FX

US Dollar Index Rises To End Losing Week On A Positive Note

Technical analysts expect US real yields to fall further towards -1.3750% for 10Y TIPS, which should lead to more dollar weakness; the euro is expected to extend its recovery towards 1.1949

Published ET

US Dollar Index & 10-Year TIPS Real Yield | Source: Refinitiv

US Dollar Index & 10-Year TIPS Real Yield | Source: Refinitiv

Twitter iconFacebook iconLinkedIn iconemail iconWhatsApp icon

QUICK SUMMARY

  • The US Dollar Index is up 0.21% at 92.07 (YTD: +2.32%)
  • Euro down 0.13% at 1.1870 (YTD: -2.8%)
  • Yen down 0.21% at 109.70 (YTD: -5.9%)
  • Onshore Yuan down 0.08% at 6.4609 (YTD: +1.0%)
  • Swiss franc up 0.05% at 0.9054 (YTD: -2.2%)
  • Sterling down 0.39% at 1.3907 (YTD: +1.7%)
  • Canadian dollar down 0.20% at 1.2470 (YTD: +2.1%)
  • Australian dollar down 0.69% at 0.7344 (YTD: -4.5%)
  • NZ dollar down 0.49% at 0.6974 (YTD: -2.9%)

MACRO DATA RELEASES

  • Austria, GDP, Preliminary, Change P/P for Q2 2021 (Statistics Austria) at 4.30 %, above consensus estimate of 3.50 %
  • Canada, GDP, All industries, Change P/P for May 2021 (CANSIM, Canada) at -0.30 %, in line with consensus estimate
  • Colombia, Policy Rates, Intervention Rate for Jul 2021 (Cent Bank, Colombia) at 1.75 %, in line with consensus estimate
  • Denmark, Unemployment, Rate, Net for Jun 2021 (statbank.dk) at 3.30 %
  • Euro Zone, CPI, Change Y/Y for Jul 2021 (Eurostat) at 2.20 %, above consensus estimate of 2.00 %
  • Euro Zone, CPI, Total excluding energy and unprocessed food, Change Y/Y, Price Index for Jul 2021 (Eurostat) at 0.90 %, above consensus estimate of 0.70 %
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change P/P for Q2 2021 (Eurostat) at 2.00 %, above consensus estimate of 1.50 %
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change Y/Y for Q2 2021 (Eurostat) at 13.70 %, above consensus estimate of 13.20 %
  • Euro Zone, Unemployment, Rate for Jun 2021 (Eurostat) at 7.70 %, below consensus estimate of 7.90 %
  • France, GDP, Total growth, Change P/P for Q2 2021 (INSEE, France) at 0.90 %, above consensus estimate of 0.80 %
  • France, HICP, Flash, Change Y/Y, Price Index for Jul 2021 (INSEE, France) at 1.60 %, above consensus estimate of 1.40 %
  • Germany, GDP, Flash, Change P/P for Q2 2021 (Destatis) at 1.50 %, below consensus estimate of 2.00 %
  • Germany, GDP, Flash, Change Y/Y for Q2 2021 (Destatis) at 9.60 %, in line with consensus estimate
  • Italy, GDP, Preliminary, Change P/P for Q2 2021 (ISTAT, Italy) at 2.70 %, above consensus estimate of 1.30 %
  • Italy, GDP, Preliminary, Change Y/Y for Q2 2021 (ISTAT, Italy) at 17.30 %, above consensus estimate of 15.60 %
  • Italy, HICP, Preliminary, Change P/P, Price Index for Jul 2021 (ISTAT, Italy) at -1.10 %, in line with consensus estimate
  • Italy, HICP, Preliminary, Change Y/Y, Price Index for Jul 2021 (ISTAT, Italy) at 0.90 %, below consensus estimate of 1.00 %
  • Malawi, Policy Rates, Bank rate for 30 Jul (Reserve Bank Malawi) at 12.00 %
  • Portugal, GDP, Total-prelim, Change P/P for Q2 2021 (INE, Portugal) at 4.90 %
  • Spain, GDP, early flash estimate, Change P/P for Q2 2021 (INE, Spain) at 2.80 %, above consensus estimate of 2.20 %
  • Switzerland, KOF composite leading indicator for Jul 2021 (KOF, Switzerland) at 129.80, below consensus estimate of 130.00
  • Switzerland, Reserves, Official reserve assets, Current Prices for Jun 2021 (Swiss National Bank) at 1,002,153.31 Mln CHF
  • United States, Personal Consumption Expenditure, Change P/P for Jun 2021 (BEA, US Dept. Of Com) at 1.00 %, above consensus estimate of 0.70 %
  • United States, University of Michigan, Consumer Sentiment Index, Volume Index for Jul 2021 (UMICH, Survey) at 81.20, above consensus estimate of 80.80

