FX

Macro Now A Tailwind For The Eurozone, Headwind For The US

Medium-term and long-term rates are rising in Europe, and the rates differential currently favors the euro over the dollar

Published ET

Chile 5-Year USD Credit Default Swap Spread | Source: Refinitiv

Chile 5-Year USD Credit Default Swap Spread | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is down -0.5% at 89.8
  • Euro up 0.6% at 1.2220 (YTD: +0.1%)
  • Yen up 0.3% at 108.88 (YTD: -5.2%)
  • Onshore Yuan up 0.2% at 6.4250 (YTD: +1.6%)
  • Swiss franc up 0.6% at 0.8976 (YTD: -1.4%)
  • Sterling up 0.4% at 1.4187 (YTD: +3.8%)
  • Canadian dollar unchanged at 1.2064 (YTD: +5.6%)
  • Australian dollar up 0.4% at 0.7791 (YTD: +1.3%)
  • NZ dollar up 0.7% at 0.7248 (YTD: +0.9%)

MACRO DATA RELEASES

  • Chile, GDP, Change Y/Y for Q1 2021 (Central Bank, Chile) at 0.30, below consensus estimate of 0.5
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change P/P for Q1 2021 (Eurostat) at -0.60, in line with consensus
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change Y/Y for Q1 2021 (Eurostat) at -1.80, in line with consensus
  • Netherlands, GDP, Total, Flash, Change P/P for Q1 2021 (CBS - NL) at -0.50, above consensus estimate of -0.6
  • New Zealand, Milk Auction, Average Price, Constant Prices for W 18 May (Global Dairy Trade) at 4,150.00
  • United Kingdom, Unemployment, Claimant count, Absolute change for Apr 2021 (ONS, United Kingdom) at -15.10
  • United Kingdom, Unemployment, Rate, All aged 16 and over, ILO for Mar 2021 (ONS, United Kingdom) at 4.80, below consensus estimate of 4.9
  • United States, Housing Starts for Apr 2021 (U.S. Census Bureau) at 1.57, below consensus estimate of 1.7
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

RATES SPREADS

  • 5Y German-US interest rates spread 2.3 bp tighter
  • 5Y Japan-US rates spread 1.6 bp tighter
  • 5Y Chinese-US rates spread 1.8 bp wider
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

VOLATILITIES

  • Deutsche Bank USD Currency Volatility Index currently at 6.37, up 0.03 on the day (YTD: -0.92)
  • Euro 1-Month At-The-Money Implied Volatility currently at 6.00, up 0.4 on the day (YTD: -0.9)
  • Japanese Yen 1M ATM IV currently at 5.60, up 0.1 on the day (YTD: -0.5)
  • Offshore Yuan 1M ATM IV currently at 3.96, up 0.1 on the day (YTD: -1.7)
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Government of Chile (rated A-): up 2.7 basis points to 62 bp (1Y range: 43-105bp)
  • Egypt (rated B+): up 9.4 basis points to 331 bp (1Y range: 283-579bp)
  • China (rated A+): up 1.1 basis points to 38 bp (1Y range: 27-54bp)
  • Colombia (rated BBB-): up 3.3 basis points to 134 bp (1Y range: 83-216bp)
  • Slovenia (rated A): up 1.0 basis points to 52 bp (1Y range: 47-55bp)
  • Peru (rated BBB+): up 1.3 basis points to 82 bp (1Y range: 52-103bp)
  • Panama (rated BBB-): up 1.0 basis points to 72 bp (1Y range: 44-141bp)
  • Saudi Arabia (rated A): down 0.8 basis points to 61 bp (1Y range: 53-139bp)
  • Spain (rated A-): down 0.6 basis points to 37 bp (1Y range: 29-105bp)
  • South Africa (rated BB-): down 3.4 basis points to 195 bp (1Y range: 197-372bp)

NOTABLE OTHER MOVERS TODAY

  • Haiti Gourde up 4.7% (YTD: -15.9%)
  • Qatari Riyal up 1.5% (YTD: 0.0%)
  • Jamaican Dollar up 1.2% (YTD: -4.7%)
  • Kyrgyzstan Som up 1.2% (YTD: -0.9%)
  • Iceland Krona up 1.0% (YTD: +3.9%)
  • Korean Won up 0.8% (YTD: -3.6%)
  • Solomon Island Dollar down 0.9% (YTD: -0.1%)
  • Peru Sol down 0.9% (YTD: -3.5%)
  • Venezuela Bolivar down 2.9% (YTD: -63.3%)
  • Myanmar Kyat down 4.7% (YTD: -18.7%)
Sources: ϕpost, Refinitiv data