FX

US Dollar Index Stable; FX Implied Volatility In EUR, JPY, CNY Down

In emerging markets, Chile and Peru both see their sovereign CDS spreads tighten, with the Peruvian Sol gaining 1.7% against the US$

Published ET

Sources: ϕpost, Refinitiv data

Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is unchanged at 90.8
  • Euro up 0.1% at 1.2078 (YTD: -1.1%)
  • Yen up 0.2% at 109.45 (YTD: -5.7%)
  • Onshore Yuan up 0.1% at 6.4506 (YTD: +1.2%)
  • Swiss franc up 0.4% at 0.9059 (YTD: -2.3%)
  • Sterling unchanged at 1.4050 (YTD: +2.8%)
  • Canadian dollar down 0.2% at 1.2160 (YTD: +4.7%)
  • Australian dollar up 0.1% at 0.7729 (YTD: +0.5%)
  • NZ dollar up 0.2% at 0.7171 (YTD: -0.2%)

MACRO DATA RELEASES

  • Chile, Policy Rates, Monetary Policy Interest Rate for Apr 2021 (Central Bank, Chile) at 0.50% (unchanged)
  • Mexico, Policy Rates, Reference Rate (Overnight Lending Rate) for May 2021 (Banco de Mexico) at 4.00% (unchanged), in line with consensus
  • Peru, Policy Rates, Reference Interest Rate for May 2021 (Central Bank, Peru) at 0.25% (unchanged)
  • Serbia, Policy Rates, RS Benchmark Interest Rate, Change P/P for May 2021 (NBS, Serbia) at 1.00% (unchanged), in line with consensus
  • United States, Jobless Claims, National, Initial for W 08 May (U.S. Dept. of Labor) at 473.00, below consensus estimate of 490.0
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

RATES SPREADS

  • 5Y German-US interest rates spread 3.6 bp tighter (positive for the euro)
  • 5Y Japan-US rates spread 5.3 bp tighter (positive for the yen)
  • 5Y Chinese-US rates spread 5.4 bp wider (positive for the yuan)
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

VOLATILITIES

  • Euro 1-Month At-The-Money Implied Volatility currently at 5.73, down -0.3 on the day (YTD: -1.2)
  • Japanese Yen 1M ATM IV currently at 5.65, down -0.2 on the day (YTD: -0.4)
  • Offshore Yuan 1M ATM IV currently at 4.05, down -0.1 on the day (YTD: -1.6)
  • Deutsche Bank USD Currency Volatility Index currently at 6.66, up 0.05 on the day (YTD: -0.63)
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Philippines (rated BBB): up 2.5 basis points to 48 bp (1Y range: 33-86bp)
  • Indonesia (rated BBB): up 2.3 basis points to 79 bp (1Y range: 66-203bp)
  • Malaysia (rated BBB+): up 1.4 basis points to 47 bp (1Y range: 33-109bp)
  • Saudi Arabia (rated A): up 1.1 basis points to 65 bp (1Y range: 53-156bp)
  • Thailand (rated BBB+): up 1.0 basis points to 41 bp (1Y range: 33-63bp)
  • Spain (rated A-): up 0.9 basis points to 35 bp (1Y range: 29-112bp)
  • China (rated A+): up 0.6 basis points to 38 bp (1Y range: 27-54bp)
  • Government of Chile (rated A-): down 1.2 basis points to 52 bp (1Y range: 43-110bp)
  • Russia (rated BBB): down 1.2 basis points to 94 bp (1Y range: 72-151bp)
  • Peru (rated BBB+): down 1.5 basis points to 83 bp (1Y range: 52-106bp)
Sovereign EM CDS Spreads | Sources: ϕpost, Refinitiv data

NOTABLE OTHER MOVERS TODAY

  • Peruvian Sol up 1.7% (YTD: -1.1%)
  • Mexican Peso up 1.1% (YTD: -0.3%)
  • Russian Rouble up 1.1% (YTD: +0.1%)
  • Jamaican Dollar up 0.9% (YTD: -5.3%)
  • Mauritius Rupee down 0.8% (YTD: -2.4%)
  • Cambodia Riel down 0.8% (YTD: -1.2%)
  • Vanuatu Vatu down 0.9% (YTD: -0.7%)
  • Fiji Dollar down 1.5% (YTD: -0.2%)
  • Venezuela Bolivar down 2.9% (YTD: -62.2%)
  • Haiti Gourde down 4.4% (YTD: -19.4%)