WEEKLY CTFC SPECULATIVE POSITIONING DATA

  • ALL: reduction in net long US$ positioning
  • G10: reduction in net long US$ positioning
  • Emerging: reduction in net long US$ positioning
  • Euro: reduced their net short US$ positioning
  • Japanese Yen: increase in net long US$ positioning
  • UK Pound Sterling: increase in net long US$ positioning
  • Australian Dollar: increase in net long US$ positioning
  • Swiss Franc: increase in net short US$ positioning
  • Canadian Dollar: reduced their net short US$ positioning
  • New Zealand Dollar: reduced their net short US$ positioning
  • Brazilian Real: increase in net short US$ positioning
  • Russian Rouble: reduced their net short US$ positioning
  • Mexican Peso: reduction in net long US$ positioning
FX Majors This Week | Sources: ϕpost, Refinitiv dataUS Dollar Index & Deutsche Bank Currency Volatility Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -3.6 bp at 143.9 bp (YTD change: +32.8 bp)
  • US-JAPAN: -5.2 bp at 82.2 bp (YTD change: +33.9 bp)
  • US-CHINA: +0.7 bp at -196.7 bp (YTD change: +60.5 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -0.8 bp at 68.7 bp (YTD change: +22.6bp)
  • US-JAPAN: -2.6 bp at -100.0 bp (YTD change: +1.5bp)
  • JAPAN-GERMANY: +1.8 bp at 168.7 bp (YTD change: +21.1bp)
US CN DE JP 5Y Nominal Rates Differentials | Sources: ϕpost, Refinitiv data US CN DE JP 10Y Real Yield Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 6.00, down -0.04 (YTD: -1.17)
  • Euro 1-Month At-The-Money Implied Volatility unchanged at 5.18 (YTD: -1.5)
  • Japanese Yen 1M ATM IV currently at 5.24, down -0.1 (YTD: -0.9)
  • Offshore Yuan 1M ATM IV currently at 4.26, up 0.1 (YTD: -1.7)
EUR JPY CNH 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataCNH EUR JPY 1-Month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Peru (rated BBB+): up 6.1 basis points to 101 bp (1Y range: 52-98bp)
  • Government of Chile (rated A-): up 2.5 basis points to 69 bp (1Y range: 43-75bp)
  • Bahrain (rated B+): up 6.3 basis points to 247 bp (1Y range: 159-330bp)
  • Mexico (rated BBB-): up 2.0 basis points to 95 bp (1Y range: 79-164bp)
  • Panama (rated BBB-): up 1.3 basis points to 72 bp (1Y range: 44-95bp)
  • Brazil (rated BB-): up 3.2 basis points to 175 bp (1Y range: 141-252bp)
  • Russia (rated BBB): up 1.1 basis points to 86 bp (1Y range: 72-129bp)
  • Philippines (rated BBB): up 0.6 basis points to 50 bp (1Y range: 33-57bp)
  • South Africa (rated BB-): up 2.1 basis points to 202 bp (1Y range: 178-328bp)
  • Malaysia (rated BBB+): up 0.5 basis points to 51 bp (1Y range: 33-58bp)

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

LARGEST FX MOVES TODAY

  • Venezuela Bolivar up 4.2% (YTD: -72.2%)
  • Haiti Gourde up 3.7% (YTD: -21.6%)
  • CFA Franc BEAC up 3.0% (YTD: -0.4%)
  • Seychelles rupee up 2.8% (YTD: +34.5%)
  • Aruba florin up 2.2% (YTD: +2.2%)
  • Mozambique metical up 1.6% (YTD: +17.3%)
  • Brazilian Real down 1.8% (YTD: -0.4%)
  • Nicaragua Cordoba down 2.3% (YTD: -2.7%)
  • Eritrean Nakfa down 2.7% (YTD: -2.7%)
  • Peru Sol down 3.5% (YTD: -11.1%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 34.5%
  • Mozambique metical up 17.3%
  • Colombian Peso down 11.7%
  • Turkish Lira down 12.2%
  • Argentine Peso down 13.0%
  • Haiti Gourde down 21.6%
  • Surinamese dollar down 33.7%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.3%
  • Sudanese Pound down 87.6%