FX

Euro, Yen Gain Against The Dollar Following Softer-Than-Expected US Macro Data

The 1-month correlation of daily returns between the Canadian dollar and the S&P 500 is currently at 75%, making the CAD a cheaper (though imperfect) way to bet on SPX downside

Published ET

CitiFX Economic Surprise Indices | Sources: ϕpost, Refinitiv data

CitiFX Economic Surprise Indices | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is down -0.18% at 92.47 (YTD: +2.77%)
  • Euro up 0.19% at 1.1822 (YTD: -3.2%)
  • Yen up 0.49% at 109.83 (YTD: -6.0%)
  • Onshore Yuan down 0.44% at 6.5104 (YTD: +0.3%)
  • Swiss franc up 0.20% at 0.9141 (YTD: -3.2%)
  • Sterling up 0.51% at 1.3887 (YTD: +1.6%)
  • Canadian dollar down 0.38% at 1.2590 (YTD: +1.2%)
  • Australian dollar down 0.20% at 0.7365 (YTD: -4.3%)
  • NZ dollar down 0.67% at 0.6957 (YTD: -3.2%)

MACRO DATA RELEASES

  • Brazil, Current Account, Balance, Current Prices for Jun 2021 (Central Bank, Brazil) at 2.80 Bln USD, below consensus estimate of 3.50 Bln USD
  • Brazil, Financial Account, Direct Investment, In Reporting Economy, Net incurrence of liabilities, Current Prices for Jun 2021 (Central Bank, Brazil) at 0.17 Bln USD, below consensus estimate of 2.50 Bln USD
  • Euro Zone, Money Supply, M3, Change Y/Y for Jun 2021 (ECB) at 8.30 %, above consensus estimate of 8.20 %
  • Mexico, IGAE, Change Y/Y for May 2021 (INEGI, Mexico) at 25.10 %, above consensus estimate of 24.10 %
  • Nigeria, Policy Rates, Monetary Policy Rate for 27 Jul (Central Bank Nigeria) at 11.50 %, below consensus estimate of 11.50 %
  • United Kingdom, CBI Distributive Trades, Retailing, Volume of sales, balance for Jul 2021 (CBI, UK) at 23.00, above consensus estimate of 21.00
  • United States, Conference Board, Consumer confidence for Jul 2021 (The Conference Board) at 129.10, above consensus estimate of 123.90
  • United States, House Prices, S&P Case-Shiller, Composite-20, Change P/P for May 2021 (Standard & Poor's) at 1.80 %, above consensus estimate of 1.60 %
  • United States, House Prices, S&P Case-Shiller, Composite-20, Change Y/Y, Price Index for May 2021 (Standard & Poor's) at 17.00 %, above consensus estimate of 16.40 %
  • United States, Manufacturers New Orders, Durable goods excluding transportation, Change P/P for Jun 2021 (U.S. Census Bureau) at 0.30 %, below consensus estimate of 0.80 %
  • United States, Manufacturers New Orders, Durable goods total, Change P/P for Jun 2021 (U.S. Census Bureau) at 0.80 %, below consensus estimate of 2.10 %
FX Majors Daily Performance | Sources: ϕpost, Refinitiv dataUS Dollar Index & Deutsche Bank Currency Volatility Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +0.3 bp at 143.0 bp (YTD change: +31.9 bp)
  • US-JAPAN: -2.0 bp at 84.4 bp (YTD change: +36.1 bp)
  • US-CHINA: -3.6 bp at -198.0 bp (YTD change: +59.1 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +1.5 bp at 65.8 bp (YTD change: +19.7bp)
  • US-JAPAN: -1.1 bp at -99.5 bp (YTD change: +2.0bp)
  • JAPAN-GERMANY: +2.6 bp at 165.3 bp (YTD change: +17.7bp)
US DE JP CN Nominal Rates Differentials | Sources: ϕpost, Refinitiv dataUS DE JP Real Rates Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 6.05, up 0.05 (YTD: -1.12)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.40, up 0.3 (YTD: -1.3)
  • Japanese Yen 1M ATM IV currently at 5.70, up 0.4 (YTD: -0.4)
  • Offshore Yuan 1M ATM IV currently at 4.45, up 0.7 (YTD: -1.5)
EUR JPY CNH 1-Month ATM IV | Sources: ϕpost, Refinitiv dataEUR JPY CNH 1-Month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Colombia (rated BB+): up 6.8 basis points to 154 bp (1Y range: 83-164bp)
  • Malaysia (rated BBB+): up 1.9 basis points to 51 bp (1Y range: 33-58bp)
  • Mexico (rated BBB-): up 3.3 basis points to 97 bp (1Y range: 79-164bp)
  • Indonesia (rated BBB): up 2.7 basis points to 81 bp (1Y range: 66-118bp)
  • Saudi Arabia (rated A): up 1.7 basis points to 56 bp (1Y range: 52-101bp)
  • Government of Chile (rated A-): up 2.0 basis points to 67 bp (1Y range: 43-75bp)
  • Panama (rated BBB-): up 2.0 basis points to 70 bp (1Y range: 44-95bp)
  • Vietnam (rated BB): up 3.2 basis points to 112 bp (1Y range: 90-159bp)
  • Russia (rated BBB): up 2.0 basis points to 87 bp (1Y range: 72-129bp)
  • Peru (rated BBB+): up 1.2 basis points to 84 bp (1Y range: 52-98bp)

Brazil, Turkey, South Africa 5Y USD CDS Spread | Sources: phipost.com, Refinitiv data

LARGEST FX MOVES TODAY

  • Seychelles rupee up 8.2% (YTD: +43.1%)
  • Mozambique metical up 1.2% (YTD: +16.7%)
  • Hungarian Forint up 0.7% (YTD: -2.3%)
  • Haiti Gourde up 0.6% (YTD: -24.2%)
  • Tunisian Dinar up 0.5% (YTD: -2.9%)
  • Japanese Yen up 0.5% (YTD: -5.9%)
  • New Zealand $ down 0.7% (YTD: -3.2%)
  • Norwegian Krone down 0.7% (YTD: -3.4%)
  • Chilean Peso down 1.1% (YTD: -7.5%)
  • Armenian Dram down 1.3% (YTD: +7.1%)