QUICK SUMMARY

• The US Dollar Index is down -0.12% at 94.86 (YTD: -0.84%)
• Euro up 0.19% at 1.1464 (YTD: +0.8%)
• Yen up 0.75% at 113.76 (YTD: +1.2%)
• Onshore Yuan down 0.03% at 6.3605 (YTD: 0.0%)
• Swiss franc up 0.42% at 0.9103 (YTD: +0.2%)
• Sterling up 0.12% at 1.3718 (YTD: +1.4%)
• Canadian dollar down 0.04% at 1.2513 (YTD: +1.0%)
• Australian dollar down 0.21% at 0.7269 (YTD: +0.1%)
• NZ dollar up 0.13% at 0.6853 (YTD: +0.4%)

MACRO DATA RELEASES

• Argentina, CPI, National, Change P/P for Dec 2021 (INDEC, Argentina) at 3.80 % (vs 2.50 % prior), above consensus estimate of 3.60 %
• Argentina, CPI, Total, Gran Buenos Aires, Change P/P for Dec 2021 (INDEC, Argentina) at 4.10 % (vs 2.30 % prior)
• Argentina, CPI, Total, Gran Buenos Aires, Change Y/Y for Dec 2021 (INDEC, Argentina) at 51.40 % (vs 50.90 % prior)
• Argentina, Public Finances, Central Government, Tax revenues, total, Current Prices for Dec 2021 at 1,179.89 Bln ARS (vs 1,034.96 Bln ARS prior)
• Czech Republic, Current Account, Balance, Current Prices for Nov 2021 (Czech National Bank) at -6.00 Bln CZK (vs -3.68 Bln CZK prior), above consensus estimate of -9.00 Bln CZK
• Czech Republic, Retail Sales, Retail trade (incl. retail sale of automotive fuel), Change Y/Y for Nov 2021 (CSU, Czech Rep) at 13.20 % (vs 5.60 % prior), above consensus estimate of 11.80 %
• Greece, CPI, Change Y/Y, Price Index for Dec 2021 (ELSTAT, Greece) at 5.10 % (vs 4.80 % prior), below consensus estimate of 5.40 %
• Greece, HICP, Change Y/Y, Price Index for Dec 2021 (ELSTAT, Greece) at 4.40 % (vs 4.00 % prior), below consensus estimate of 4.70 %
• Italy, Production, Total industry excluding construction, Change P/P for Nov 2021 (ISTAT, Italy) at 1.90 % (vs -0.60 % prior), above consensus estimate of 0.50 %
• Italy, Production, Total industry excluding construction, Change Y/Y for Nov 2021 (ISTAT, Italy) at 6.30 % (vs 2.00 % prior), above consensus estimate of 3.70 %
• Japan, Producer Prices, Domestic, total, Change P/P, Price Index for Dec 2021 (Bank of Japan) at -0.20 % (vs 0.60 % prior), below consensus estimate of 0.30 %
• Japan, Producer Prices, Domestic, total, Change Y/Y, Price Index for Dec 2021 (Bank of Japan) at 8.50 % (vs 9.00 % prior), below consensus estimate of 8.80 %
• Poland, Current Account, Balance, Current Prices for Nov 2021 (Central Bank, Poland) at -1,112.00 Mln EUR (vs -1,791.00 Mln EUR prior), above consensus estimate of -1,482.00 Mln EUR
• Serbia, Policy Rates, RS Benchmark Interest Rate, Change P/P for Jan 2022 (NBS, Serbia) at 1.00 % (vs 1.00 % prior), in line with consensus
• United States, Jobless Claims, National, Continued for W 01 Jan (U.S. Dept. of Labor) at 1.56 Mln (vs 1.75 Mln prior), below consensus estimate of 1.73 Mln
• United States, Jobless Claims, National, Initial for W 08 Jan (U.S. Dept. of Labor) at 230.00 k (vs 207.00 k prior), above consensus estimate of 200.00 k
• United States, Producer Prices, Final demand less foods and energy, Change P/P for Dec 2021 (BLS, U.S Dep. Of Lab) at 0.50 % (vs 0.70 % prior), in line with consensus
• United States, Producer Prices, Final demand less foods and energy, Change Y/Y for Dec 2021 (BLS, U.S Dep. Of Lab) at 8.30 % (vs 7.70 % prior), above consensus estimate of 8.00 %
• United States, Producer Prices, Final demand, Change P/P for Dec 2021 (BLS, U.S Dep. Of Lab) at 0.20 % (vs 0.80 % prior), below consensus estimate of 0.40 %
• United States, Producer Prices, Final demand, Change Y/Y for Dec 2021 (BLS, U.S Dep. Of Lab) at 9.70 % (vs 9.60 % prior), below consensus estimate of 9.80 %

