FX

Major Currencies Down Today Against The Dollar, JPY The Exception

Recent moves in the euro are about nominal rates (rather than breakevens / real rates), as the market is more concerned about the potential paths of rate hikes than inflation at this point

Published ET

EURO 1-Month Implied Volatility Smile Only Slightly Skewed To The Downside | Sources: ϕpost, Refinitiv data

EURO 1-Month Implied Volatility Smile Only Slightly Skewed To The Downside | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.23% at 92.57 (YTD: +2.88%)
  • Euro down 0.21% at 1.1810 (YTD: -3.3%)
  • Yen up 0.15% at 109.79 (YTD: -5.9%)
  • Onshore Yuan up 0.06% at 6.4569 (YTD: +1.0%)
  • Swiss franc down 0.38% at 0.9177 (YTD: -3.6%)
  • Sterling down 0.20% at 1.3828 (YTD: +1.1%)
  • Canadian dollar down 0.71% at 1.2596 (YTD: +1.1%)
  • Australian dollar down 0.78% at 0.7422 (YTD: -3.5%)
  • NZ dollar down 0.40% at 0.7004 (YTD: -2.5%)

MACRO DATA RELEASES

  • Australia, Employment, Absolute change for Jun 2021 (AU Bureau of Stat) at 29.10 k, below consensus estimate of 30.00 k
  • Australia, Unemployment, Rate for Jun 2021 (AU Bureau of Stat) at 4.90 %, below consensus estimate of 5.00 %
  • China (Mainland), GDP, Change Y/Y for Q2 2021 (NBS, China) at 7.90 %, below consensus estimate of 8.10 %
  • China (Mainland), Investment in Fixed Assets, Urban, Change Y/Y for Jun 2021 (NBS, China) at 12.60 %, above consensus estimate of 12.10 %
  • China (Mainland), Retail Sales, Consumer goods, Change Y/Y for Jun 2021 (NBS, China) at 12.10 %, above consensus estimate of 11.00 %
  • Euro Zone, Financial Account, Assets, Official reserve assets, all currencies except national currency, Current Prices for Jun 2021 (ECB) at 869.05 Bln EUR
  • Finland, Official reserve assets, Current Prices for Jun 2021 (Bank of Finland) at 11,239 Mln EUR
  • Indonesia, Trade Balance, Current Prices for Jun 2021 (Statistics Indonesia) at 1.32 Bln USD, below consensus estimate of 2.23 Bln USD
  • Italy, HICP, Final, Change P/P, Price Index for Jun 2021 (ISTAT, Italy) at 0.20 %, in line with consensus estimate
  • Italy, HICP, Final, Change Y/Y, Price Index for Jun 2021 (ISTAT, Italy) at 1.30 %, ine line with consensus estimate
  • New Zealand, CPI, Change P/P, Price Index for Q2 2021 (Statistics, NZ) at 1.30 %, above consensus estimate of 0.80 %
  • Poland, CPI, Change P/P, Price Index for Jun 2021 (CSO, Poland) at 0.10 %
  • Poland, CPI, Change Y/Y, Price Index for Jun 2021 (CSO, Poland) at 4.40 %
  • South Korea, Policy Rates, Base Rate for Jul 2021 (The Bank of Korea) at 0.50 %, in line with consensus estimate
  • United Kingdom, Unemployment, Claimant count, Absolute change for Jun 2021 (ONS, United Kingdom) at -114.80 k
  • United Kingdom, Unemployment, Rate, All aged 16 and over, ILO for May 2021 (ONS, United Kingdom) at 4.80 %, above consensus estimate of 4.70 %
  • United States, Jobless Claims, National, Initial for W 10 Jul (U.S. Dept. of Labor) at 360.00 k, in line with consensus estimate
  • United States, Philadelphia Fed, General business activity for Jul 2021 (FED, Philadelphia) at 21.90, below consensus estimate of 28.00
  • United States, Production, Change P/P for Jun 2021 (FED, U.S.) at 0.40 %, below consensus estimate of 0.60 %
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & Volatility | Sources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

  • 5Y German-US interest rates differential 0.2 bp wider at -141.4 bp (YTD change: -30.3 bp), negative for the euro
  • 5Y Japan-US interest rates differential 0.3 bp tighter at -92.2 bp (YTD change: -43.9 bp), positive for the yen
  • 5Y China-US interest rates differential 5.0 bp wider at 199.3 bp (YTD change: -57.8 bp), positive for the yuan
5Y Rates Differentials | Sources: ϕpost, Refinitiv dataEuro & Rates Differential | Sources: ϕpost, Refinitiv dataYen & Rates Differential | Sources: ϕpost, Refinitiv dataYuan & Rates Differential | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.96, up 0.04 (YTD: -1.21)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.18, up 0.0 (YTD: -1.5)
  • Japanese Yen 1M ATM IV currently at 5.10, down 0.0 (YTD: -1.0)
  • Offshore Yuan 1M ATM IV currently at 3.60, down 0.0 (YTD: -2.4)
FX Majors 1-month ATM Implied Volatilities| Sources: ϕpost, Refinitiv data1-Month 10-Delta Risk Reversals| Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Peru (rated BBB+): up 1.4 basis points to 82 bp (1Y range: 52-98bp)
  • Government of Chile (rated A-): up 1.0 basis points to 64 bp (1Y range: 43-75bp)
  • Panama (rated BBB-): up 0.9 basis points to 68 bp (1Y range: 44-97bp)
  • South Africa (rated BB-): up 2.5 basis points to 198 bp (1Y range: 178-328bp)
  • Pakistan (rated B-): down 4.5 basis points to 383 bp (1Y range: 362-512bp)
  • Kenya (rated B+): down 5.0 basis points to 413 bp (1Y range: 394-454bp)
  • Ecuador (rated WD): down 2.0 basis points to 164 bp (1Y range: 157-181bp)
  • Ethiopia (rated CCC): down 5.0 basis points to 402 bp (1Y range: 383-442bp)
  • Egypt (rated B+): down 4.9 basis points to 338 bp (1Y range: 283-437bp)
  • Oman (rated BB-): down 13.0 basis points to 238 bp (1Y range: 223-485bp)

CDX EM Sovereign Credit Spread | Sources: phipost, Refinitiv data

LARGEST FX MOVES TODAY

  • Seychelles rupee up 18.1% (YTD: +46.9%)
  • Afghani up 1.3% (YTD: -2.7%)
  • Swaziland Lilageni up 1.1% (YTD: +0.8%)
  • Namibian Dollar up 1.1% (YTD: +0.8%)
  • Lesotho Loti up 1.1% (YTD: +0.9%)
  • South Africa Rand up 1.1% (YTD: +0.8%)
  • Haiti Gourde up 1.1% (YTD: -22.2%)
  • Brazilian Real up 1.0% (YTD: +1.6%)
  • Venezuela Bolivar down 3.3% (YTD: -67.8%)
  • Malagasy Ariary down 4.9% (YTD: 0.0%)