Major Currencies Bounce To End The Week In Green Against The US Dollar

FX markets sold the dollar on Friday despite a strong rebound in US rates and unfavorable moves in real rates differentials for the JPY, EUR

Published Jul 10, 2021 12:19 AM ET

Euro Options Showing More Symmetric Volatility Profile, Less Downside Bias In the Currency | Sources: ϕpost, Refinitiv data

QUICK SUMMARY

The US Dollar Index is down -0.27% at 92.11 (YTD: +2.37%)
Euro up 0.71% at 1.1873 (YTD: -2.8%)
Yen up 0.45% at 110.14 (YTD: -6.3%)
Onshore Yuan down 0.08% at 6.4788 (YTD: +0.8%)
Swiss franc up 1.27% at 0.9138 (YTD: -3.1%)
Sterling up 0.72% at 1.3900 (YTD: +1.7%)
Canadian dollar up 0.30% at 1.2440 (YTD: +2.4%)
Australian dollar up 0.05% at 0.7485 (YTD: -2.7%)
NZ dollar down 0.34% at 0.6995 (YTD: -2.6%)

WEEKLY CFTC SPECULATIVE POSITIONING

All Currencies: increase in net short US$ positioning
G10: increase in net short US$ positioning
Emerging: reduced their net short US$ positioning
Euro: reduced their net short US$ positioning
Japanese Yen: reduction in net long US$ positioning
UK Pound Sterling: increase in net short US$ positioning
Australian Dollar: increase in net long US$ positioning
Swiss Franc: reduced their net short US$ positioning
Canadian Dollar: reduced their net short US$ positioning
New Zealand Dollar: reduced their net short US$ positioning
Brazilian Real: reduced their net short US$ positioning
Russian Rouble: reduced their net short US$ positioning
Mexican Peso: increase in net long US$ positioning

MACRO DATA RELEASES

Canada, Employment, Absolute change for Jun 2021 (CANSIM, Canada) at 230.70 k, above consensus estimate of 195.00 k
Canada, Unemployment, Rate for Jun 2021 (CANSIM, Canada) at 7.80 %, above consensus estimate of 7.70 %
China (Mainland), CPI, Average, Change Y/Y, Price Index for Jun 2021 (NBS, China) at 1.10 %, below consensus estimate of 1.30 %
China (Mainland), Monetary Financial Institutions, Social Financing, Current Prices for Jun 2021 (PBC) at 3,670.00 Bln CNY, above consensus estimate of 2,870.00 Bln CNY
China (Mainland), Monetary Financial Institutions, Uses of Funds, New loans, Current Prices for Jun 2021 (PBC) at 2,120.00 Bln CNY, above consensus estimate of 1,800.00 Bln CNY
China (Mainland), Money supply M2, Change Y/Y for Jun 2021 (PBC) at 8.60 %, above consensus estimate of 8.20 %
China (Mainland), Producer Prices, Change Y/Y, Price Index for Jun 2021 (NBS, China) at 8.80 %, in line with consensus estimate
Norway, CPI, All Items, Change P/P, Price Index for Jun 2021 (Statistics Norway) at 0.30 %, below consensus estimate of 0.40 %
Norway, CPI, All Items, Change Y/Y for Jun 2021 (Statistics Norway) at 2.90 %, in line with consensus estimate
Turkey, Current Account, Balance, Current Prices for May 2021 (Central Bank, Turkey) at -3.08 Bln USD, below consensus estimate of -3.03 Bln USD
United Kingdom, GDP Estimated YY, Change Y/Y for May 2021 (ONS, United Kingdom) at 24.60 %, below consensus estimate of 25.90 %
United Kingdom, GDP Estimated, Change M/M for May 2021 (ONS, United Kingdom) at 0.80 %, below consensus estimate of 1.50 %
United Kingdom, GDP estimate 3m/3m for May 2021 (ONS, United Kingdom) at 3.60 %, below consensus estimate of 3.90 %
United Kingdom, Production, Manufacturing, Change P/P for May 2021 (ONS, United Kingdom) at -0.10 %, below consensus estimate of 1.00 %

FX Majors This Week | Sources: ϕpost, Refinitiv data

US Dollar Index | Sources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

5Y German-US interest rates differential 3.3 bp wider at -139.0 bp (YTD change: -27.9 bp), negative for the euro
5Y Japan-US interest rates differential 4.0 bp wider at -91.9 bp (YTD change: -43.6 bp), negative for the yen
5Y China-US interest rates differential 4.1 bp tighter at 206.2 bp (YTD change: -50.9 bp), negative for the yuan

10-year real yields differentials | Sources: ϕpost, Refinitiv data

JPY and 5Y rates differential | Sources: ϕpost, Refinitiv data

EUR and 5Y rates differential | Sources: ϕpost, Refinitiv data

CNY and 5Y rates differential | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

Deutsche Bank USD Currency Volatility Index currently at 6.05, down -0.26 (YTD: -1.12)
Euro 1-Month At-The-Money Implied Volatility currently at 5.08, down -0.3 (YTD: -1.6)
Japanese Yen 1M ATM IV currently at 5.20, down -0.4 (YTD: -0.9)
Offshore Yuan 1M ATM IV currently at 3.75, down -0.1 (YTD: -2.2)

FX 1-Month ATM Implied Volatilities | Sources: ϕpost, Refinitiv data

1-Month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

Peru (rated BBB+): down 1.0 basis points to 80 bp (1Y range: 52-98bp)
Colombia (rated BB+): down 1.7 basis points to 137 bp (1Y range: 83-164bp)
Turkey (rated BB-): down 5.3 basis points to 386 bp (1Y range: 282-597bp)
Mexico (rated BBB-): down 1.5 basis points to 93 bp (1Y range: 79-164bp)
Russia (rated BBB): down 1.6 basis points to 85 bp (1Y range: 72-129bp)
Oman (rated BB-): down 5.8 basis points to 236 bp (1Y range: 223-485bp)
Egypt (rated B+): down 8.7 basis points to 328 bp (1Y range: 283-437bp)
South Africa (rated BB-): down 5.5 basis points to 188 bp (1Y range: 178-328bp)
Saudi Arabia (rated A): down 1.8 basis points to 55 bp (1Y range: 52-101bp)
Bahrain (rated B+): down 53.4 basis points to 159 bp (1Y range: 172-347bp)

CDX EM Sovereign Spreads | Sources: phipost, Refinitiv data

LARGEST FX MOVES TODAY

CFA Franc BEAC up 3.4% (YTD: +0.2%)
Malagasy Ariary up 2.6% (YTD: +5.8%)
Aruba florin up 2.2% (YTD: +2.2%)
Mozambique metical up 1.8% (YTD: +17.4%)
Rwanda Franc up 1.5% (YTD: 0.0%)
Mauritius Rupee up 1.3% (YTD: -6.8%)
Swiss Franc up 1.3% (YTD: -3.1%)
Jamaican Dollar down 1.7% (YTD: -6.7%)
Eritrean Nakfa down 2.6% (YTD: -2.6%)
Nicaragua Cordoba down 2.6% (YTD: -2.6%)

YTD BIGGEST WINNERS & LOSERS

Seychelles rupee up 25.6%
Mozambique metical up 17.4%
Argentine Peso down 12.4%
Turkish Lira down 14.2%
Haiti Gourde down 23.0%
Surinamese dollar down 32.4%
Syrian Pound down 49.4%
Venezuela Bolivar down 66.7%
Libyan Dinar down 70.4%
Sudanese Pound down 87.7%