QUICK SUMMARY

• The US Dollar Index is down -0.55% at 92.97 (YTD: +3.32%)
• Euro up 0.37% at 1.1739 (YTD: -3.9%)
• Yen up 0.09% at 109.72 (YTD: -5.9%)
• Onshore Yuan up 0.30% at 6.4805 (YTD: +0.7%)
• Swiss franc up 0.46% at 0.9129 (YTD: -3.0%)
• Sterling up 0.70% at 1.3716 (YTD: +0.3%)
• Canadian dollar up 1.33% at 1.2656 (YTD: +0.6%)
• Australian dollar up 0.97% at 0.7203 (YTD: -6.4%)
• NZ dollar up 0.85% at 0.6883 (YTD: -4.2%)

MACRO DATA RELEASES

• Denmark, Consumer confidence indicator for Aug 2021 (statbank.dk) at 4.40 (vs 2.60 prior)
• Euro Zone, EC Consumer Survey, All Respondents, Consumer Confidence Indicator, Balance for Aug 2021 (DG ECFIN, France) at -5.30 (vs -4.40 prior), below consensus estimate of -5.00
• Euro Zone, PMI, Composite, Output, Flash for Aug 2021 (Markit Economics) at 59.50 (vs 60.20 prior), below consensus estimate of 59.70
• Euro Zone, PMI, Manufacturing Sector, Total, Flash for Aug 2021 (Markit Economics) at 61.50 (vs 62.80 prior), below consensus estimate of 62.00
• Euro Zone, PMI, Services Sector, Business Activity, Flash for Aug 2021 (Markit Economics) at 59.70 (vs 59.80 prior), below consensus estimate of 59.80
• France, PMI, Composite, Output, Flash for Aug 2021 (Markit Economics) at 55.90 (vs 56.60 prior), below consensus estimate of 56.50
• France, PMI, Manufacturing Sector, Total, Flash for Aug 2021 (Markit/CDAF, France) at 57.30 (vs 58.00 prior), in line with consensus estimate
• France, PMI, Services Sector, Business Activity, Flash for Aug 2021 (Markit/CDAF, France) at 56.40 (vs 56.80 prior), below consensus estimate of 57.00
• Germany, PMI, Composite, Output, Flash for Aug 2021 (Markit Economics) at 60.60 (vs 62.40 prior), below consensus estimate of 62.20
• Germany, PMI, Manufacturing Sector, Total, Flash for Aug 2021 (Markit Economics) at 62.70 (vs 65.90 prior), below consensus estimate of 65.00
• Germany, PMI, Services Sector, Business Activity, Flash for Aug 2021 (Markit Economics) at 61.50 (vs 61.80 prior), above consensus estimate of 61.00
• Israel, Policy Rates, Bank of Israel Headline Rate for Aug 2021 (Bank of Israel) at 0.10 % (vs 0.10 % prior), in line with consensus estimate
• Japan, PMI, Manufacturing Sector, Jibun Bank Mfg PMI, Flash for Aug 2021 (Markit Economics) at 52.40 (vs 53.00 prior)
• United Kingdom, Markit/CIPS PMI, Composite, Flash for Aug 2021 (Markit Economics) at 55.30 (vs 59.20 prior), below consensus estimate of 58.40
• United Kingdom, Markit/CIPS PMI, Manufacturing Flash for Aug 2021 (Markit Economics) at 60.10 (vs 60.40 prior), above consensus estimate of 59.50
• United Kingdom, Markit/CIPS PMI, Services, Flash for Aug 2021 (Markit Economics) at 55.50 (vs 59.60 prior), below consensus estimate of 59.00
• United States, Existing-Home Sales, Single-Family and Condos, total for Jul 2021 (NAR, United States) at 5.99 Mln (vs 5.86 Mln prior), above consensus estimate of 5.83 Mln
• United States, PMI, Composite, Output, Flash for Aug 2021 (Markit Economics) at 55.40 (vs 59.90 prior), below consensus estimate of 58.30
• United States, PMI, Manufacturing Sector, Total, Flash for Aug 2021 (Markit Economics) at 61.20 (vs 63.40 prior), below consensus estimate of 62.50
• United States, PMI, Services Sector, Business Activity, Flash for Aug 2021 (Markit Economics) at 55.20 (vs 59.90 prior), below consensus estimate of 59.50

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -1.8 bp at 151.7 bp (YTD change: +40.6 bp)
• US-JAPAN: -1.8 bp at 90.8 bp (YTD change: +42.5 bp)
• US-CHINA: -2.5 bp at -191.4 bp (YTD change: +65.8 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -0.6 bp at 85.4 bp (YTD change: +39.3bp)
• US-JAPAN: -2.6 bp at -84.8 bp (YTD change: +16.7bp)
• JAPAN-GERMANY: +2.0 bp at 170.2 bp (YTD change: +22.6bp)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 5.96, down -0.13 (YTD: -1.21)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.40, up 0.2 (YTD: -1.3)
• Japanese Yen 1M ATM IV currently at 5.20, up 0.1 (YTD: -0.9)
• Offshore Yuan 1M ATM IV currently at 3.90, down -0.1 (YTD: -2.1)

NOTABLE MOVES IN SOVEREIGN CDS TODAY

• Morocco (rated BB+): up 0.7 basis points to 94 bp (1Y range: 84-127bp)
• Indonesia (rated BBB): up 0.5 basis points to 73 bp (1Y range: 66-118bp)
• Peru (rated BBB+): down 1.0 basis points to 90 bp (1Y range: 52-101bp)
• Brazil (rated BB-): down 2.3 basis points to 187 bp (1Y range: 141-252bp)
• Chile (rated A-): down 1.1 basis points to 67 bp (1Y range: 43-75bp)
• Turkey (rated BB-): down 7.3 basis points to 381 bp (1Y range: 282-570bp)
• Saudi Arabia (rated A): down 1.2 basis points to 53 bp (1Y range: 52-101bp)
• Colombia (rated BB+): down 3.4 basis points to 143 bp (1Y range: 83-164bp)
• South Africa (rated BB-): down 5.8 basis points to 202 bp (1Y range: 178-328bp)
• Russia (rated BBB): down 2.6 basis points to 84 bp (1Y range: 72-129bp)

LARGEST FX MOVES TODAY

• Haiti Gourde up 3.1% (YTD: -23.8%)
• Jamaican Dollar up 1.4% (YTD: -6.7%)
• Canadian Dollar up 1.3% (YTD: +0.6%)
• Norwegian Krone up 1.1% (YTD: -3.8%)
• Swedish Krona up 1.0% (YTD: -5.5%)
• Australian Dollar up 1.0% (YTD: -6.4%)
• Cape Verde Escudo up 1.0% (YTD: 0.0%)
• South Africa Rand up 0.9% (YTD: -3.1%)
• Namibian Dollar up 0.9% (YTD: -3.1%)
• Swazi Lilangeni up 0.9% (YTD: -3.1%)

YTD BIGGEST WINNERS & LOSERS

• Seychelles rupee up 62.3%
• Mozambique metical up 15.4%
• Argentine Peso down 13.7%
• Ethiopian Birr down 13.8%
• Haiti Gourde down 23.8%
• Surinamese dollar down 34.2%
• Syrian Pound down 49.4%
• Libyan Dinar down 70.5%
• Venezuela Bolivar down 73.3%
• Sudanese Pound down 87.6%