FX

Major Currencies Rise Slightly Against The US Dollar On Monday

The absence of clarity on the timing of Fed and ECB policies will likely keep FX markets range bound for the next couple of months, with Jackson Hole (Aug. 26-28) now the focus of options markets

Published ET

Sources: ϕpost, Refinitiv data

Sources: ϕpost, Refinitiv data

Twitter iconFacebook iconLinkedIn iconemail iconWhatsApp icon

QUICK SUMMARY

  • The US Dollar Index is down -0.21% at 89.95 (YTD: +0.01%)
  • Euro up 0.21% at 1.2191 (YTD: -0.2%)
  • Yen up 0.22% at 109.27 (YTD: -5.5%)
  • Onshore Yuan down 0.04% at 6.3963 (YTD: +2.0%)
  • Swiss franc up 0.22% at 0.8976 (YTD: -1.4%)
  • Sterling up 0.16% at 1.4177 (YTD: +3.7%)
  • Canadian dollar down 0.01% at 1.2086 (YTD: +5.4%)
  • Australian dollar up 0.23% at 0.7755 (YTD: +0.8%)
  • NZ dollar up 0.17% at 0.7223 (YTD: +0.5%)

MACRO DATA RELEASES

  • China (Mainland), Exports, Change Y/Y for May 2021 (China Customs) at 27.90, below consensus estimate of 32.10
  • China (Mainland), Imports, Change Y/Y for May 2021 (China Customs) at 51.10, in line with consensus estimate
  • China (Mainland), Trade Balance, Current Prices for May 2021 (China Customs) at 45.53, below consensus estimate of 50.50
  • China (Mainland), FX reserves for May at US$ 3,222 bn, above consensus estimate of US$ 3,218 bn
  • France, Reserve Assets, Current Prices for May 2021 (MINEFI, France) at 191,234.00
  • Germany, New Orders, Manufacturing industry, Change P/P for Apr 2021 (Deutsche Bundesbank) at -0.20, below consensus estimate of 1.00
  • Japan, GDP, Total, 2nd prelim, Change P/P for Q1 2021 (Cabinet Office, JP) at -1.00, above consensus estimate of -1.20
  • Japan, GDP, Total, 2nd prelim, Change P/P for Q1 2021 (Cabinet Office, JP) at -3.90, above consensus estimate of -4.80
  • Japan, GFCF, Non-residential investment, 2nd prelim, Change P/P for Q1 2021 (Cabinet Office, JP) at -1.20, in line with consensus estimate
  • Kazakhstan, Policy Rates, Base Repo Rate for Jun 2021 (NBK, Kazakhstan) at 9.00, in line with consensus estimate
  • Russia, CPI, Change P/P for May 2021 (RosStat, Russia) at 0.70, above consensus estimate of 0.60
  • Russia, CPI, Change Y/Y for May 2021 (RosStat, Russia) at 6.00, above consensus estimate of 5.80
  • South Africa, Reserves, Gross gold and other foreign reserves, Current Prices for May 2021 (SA Reserve Bank) at US$ 54.14 bn
  • South Africa, Reserves, Reserve Bank, international liquidity position, Current Prices for May 2021 (SA Reserve Bank) at US$ 52.24 bn
  • Switzerland, Foreign reserves in convertible foreign currencies, Current Prices for May 2021 (Swiss National Bank) at US$ 902,466 Billions
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

  • 5Y German-US interest rates differential 0.1 bp tighter at -138.2 bp (YTD change: -27.2 bp), positive for the euro
  • 5Y Japan-US interest rates differential 1.3 bp wider at -90.5 bp (YTD change: -42.3 bp), negative for the yen
  • 5Y China-US interest rates differential 2.3 bp tighter at 217.3 bp (YTD change: -39.9 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 5.96, down -0.28 on the day (YTD: -1.21)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.33, down -0.2 on the day (YTD: -1.4)
  • Japanese Yen 1M ATM IV currently at 5.14, down -0.2 on the day (YTD: -1.0)
  • Offshore Yuan 1M ATM IV currently at 3.90, down 0.0 on the day (YTD: -2.1)
  • Very little 1-month option net directional positioning, as per the 10-delta risk reversals in the chart below
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Peru (rated BBB+): up 7.4 basis points to 98 bp (1Y range: 52-97bp)
  • Pakistan (rated B-): down 3.0 basis points to 385 bp (1Y range: 362-512bp)
  • South Africa (rated BB-): down 1.9 basis points to 184 bp (1Y range: 184-328bp)
  • Saudi Arabia (rated A): down 0.7 basis points to 57 bp (1Y range: 53-105bp)
  • Panama (rated BBB-): down 0.9 basis points to 68 bp (1Y range: 44-112bp)
  • Government of Chile (rated A-): down 1.1 basis points to 65 bp (1Y range: 43-87bp)
  • Brazil (rated BB-): down 2.8 basis points to 162 bp (1Y range: 141-268bp)
  • Turkey (rated BB-): down 10.1 basis points to 397 bp (1Y range: 282-597bp)
  • Colombia (rated BBB-): down 3.6 basis points to 134 bp (1Y range: 83-168bp)
  • Russia (rated BBB): down 3.2 basis points to 91 bp (1Y range: 72-129bp)

LARGEST FX MOVES TODAY

  • Haiti Gourde up 2.5% (YTD: -19.6%)
  • Qatari Riyal up 2.0% (YTD: 0.0%)
  • Bolivian Boliviano up 1.4% (YTD: -0.1%)
  • Paraguay guarani up 1.0% (YTD: +3.3%)
  • Fiji Dollar up 0.8% (YTD: +1.2%)
  • Namibian Dollar down 0.8% (YTD: +8.6%)
  • Libyan Dinar down 0.8% (YTD: -70.0%)
  • South Sud Pound down 1.0% (YTD: -0.6%)
  • Peru Sol down 2.5% (YTD: -8.1%)
  • Seychelles rupee down 10.4% (YTD: +26.5%)

The Peruvian Sol fell today as the left-wing candidate appeared likely to win elections; the currency is down 35% since 2013