FX

Dollar Stronger As FX Dominated By Likely Divergence In Policies Of The Fed, ECB

Recent comments by ECB board members suggest they are not happy with the recent rise in German rates and steepening of the curve

Published ET

The Sudanese Pound Has Lost 87% Against the US$ year to date | Source: Refinitiv

The Sudanese Pound Has Lost 87% Against the US$ year to date | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is up 0.4% at 90.0
  • Euro down 0.2% at 1.2193 (YTD: -0.2%)
  • Yen down 0.3% at 109.12 (YTD: -5.4%)
  • Onshore Yuan up 0.4% at 6.3905 (YTD: +2.1%)
  • Swiss franc unchanged at 0.8977 (YTD: -1.4%)
  • Sterling down 0.3% at 1.4119 (YTD: +3.3%)
  • Canadian dollar down 0.7% at 1.2123 (YTD: +5.0%)
  • Australian dollar down 0.2% at 0.7740 (YTD: +0.6%)
  • NZ dollar up 0.9% at 0.7277 (YTD: +1.3%)

MACRO DATA RELEASES

  • France, Business Sentiment, Composite business climate, manufacturing industry for May 2021 (INSEE, France) at 107.00, above consensus estimate of 106.00
  • Kenya, Policy Rates, Central Bank Rate for May 2021 (Central Bank, Kenya) at 7.00, below consensus estimate of 7.00
  • New Zealand, Policy Rates, Official Cash Rate (OCR) for 26 May (RBNZ) at 0.25, below consensus estimate of 0.25
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

RATES SPREADS

  • 5Y German-US interest rates spread 2.5 bp wider, negative for the euro
  • 5Y Japan-US rates spread 0.8 bp wider, negative for the yen
  • 5Y Chinese-US rates spread 1.5 bp tighter, negative for the yuan
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

VOLATILITIES

  • Deutsche Bank USD Currency Volatility Index currently at 6.29, down -0.05 on the day (YTD: -1.00)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.66, down -0.2 on the day (YTD: -1.3)
  • Japanese Yen 1M ATM IV currently at 5.40, down -0.1 on the day (YTD: -0.7)
  • Offshore Yuan 1M ATM IV currently at 4.55, up 0.3 on the day (YTD: -1.1)
ATM Implied Vols | Sources: ϕpost, Refinitiv dataDeutsche Bank Currency Volatility Index | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Russia (rated BBB): up 0.7 basis points to 97 bp (1Y range: 72-129bp)
  • Lebanon (rated CC): down 23.5 basis points to 3,460 bp (1Y range: 3,196-3,683bp)
  • Nigeria (rated B): down 2.5 basis points to 360 bp (1Y range: 333-383bp)
  • Kenya (rated B+): down 3.0 basis points to 426 bp (1Y range: 394-454bp)
  • Argentina (rated CCC): down 14.5 basis points to 1,875 bp (1Y range: 1,049-6,788bp)
  • Brazil (rated BB-): down 1.4 basis points to 175 bp (1Y range: 141-275bp)
  • Vietnam (rated BB): down 0.9 basis points to 102 bp (1Y range: 90-219bp)
  • Panama (rated BBB-): down 0.9 basis points to 71 bp (1Y range: 44-115bp)
  • Saudi Arabia (rated A): down 1.2 basis points to 61 bp (1Y range: 53-136bp)
  • Government of Chile (rated A-): down 1.3 basis points to 69 bp (1Y range: 43-87bp)
Sources: ϕpost, Refinitiv data

TOP OTHER FX MOVERS TODAY

  • Iceland Krona up 2.0% (YTD: +5.3%)
  • Mauritania ouguiya up 1.9% (YTD: +1.9%)
  • South Africa Rand up 1.2% (YTD: +6.8%)
  • Swaziland Lilangeni up 1.2% (YTD: +6.8%)
  • Namibian Dollar up 1.1% (YTD: +6.7%)
  • Lesotho Loti up 1.1% (YTD: +6.7%)
  • Peru Sol down 1.1% (YTD: -6.1%)
  • Sudanese Pound down 1.2% (YTD: -86.8%)
  • Mozambique metical down 1.3% (YTD: +23.0%)
  • Haiti Gourde down 1.5% (YTD: -20.8%)