QUICK SUMMARY

• The US Dollar Index is down -0.13% at 92.10 (YTD: +2.35%)
• Euro up 0.08% at 1.1882 (YTD: -2.7%)
• Yen up 0.18% at 109.73 (YTD: -5.9%)
• Onshore Yuan up 0.07% at 6.4528 (YTD: +1.2%)
• Swiss franc up 0.07% at 0.9135 (YTD: -3.1%)
• Sterling up 0.25% at 1.3864 (YTD: +1.4%)
• Canadian dollar up 0.26% at 1.2518 (YTD: +1.7%)
• Australian dollar up 0.80% at 0.7458 (YTD: -3.1%)
• NZ dollar up 0.79% at 0.7160 (YTD: -0.3%)

WEEKLY CFTC DATA - NET MANAGED MONEY POSITION

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

MACRO DATA RELEASES

• Brazil, PMI, Composite, Output, Total for Aug 2021 (Markit Economics) at 54.60 (vs 55.20 prior)
• Brazil, PMI, Services Sector, Business Activity for Aug 2021 (Markit Economics) at 55.10 (vs 54.40 prior)
• China (Mainland), PMI, Services Sector, Business Activity, Caixin PMI for Aug 2021 (Markit Economics) at 46.70 (vs 54.90 prior)
• Euro Zone, PMI, Composite, Output, Final for Aug 2021 (Markit Economics) at 59.00 (vs 59.50 prior), below consensus estimate of 59.50
• Euro Zone, PMI, Services Sector, Business Activity, Final for Aug 2021 (Markit Economics) at 59.00 (vs 59.70 prior), below consensus estimate of 59.70
• France, PMI, Composite, Output, Final for Aug 2021 (Markit/CDAF, France) at 55.90 (vs 55.90 prior), in line with consensus estimate
• France, PMI, Services Sector, Business Activity, Final for Aug 2021 (Markit Economics) at 56.30 (vs 56.40 prior), below consensus estimate of 56.40
• Germany, PMI, Composite, Output, Final for Aug 2021 (Markit Economics) at 60.00 (vs 60.60 prior), below consensus estimate of 60.60
• Germany, PMI, Services Sector, Business Activity, Final for Aug 2021 (Markit Economics) at 60.80 (vs 61.50 prior), below consensus estimate of 61.50
• India, IHS Markit, PMI, Services Sector, Business Activity for Aug 2021 (Markit Economics) at 56.70 (vs 45.40 prior), above consensus estimate of 48.50
• Japan, Jibun Bank, PMI, Services Sector, Service PMI for Aug 2021 (Markit Economics) at 42.90 (vs 47.40 prior)
• Russia, PMI, Services Sector, Business Activity for Aug 2021 (Markit Economics) at 49.30 (vs 53.50 prior)
• South Africa, Standard Bank PMI for Aug 2021 (Markit Economics) at 49.90 (vs 46.10 prior)
• Turkey, CPI, Change P/P, Price Index for Aug 2021 (TURKSTAT) at 1.12 % (vs 1.80 % prior), above consensus estimate of 0.60 %
• United Kingdom, Reserves, Gross, Government, Current Prices for Aug 2021 (HM Treasury) at 201,711.94 Mln USD (vs 178,114.56 Mln USD prior)
• United States, Employment, Nonfarm payroll, total, Absolute change for Aug 2021 (BLS, U.S Dep. Of Lab) at 235.00 k (vs 943.00 k prior), below consensus estimate of 728.00 k
• United States, ISM Non-manufacturing, NMI/PMI for Aug 2021 (ISM, United States) at 61.70 (vs 64.10 prior), above consensus estimate of 61.50
• United States, PMI, Composite, Output, Final for Aug 2021 (Markit Economics) at 55.40 (vs 55.40 prior)
• United States, PMI, Services Sector, Business Activity, Final for Aug 2021 (Markit Economics) at 55.10 (vs 55.20 prior)
• United States, Unemployment, Rate for Aug 2021 (BLS, U.S Dep. Of Lab) at 5.20 % (vs 5.40 % prior), in line with consensus estimate

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -0.7 bp at 146.1 bp (YTD change: +35.1 bp)
• US-JAPAN: +1.1 bp at 90.2 bp (YTD change: +42.0 bp)
• US-CHINA: +0.9 bp at -184.7 bp (YTD change: +72.5 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +3.8 bp at 80.7 bp (YTD change: +34.6bp)
• US-JAPAN: +2.8 bp at -85.7 bp (YTD change: +15.8bp)
• JAPAN-GERMANY: +1.0 bp at 166.4 bp (YTD change: +18.8bp)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 5.76, down -0.08 (YTD: -1.41)
• Euro 1-Month At-The-Money Implied Volatility currently at 4.94, down -0.1 (YTD: -1.7)
• Japanese Yen 1M ATM IV unchanged at 4.98 (YTD: -1.1)
• Offshore Yuan 1M ATM IV unchanged at 3.64 (YTD: -2.3)

NOTABLE MOVES IN SOVEREIGN CDS TODAY

• Panama (rated BBB-): down 0.2 basis points to 66 bp (1Y range: 44-95bp)
• Brazil (rated BB-): down 0.4 basis points to 174 bp (1Y range: 141-252bp)
• Chile (rated A-): down 0.2 basis points to 61 bp (1Y range: 43-75bp)
• Peru (rated BBB+): down 0.3 basis points to 82 bp (1Y range: 52-101bp)
• Morocco (rated BB+): down 0.4 basis points to 89 bp (1Y range: 84-127bp)
• Colombia (rated BB+): down 0.6 basis points to 130 bp (1Y range: 83-164bp)
• Russia (rated BBB): down 0.7 basis points to 77 bp (1Y range: 72-129bp)
• Bahrain (rated B+): down 2.6 basis points to 239 bp (1Y range: 159-330bp)
• Egypt (rated B+): down 6.5 basis points to 333 bp (1Y range: 283-422bp)
• Oman (rated BB-): down 5.0 basis points to 233 bp (1Y range: 223-452bp)

LARGEST FX MOVES TODAY

• Ghanaian Cedi up 2.0% (YTD: -3.4%)
• Haiti Gourde up 1.7% (YTD: -24.2%)
• Cape Verde Escudo up 0.9% (YTD: +0.9%)
• Samoa Tala up 0.9% (YTD: -1.2%)
• St Helena Pound up 0.6% (YTD: +1.4%)
• Norwegian Krone up 0.6% (YTD: -0.8%)
• North Macedonian denar up 0.5% (YTD: -3.0%)
• Swedish Krona up 0.5% (YTD: -3.5%)
• Canadian Dollar up 0.5% (YTD: +1.7%)
• Colombian Peso down 0.9% (YTD: -9.8%)

YTD BIGGEST WINNERS & LOSERS

• Seychelles rupee up 66.0%
• Mozambique metical up 15.4%
• Ethiopian Birr down 13.8%
• Argentine Peso down 14.1%
• Haiti Gourde down 24.2%
• Surinamese dollar down 34.0%
• Syrian Pound down 49.4%
• Libyan Dinar down 70.4%
• Venezuela Bolivar down 73.3%
• Sudanese Pound down 87.5%