FX

Dollar Edges Up, Trading In A Very Narrow Range So Far This Week

In Latin America, the Peruvian Sol gained today as concerns about a possible new left-wing government abated. No candidate has yet won the Presidential election and Alfredo Torres of IPSOS said "we will not have a president elect until probably next week", as many votes still need to be counted (and recounted).

Published ET

US Dollar Index Daily Prices | Source: Refinitiv

US Dollar Index Daily Prices | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is up 0.05% at 90.12 (YTD: +0.20%)
  • Euro down 0.10% at 1.2177 (YTD: -0.3%)
  • Yen down 0.34% at 109.61 (YTD: -5.8%)
  • Onshore Yuan up 0.15% at 6.3865 (YTD: +2.2%)
  • Swiss franc up 0.22% at 0.8958 (YTD: -1.2%)
  • Sterling down 0.47% at 1.4111 (YTD: +3.2%)
  • Canadian dollar down 0.27% at 1.2113 (YTD: +5.1%)
  • Australian dollar down 0.31% at 0.7729 (YTD: +0.5%)
  • NZ dollar down 0.80% at 0.7172 (YTD: -0.2%)

MACRO DATA RELEASES

  • Brazil, CPI, Broad national index (IPCA), Change P/P for May 2021 (IBGE, Brazil) at 0.83%, above consensus estimate of 0.71%
  • Canada, Policy Rates, Overnight Target Rate for 09 Jun (Bank of Canada) kept at 0.25%, in line with consensus
  • China (Mainland), CPI, Average, Change Y/Y, Price Index for May 2021 (NBS, China) at 1.30%, below consensus estimate of 1.60%
  • China (Mainland), Producer Prices, Change Y/Y, Price Index for May 2021 (NBS, China) at 9.00%, above consensus estimate of 8.50%
  • Japan, Producer Prices, Domestic, total, Change P/P, Price Index for May 2021 (Bank of Japan) at 0.70%, above consensus estimate of 0.50%
  • Japan, Producer Prices, Domestic, total, Change Y/Y, Price Index for May 2021 (Bank of Japan) at 4.90%, above consensus estimate of 4.50%
  • Poland, Policy Rates, Reference Rate (7-Day NBP Bill Rate) for Jun 2021 (Central Bank, Poland) at 0.10%, in line with consensus estimates
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

  • 5Y German-US interest rates differential 0.7 bp tighter at -137.0 bp, positive for the euro (YTD change: -25.9 bp)
  • 5Y Japan-US interest rates differential 1.3 bp tighter at -86.7 bp, positive for the euro (YTD change: -38.4 bp)
  • 5Y China-US interest rates differential 5.5 bp tighter at 222.2 bp, negative for the yuan (YTD change: -34.9 bp)
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

VOLATILITIES

  • Deutsche Bank USD Currency Volatility Index currently at 5.86, down -0.02 on the day (YTD: -1.31)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.20, unchanged (YTD: -1.5)
  • Japanese Yen 1M ATM IV currently at 5.13, unchanged (YTD: -1.0)
  • Offshore Yuan 1M ATM IV currently at 3.73, up 0.1 on the day (YTD: -2.3)
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Oman (rated BB-): up 3.0 basis points to 239 bp (1Y range: 228-497bp)
  • South Africa (rated BB-): down 2.5 basis points to 181 bp (1Y range: 183-328bp)
  • Panama (rated BBB-): down 1.0 basis points to 66 bp (1Y range: 44-112bp)
  • Saudi Arabia (rated A): down 1.1 basis points to 56 bp (1Y range: 53-105bp)
  • Turkey (rated BB-): down 11.0 basis points to 381 bp (1Y range: 282-597bp)
  • Morocco (rated BB+): down 3.0 basis points to 91 bp (1Y range: 86-127bp)
  • Colombia (rated BBB-): down 4.3 basis points to 127 bp (1Y range: 83-168bp)
  • Argentina (rated CCC): down 60.1 basis points to 1,736 bp (1Y range: 1,049-6,788bp)
  • Peru (rated BBB+): down 3.3 basis points to 91 bp (1Y range: 52-98bp)
  • Russia (rated BBB): down 3.4 basis points to 87 bp (1Y range: 72-129bp)

LARGEST FX MOVES TODAY

  • Peru Sol up 2.3% (YTD: -6.0%)
  • South Sud Pound down 1.0% (YTD: -0.6%)
  • Mauritius Rupee down 1.2% (YTD: -3.6%)
  • Namibian Dollar down 1.7% (YTD: +7.0%)
  • Swaziland Lilageni down 1.7% (YTD: +7.0%)
  • South Africa Rand down 1.8% (YTD: +7.0%)
  • Lesotho Loti down 1.8% (YTD: +6.9%)
  • Haiti Gourde down 2.2% (YTD: -21.4%)