QUICK SUMMARY

• The US Dollar Index is up 0.13% at 94.50 (YTD: +5.03%)
• Euro down 0.07% at 1.1543 (YTD: -5.5%)
• Yen down 0.11% at 113.44 (YTD: -9.0%)
• Onshore Yuan up 0.03% at 6.4485 (YTD: +1.2%)
• Swiss franc down 0.19% at 0.9296 (YTD: -4.8%)
• Sterling up 0.02% at 1.3598 (YTD: -0.5%)
• Canadian dollar up 0.12% at 1.2467 (YTD: +2.2%)
• Australian dollar down 0.24% at 0.7333 (YTD: -4.7%)
• NZ dollar down 0.23% at 0.6926 (YTD: -3.6%)

MACRO DATA RELEASES

• Germany, ZEW, Current Economic Situation, Germany, balance for Oct 2021 (ZEW, Germany) at 21.60 (vs 31.90 prior), below consensus estimate of 28.50
• Germany, ZEW, Economic Expectations, Germany, balance for Oct 2021 (ZEW, Germany) at 22.30 (vs 26.50 prior), below consensus estimate of 24.00
• India, CPI, Rural and urban, General, Change Y/Y, Price Index for Sep 2021 (MOSPI, India) at 4.35 % (vs 5.30 % prior), below consensus estimate of 4.50 %
• India, Production, Change Y/Y, Volume Index for Aug 2021 (MOSPI, India) at 11.90 % (vs 11.50 % prior), below consensus estimate of 12.00 %
• Japan, New Orders, Machinery , Private, excluding volatile orders, Change P/P for Aug 2021 (Cabinet Office, JP) at -2.40 % (vs 0.90 % prior), below consensus estimate of 1.70 %
• Japan, New Orders, Machinery , Private, excluding volatile orders, Change Y/Y for Aug 2021 (Cabinet Office, JP) at 17.00 % (vs 11.10 % prior), above consensus estimate of 14.70 %
• Malaysia, Production, Total industry, Change Y/Y for Aug 2021 (Statistics, Malaysia) at -0.70 % (vs -5.20 % prior), below consensus estimate of 0.60 %
• Mexico, Production, Total industry, Change P/P for Aug 2021 (INEGI, Mexico) at 0.40 % (vs 1.10 % prior), above consensus estimate of -0.60 %
• Mexico, Production, Total industry, Change Y/Y for Aug 2021 (INEGI, Mexico) at 5.50 % (vs 7.30 % prior), above consensus estimate of 4.00 %
• Romania, CPI, All Items, Change Y/Y, Price Index for Sep 2021 (NIS, Romania) at 6.29 % (vs 5.25 % prior), above consensus estimate of 5.83 %
• Russia, Trade Balance, Total, Free On Board, Current Prices for Aug 2021 (Central Bank, Russia) at 17.11 Bln USD (vs 23.19 Bln USD prior)
• South Africa, Manufacturing Production MM, Change P/P for Aug 2021 (Statistics, SA) at 7.60 % (vs -8.00 % prior), above consensus estimate of 6.00 %
• South Africa, Mining Production YY, Change Y/Y for Aug 2021 (Statistics, SA) at 2.00 % (vs 10.30 % prior), below consensus estimate of 6.00 %
• South Korea, Policy Rates, Base Rate for Oct 2021 (The Bank of Korea) at 0.75 % (vs 0.75 % prior), in line with consensus estimate
• United Kingdom, Earnings, Average Weekly, Whole economy, regular pay, 3 month average, Change Y/Y for Aug 2021 (ONS, United Kingdom) at 6.00 % (vs 6.80 % prior), in line with consensus estimate
• United Kingdom, Earnings, Average Weekly, Whole economy, total pay, 3 month average, Change Y/Y for Aug 2021 (ONS, United Kingdom) at 7.20 % (vs 8.30 % prior), above consensus estimate of 7.00 %
• United Kingdom, Employed, Change in Level of Employment 3m/3m , Volume for Aug 2021 (ONS, United Kingdom) at 235.00 k (vs 183.00 k prior), below consensus estimate of 243.00 k
• United Kingdom, Unemployment, Claimant count, Absolute change for Sep 2021 (ONS, United Kingdom) at -51.10 k (vs -58.60 k prior)
• United Kingdom, Unemployment, Rate, All aged 16 and over, ILO for Aug 2021 (ONS, United Kingdom) at 4.50 % (vs 4.60 % prior), in line with consensus estimate
• United States, JOLTS Job Openings for Aug 2021 (BLS, U.S Dep. Of Lab) at 10.44 Mln (vs 10.93 Mln prior), below consensus estimate of 10.93 Mln