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: +1.7 bp at 192.2 bp (YTD change: +20.1 bp)
• US-JAPAN: -5.5 bp at 151.6 bp (YTD change: +16.9 bp)
• US-CHINA: -2.5 bp at -105.8 bp (YTD change: +23.4 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

• US-GERMANY: -1.5 bp at 106.1 bp (YTD change: +22.9bp)
• US-JAPAN: -1.4 bp at -30.5 bp (YTD change: +40.3bp)
• JAPAN-GERMANY: -0.1 bp at 136.6 bp (YTD change: -17.4bp)

VOLATILITIES TODAY

• Deutsche Bank USD Currency Volatility Index currently at 6.10, up 0.03 (YTD: -0.01)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.16, down -0.2 (YTD: +0.2)
• Japanese Yen 1M ATM IV currently at 5.91, up 0.1 (YTD: +1.7)
• Offshore Yuan 1M ATM IV unchanged at 2.89 (YTD: -0.4)

NOTABLE MOVES IN SOVEREIGN CDS TODAY

• Philippines (rated BBB): up 1.5 basis points to 60 bp (1Y range: 36-70bp)
• Chile (rated A-): up 1.7 basis points to 78 bp (1Y range: 43-95bp)
• Malaysia (rated BBB+): up 1.7 basis points to 51 bp (1Y range: 36-64bp)
• Indonesia (rated BBB): up 2.0 basis points to 82 bp (1Y range: 66-94bp)
• Mexico (rated BBB-): up 2.8 basis points to 97 bp (1Y range: 80-124bp)
• Panama (rated BBB-): up 3.0 basis points to 86 bp (1Y range: 51-103bp)
• South Africa (rated BB-): up 5.0 basis points to 199 bp (1Y range: 178-246bp)
• Brazil (rated BB-): up 5.4 basis points to 218 bp (1Y range: 148-266bp)
• Russia (rated BBB): up 24.0 basis points to 158 bp (1Y range: 75-134bp)
• Argentina (rated CCC): up 120.0 basis points to 3,078 bp (1Y range: 1,161-3,111bp)

LARGEST FX MOVES TODAY

• CFA Franc BCEAO up 0.9% (YTD: +1.3%)
• Tunisian Dinar up 0.9% (YTD: +0.5%)
• Chilean Peso up 0.8% (YTD: +4.4%)
• Czech Koruna down 0.8% (YTD: +2.2%)
• Malawi Kwacha down 0.8% (YTD: -1.6%)
• Algerian Dinar down 0.8% (YTD: -0.6%)
• Russian Rouble down 2.4% (YTD: -2.0%)
• Turkish Lira down 2.7% (YTD: -2.1%)
• Haiti Gourde down 2.8% (YTD: -5.0%)
• CFA Franc BEAC down 3.4% (YTD: +0.2%)

YTD BIGGEST WINNERS & LOSERS

• Hungarian Forint up 4.9%
• Seychelles rupee up 4.6%
• Chilean Peso up 4.4%
• Namibian Dollar up 4.1%
• South Africa Rand up 3.6%
• Lesotho Loti up 3.3%
• Swaziland Lilangeni up 3.3%
• Angolan Kwanza up 2.9%
• Surinamese dollar down 4.2%
• Haiti Gourde down 5.0%