FX

Dollar Rises Against Most Major Currencies Despite Fall In US Real Yields

The spread of the delta-variant and the possibility of a weaker global economic recovery has led to broad US dollar buying / short covering

Published ET

Japanese Yen 1-Month 10-Delta Risk Reversal | Sources: ϕpost, Refinitiv data

Japanese Yen 1-Month 10-Delta Risk Reversal | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.35% at 92.56 (YTD: +2.87%)
  • Euro down 0.36% at 1.1818 (YTD: -3.2%)
  • Yen up 0.31% at 110.64 (YTD: -6.7%)
  • Onshore Yuan down 0.27% at 6.4752 (YTD: +0.7%)
  • Swiss franc down 0.32% at 0.9243 (YTD: -4.3%)
  • Sterling down 0.33% at 1.3800 (YTD: +0.9%)
  • Canadian dollar down 0.95% at 1.2460 (YTD: +2.2%)
  • Australian dollar down 0.48% at 0.7493 (YTD: -2.6%)
  • NZ dollar down 0.24% at 0.7008 (YTD: -2.5%)

MACRO DATA RELEASES

  • Australia, Policy Rates, Cash Target Rate for Jul 2021 (RBA, Australia) at 0.10 %, in line with consensus estimate
  • Euro Zone, Retail Sales, Turnover, (EA19), Change Y/Y for May 2021 (Eurostat) at 9.00%, above consensus estimate of 8.20 %
  • Euro Zone, Retail Sales, Turnover, Retail trade, except of motor vehicles and motorcycles, Deflated turnover (EA19), Change P/P for May 2021 (Eurostat) at 4.60 %, above consensus estimate of 4.40 %
  • Germany, New Orders, Manufacturing industry, Change P/P for May 2021 (Deutsche Bundesbank) at -3.70 %, below consensus estimate of 1.00 %
  • Germany, ZEW, Current Economic Situation, Germany, balance for Jul 2021 (ZEW, Germany) at 21.90, above consensus estimate of 5.00
  • Germany, ZEW, Economic Expectations, Germany, balance for Jul 2021 (ZEW, Germany) at 63.30, below consensus estimate of 75.20
  • Hong Kong, IHS Markit, Whole Economy, Total for Jun 2021 (Markit Economics) at 51.40
  • New Zealand, Milk Auction, Average Price, Constant Prices for W 06 Jul (Global Dairy Trade) at 3,924.00 USD
  • Philippines, CPI, Change P/P for Jun 2021 (PSA) at 0.10 %
  • Philippines, CPI, Core CPI, Change Y/Y for Jun 2021 (PSA) at 3.00 %
  • Philippines, CPI, Total, inflation rate, Change Y/Y for Jun 2021 (PSA) at 4.10 %, below consensus estimate of 4.30 %
  • Spain, Production, Total industry excluding construction, Change Y/Y for May 2021 (INE, Spain) at 26.00%, above consensus estimate of 22.10%
  • Taiwan, Unemployment, Rate for May 2021 (DGBAS, Taiwan) at 4.15 %
  • United Kingdom, PMI, CIPS/Markit PMI: Construction - All Activity for Jun 2021 (CIPS/Markit) at 66.30, above consensus estimate of 63.80
  • United States, ISM Non-manufacturing, NMI/PMI for Jun 2021 (ISM, United States) at 60.10 , below consensus estimate of 63.50
  • United States, PMI, Composite, Output, Final for Jun 2021 (Markit Economics) at 63.70
  • United States, PMI, Services Sector, Business Activity, Final for Jun 2021 (Markit Economics) at 64.60
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & Currency Implied Vol | Sources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

  • 5Y German-US interest rates differential 2.8 bp tighter at -142.1 bp (YTD change: -31.0 bp), positive for the euro
  • 5Y Japan-US interest rates differential 8.1 bp tighter at -91.1 bp (YTD change: -42.8 bp), positive for the yen
  • 5Y China-US interest rates differential 7.2 bp wider at 212.6 bp (YTD change: -44.6 bp), positive for the yuan
Real 10Y Yields Differentials | Sources: ϕpost, Refinitiv dataEURO & 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataYen & 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataOnshore Yuan & 5Y Rates Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES

  • Deutsche Bank USD Currency Volatility Index currently at 5.82, down -0.01 on the day (YTD: -1.35)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.38, up 0.2 on the day (YTD: -1.3)
  • Japanese Yen 1M ATM IV currently at 5.18, up 0.2 on the day (YTD: -0.9)
  • Offshore Yuan 1M ATM IV currently at 3.71, down 0.0 on the day (YTD: -2.3)
FX 1-month ATM Implied Vols | Sources: ϕpost, Refinitiv data1-Month 10-Delta Risk Reversals EUR JPY CNH | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Saudi Arabia (rated A): up 2.5 basis points to 56 bp (1Y range: 52-101bp)
  • South Africa (rated BB-): up 4.4 basis points to 191 bp (1Y range: 178-328bp)
  • Russia (rated BBB): up 1.8 basis points to 83 bp (1Y range: 72-129bp)
  • Brazil (rated BB-): up 3.5 basis points to 169 bp (1Y range: 141-252bp)
  • Mexico (rated BBB-): up 1.7 basis points to 93 bp (1Y range: 79-164bp)
  • Turkey (rated BB-): up 6.9 basis points to 390 bp (1Y range: 282-597bp)
  • United Arab Emirates (rated AA-): up 1.0 basis points to 58 bp (1Y range: 50-62bp)
  • Bahrain (rated B+): up 3.6 basis points to 207 bp (1Y range: 172-347bp)
  • Oman (rated BB-): up 4.1 basis points to 239 bp (1Y range: 223-485bp)
  • Egypt (rated B+): up 5.6 basis points to 330 bp (1Y range: 283-437bp)

CDX EM Sovereign Spread | Sources: phipost, Refinitiv data

LARGEST FX MOVES TODAY

  • Seychelles rupee up 5.6% (YTD: +55.0%)
  • Malagasy Ariary up 2.8% (YTD: +2.8%)
  • Gibraltar Pound up 1.1% (YTD: +2.0%)
  • Falklands Pound up 1.1% (YTD: +2.0%)
  • Colombian Peso down 1.0% (YTD: -9.4%)
  • Russian Rouble down 1.4% (YTD: -0.7%)
  • Norwegian Krone down 1.6% (YTD: -1.5%)
  • Chilean Peso down 1.6% (YTD: -5.0%)
  • Brazilian Real down 2.0% (YTD: -0.1%)
  • Afghani down 2.3% (YTD: -5.4%)