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -1.9 bp at 154.4 bp (YTD change: +43.3 bp)
• US-JAPAN: +1.1 bp at 115.2 bp (YTD change: +66.9 bp)
• US-CHINA: +1.5 bp at -169.6 bp (YTD change: +87.5 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -4.5 bp at 87.8 bp (YTD change: +41.7bp)
• US-JAPAN: -1.1 bp at -60.7 bp (YTD change: +40.8bp)
• JAPAN-GERMANY: -1.1 bp at 148.5 bp (YTD change: +0.9bp)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 6.14, up 0.13 (YTD: -1.03)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.23, up 0.2 (YTD: -1.5)
• Japanese Yen 1M ATM IV currently at 6.58, up 0.4 (YTD: +0.5)
• Offshore Yuan 1M ATM IV unchanged at 3.65 (YTD: -2.3)
• Euro and yen 1-Month 10-Delta risk reversals are now sitting at around 2 standard deviations from their 3-month averages, with heavy directional positioning in options markets

NOTABLE MOVES IN SOVEREIGN CDS TODAY

• Mexico (rated BBB-): up 5.3 basis points to 102 bp (1Y range: 79-127bp)
• Argentina (rated CCC): up 96.2 basis points to 2,226 bp (1Y range: 1,049-2,182bp)
• Panama (rated BBB-): up 3.4 basis points to 93 bp (1Y range: 44-91bp)
• Russia (rated BBB): up 3.3 basis points to 90 bp (1Y range: 72-117bp)
• Brazil (rated BB-): up 6.2 basis points to 209 bp (1Y range: 141-229bp)
• Bahrain (rated B+): up 7.6 basis points to 294 bp (1Y range: 159-330bp)
• Chile (rated A-): up 2.2 basis points to 88 bp (1Y range: 43-87bp)
• Colombia (rated BB+): up 4.2 basis points to 168 bp (1Y range: 83-175bp)
• United Arab Emirates (rated AA-): up 1.5 basis points to 65 bp (1Y range: 50-66bp)
• China (rated A+): down 3.1 basis points to 56 bp (1Y range: 27-58bp)

LARGEST FX MOVES TODAY

• Liberian Dollar up 2.5% (YTD: -1.2%)
• Armenian Dram up 2.2% (YTD: +10.1%)
• Samoa Tala up 1.1% (YTD: -1.6%)
• Thai Baht up 1.0% (YTD: -9.5%)
• Peru Sol up 0.9% (YTD: -10.7%)
• Colombian Peso up 0.8% (YTD: -7.9%)
• Angolan Kwanza down 0.5% (YTD: +8.6%)
• Tunisian Dinar down 0.8% (YTD: -4.9%)
• Haiti Gourde down 1.4% (YTD: -26.8%)
• Jamaican Dollar down 1.9% (YTD: -5.6%)

YTD BIGGEST WINNERS & LOSERS

• Seychelles rupee up 41.5%
• New Zambian kwacha up 25.0%
• Mozambique metical up 15.4%
• Turkish Lira down 17.7%
• Haiti Gourde down 26.8%
• Myanmar Kyat down 33.3%
• Surinamese dollar down 33.8%
• Syrian Pound down 49.4%
• Libyan Dinar down 70.7%
• Sudanese Pound down 87.5%