Colombian Peso down 13.6%
• Turkish Lira down 13.9%
• Haiti Gourde down 26.1%
• Surinamese dollar down 33.8%
• Syrian Pound down 49.4%
• Libyan Dinar down 70.4%
• Venezuela Bolivar down 73.3%
• Sudanese Pound down 87.6%