FX

The Dollar Edged Down, With The Swiss Franc Leading Major Currencies

The yuan weakened as the PBOC announced that FX deposit reserve requirements will rise by 2% (to 7%) effective 15 June, which will reduce the supply of foreign currency sellers in onshore markets

Published ET

CNH Hourly Spot Price and 1-Month 10-Delta Risk Reversal | Source: Refinitiv

CNH Hourly Spot Price and 1-Month 10-Delta Risk Reversal | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is down -0.22% at 89.83 (YTD: -0.12%)
  • Euro down 0.08% at 1.2215 (YTD: +0.0%)
  • Yen up 0.05% at 109.48 (YTD: -5.7%)
  • Onshore Yuan down 0.20% at 6.3796 (YTD: +2.3%)
  • Swiss franc up 0.24% at 0.8973 (YTD: -1.3%)
  • Sterling down 0.42% at 1.4149 (YTD: +3.5%)
  • Canadian dollar down 0.07% at 1.2073 (YTD: +5.5%)
  • Australian dollar up 0.22% at 0.7751 (YTD: +0.7%)
  • NZ dollar down 0.25% at 0.7250 (YTD: +0.9%)

MACRO DATA RELEASES

  • Australia, Current Account, Balance for Q1 2021 (AU Bureau of Stat) at 18.30, above consensus estimate of 17.90
  • Australia, Dwellings Approved, Total building, Australia, Change P/P for Apr 2021 (AU Bureau of Stat) at -8.60, above consensus estimate of -10.00
  • Australia, Net exports, Goods and Services, Total, Contributions to GDP Growth for Q1 2021 (AU Bureau of Stat) at -0.60, above consensus estimate of -1.10
  • Australia, Policy Rates, Cash Target Rate for Jun 2021 (RBA, Australia) at 0.10, in line with consensus
  • Brazil, GDP, Market prices, chain-weighted, Change P/P for Q1 2021 (IBGE, Brazil) at 1.20, above consensus estimate of 1.00
  • Brazil, GDP, Market prices, chain-weighted, Change Y/Y for Q1 2021 (IBGE, Brazil) at 1.00, above consensus estimate of 0.80
  • Brazil, PMI, Manufacturing Sector for May 2021 (Markit Economics) at 53.70
  • Canada, GDP, All industries, Change P/P for Mar 2021 (CANSIM, Canada) at 1.10, above consensus estimate of 1.00
  • Canada, GDP, Total at market prices, annualized, Change P/P for Q1 2021 (CANSIM, Canada) at 5.60, below consensus estimate of 6.70
  • Canada, PMI, Manufacturing Sector for May 2021 (Markit Economics) at 57.00
  • China (Mainland), PMI, Manufacturing Sector, Caixin PMI for May 2021 (Markit Economics) at 52.00, above consensus estimate of 51.90
  • Euro Zone, CPI, Change Y/Y for May 2021 (Eurostat) at 2.00, above consensus estimate of 1.90
  • Euro Zone, CPI, Total excluding energy and unprocessed food, Change Y/Y, Price Index for May 2021 (Eurostat) at 0.90, in line with consensus
  • Euro Zone, PMI, Manufacturing Sector, Total, Final for May 2021 (Markit Economics) at 63.10, above consensus estimate of 62.80
  • Euro Zone, Unemployment, Rate for Apr 2021 (Eurostat) at 8.00, below consensus estimate of 8.10
  • France, PMI, Manufacturing Sector, Total, Final for May 2021 (Markit Economics) at 59.40, above consensus estimate of 59.20
  • Germany, PMI, Manufacturing Sector, Total, Final for May 2021 (Markit Economics) at 64.40, above consensus estimate of 64.00
  • Germany, Unemployment, Change, Absolute change for May 2021 (Deutsche Bundesbank) at -15.00, below consensus estimate of -9.00
  • Germany, Unemployment, Rate, Registered for May 2021 (Deutsche Bundesbank) at 6.00, in line with consensus
  • India, IHS Markit, PMI, Manufacturing Sector, IHS Markit Mfg PMI for May 2021 (Markit Economics) at 50.80, below consensus estimate of 52.00
  • Italy, GDP, Final, Change P/P for Q1 2021 (ISTAT, Italy) at 0.10, above consensus estimate of -0.40
  • Italy, GDP, Final, Change Y/Y for Q1 2021 (ISTAT, Italy) at -0.80, above consensus estimate of -1.40
  • Italy, PMI, Manufacturing Sector for May 2021 (Markit Economics) at 62.30, above consensus estimate of 62.00
  • Japan, PMI, Manufacturing Sector, Jibun Bank Mfg PMI, Final for May 2021 (Markit Economics) at 53.00
  • Mexico, PMI, Manufacturing Sector for May 2021 (Markit Economics) at 47.60
  • New Zealand, Milk Auction, Average Price, Constant Prices for W 01 Jun (GlobalDairy Trade) at 4,128.00
  • Russia, PMI, Manufacturing Sector for May 2021 (Markit Economics) at 51.90
  • South Korea, IHS Markit, PMI, Manufacturing Sector, IHS Markit PMI, Manufacturing for May 2021 (Markit Economics) at 53.70
  • Turkey, PMI, Manufacturing Sector, Istanbul Chamber of Industry PMI for May 2021 (Markit Economics) at 49.30
  • United Kingdom, House Prices, Nationwide, United Kingdom, all properties, Change P/P for May 2021 (Nationwide, UK) at 1.80, above consensus estimate of 0.80
  • United Kingdom, House Prices, Nationwide, United Kingdom, all properties, Change Y/Y for May 2021 (Nationwide, UK) at 10.90, above consensus estimate of 9.20
  • United Kingdom, PMI, Manufacturing Sector for May 2021 (Markit Economics) at 65.60, below consensus estimate of 66.10
  • United States, ISM Manufacturing, PMI total for May 2021 (ISM, United States) at 61.20, above consensus estimate of 60.90
  • United States, PMI, Manufacturing Sector, Total, Final for May 2021 (Markit Economics) at 62.10
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

