FX

Dollar Index Barely Up On Little Macro Data Today, As FX Markets Are Waiting For A Sense Of Direction

Risk reversals in major currencies have converged towards zero in the last couple of weeks, with the positive European momentum stalling

Published ET

Sources: ϕpost, Refinitiv data

Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.09% at 89.91 (YTD: -0.03%)
  • Euro down 0.12% at 1.2210 (YTD: 0.0%)
  • Yen down 0.03% at 109.59 (YTD: -5.8%)
  • Onshore Yuan down 0.17% at 6.3805 (YTD: +2.3%)
  • Swiss franc up 0.15% at 0.8981 (YTD: -1.4%)
  • Sterling down 0.30% at 1.4167 (YTD: +3.6%)
  • Canadian dollar up 0.23% at 1.2034 (YTD: +5.8%)
  • Australian dollar up 0.16% at 0.7746 (YTD: +0.7%)
  • NZ dollar down 0.51% at 0.7231 (YTD: +0.6%)

MACRO DATA RELEASES

  • Australia, GDP, Change P/P for Q1 2021 (AU Bureau of Stat) at 1.80, above consensus estimate of 1.60
  • Australia, GDP, Change Y/Y for Q1 2021 (AU Bureau of Stat) at 1.10, above consensus estimate of 0.70
  • Brazil, Production, General industry, Change P/P for Apr 2021 (IBGE, Brazil) at -1.30, below consensus estimate of 0.10
  • Brazil, Production, General industry, Change Y/Y for Apr 2021 (IBGE, Brazil) at 34.70, below consensus estimate of 37.00
  • Indonesia, CPI, Change Y/Y for May 2021 (Statistics Indonesia) at 1.68, above consensus estimate of 1.67
  • Indonesia, IHS Markit, PMI, Manufacturing Sector, IHS Markit PMI, Manufacturing for May 2021 (Markit Economics) at 55.30
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

  • 5Y German-US interest rates differential 0.6 bp wider at -137.9 bp (YTD change: -26.8 bp), negative for the euro
  • 5Y Japan-US interest rates differential 0.8 bp tighter at -90.7 bp (YTD change: -42.4 bp), positive for the yen
  • 5Y China-US interest rates differential 2.1 bp tighter at 211.3 bp (YTD change: -45.8 bp), 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 6.23, up 0.02 on the day (YTD: -0.94)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.79, unchanged (YTD: -0.9)
  • Japanese Yen 1M ATM IV currently at 5.58, unchanged (YTD: -0.5)
  • Offshore Yuan 1M ATM IV currently at 3.96, unchanged (YTD: -2.0)
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Turkey (rated BB-): up 3.1 basis points to 402 bp (1Y range: 282-597bp)
  • Egypt (rated B+): down 1.7 basis points to 324 bp (1Y range: 283-534bp)
  • Mexico (rated BBB-): down 0.6 basis points to 90 bp (1Y range: 79-169bp)
  • Indonesia (rated BBB): down 0.6 basis points to 74 bp (1Y range: 66-142bp)
  • Argentina (rated CCC): down 18.7 basis points to 1,799 bp (1Y range: 1,049-6,788bp)
  • Panama (rated BBB-): down 0.9 basis points to 68 bp (1Y range: 44-112bp)
  • Peru (rated BBB+): down 1.4 basis points to 89 bp (1Y range: 52-97bp)
  • Government of Chile (rated A-): down 1.1 basis points to 64 bp (1Y range: 43-87bp)
  • Colombia (rated BBB-): down 2.4 basis points to 135 bp (1Y range: 83-168bp)
  • Brazil (rated BB-): down 3.8 basis points to 163 bp (1Y range: 141-268bp)

Emerging Markets Sovereign CDS Index | Data source: Refinitiv

LARGEST FX MOVES TODAY

Brazilian Real up 2.8% (YTD: +2.3%)

Lesotho Loti up 1.7% (YTD: +8.7%)

Mauritius Rupee up 1.7% (YTD: -2.4%)

Haiti Gourde down 3.9% (YTD: -21.4%)

Seychellesrupee down 11.3% (YTD: +26.5%)