  • 5Y German-US interest rates differential 1.2 bp wider at -137.3 bp (YTD change: -26.2 bp), negative for the euro
  • 5Y Japan-US interest rates differential 1.5 bp wider at -91.5 bp (YTD change: -43.2 bp), negative for the euro
  • 5Y China-US interest rates differential 2.1 bp wider at 209.2 bp (YTD change: -47.9 bp), positive for the yuan
Sources: ϕpost, Refinitiv data Sources: ϕpost, Refinitiv data Sources: ϕpost, Refinitiv data Sources: ϕpost, Refinitiv data

VOLATILITIES

  • Deutsche Bank USD Currency Volatility Index currently at 6.21, down -0.03 on the day (YTD: -0.96)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.79, up 0.1 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 3.98, down -0.3 on the day (YTD: -2.0)
  • CNH risk reversals up noticeably today
FX Implied Volatility | Sources: ϕpost, Refinitiv dataFX Realized Correlations | Sources: ϕpost, Refinitiv data1-month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Government of Chile (rated A-): down 1.0 basis points to 65 bp (1Y range: 43-87bp)
  • Colombia (rated BBB-): down 2.2 basis points to 138 bp (1Y range: 83-168bp)
  • Panama (rated BBB-): down 1.1 basis points to 69 bp (1Y range: 44-112bp)
  • United Arab Emirates (rated AA-): down 1.0 basis points to 60 bp (1Y range: 50-62bp)
  • Brazil (rated BB-): down 3.2 basis points to 167 bp (1Y range: 141-268bp)
  • Turkey (rated BB-): down 8.0 basis points to 399 bp (1Y range: 282-597bp)
  • Russia (rated BBB): down 2.2 basis points to 93 bp (1Y range: 72-129bp)
  • Saudi Arabia (rated A): down 1.6 basis points to 58 bp (1Y range: 53-131bp)
  • South Africa (rated BB-): down 5.3 basis points to 185 bp (1Y range: 190-329bp)
  • Peru (rated BBB+): down 3.4 basis points to 90 bp (1Y range: 52-97bp)

CDX EM Sovereign CDS Index | Refinitiv data

LARGEST FX MOVES TODAY

  • Eritrean Nakfa up 2.6%
  • Nicaragua Cordoba up 2.4%
  • Tonga Pa'Anga up 1.6%
  • Qatari Riyal up 1.6%
  • Mauritania Ouguiya up 1.5%
  • Bolivian Boliviano down 1.6%
  • Aruba Florin down 2.2%
  • Cape Verde Escudo down 3.6%
  • Sao Tome Dobra down 7.4%
  • Seychelles Rupee down 11.3%