FX

Yen And Australian Dollar Rise, Euro Unchanged Today

The US dollar index was basically unchanged, with low implied volatility and little directional bias in options markets

Published ET

Looking at moves in real rates differentials, the yen still looks undervalued against the dollar | Sources: ϕpost, Refinitiv data

Looking at moves in real rates differentials, the yen still looks undervalued against the dollar | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is down -0.01% at 92.07 (YTD: +2.32%)
  • Euro down 0.01% at 1.1869 (YTD: -2.8%)
  • Yen up 0.35% at 109.32 (YTD: -5.6%)
  • Onshore Yuan unchanged at 6.4620 (YTD: +1.0%)
  • Swiss franc up 0.05% at 0.9050 (YTD: -2.2%)
  • Sterling down 0.12% at 1.3885 (YTD: +1.6%)
  • Canadian dollar down 0.26% at 1.2502 (YTD: +1.8%)
  • Australian dollar up 0.27% at 0.7364 (YTD: -4.3%)
  • NZ dollar unchanged at 0.6974 (YTD: -2.9%)

MACRO DATA RELEASES

  • Brazil, PMI, Manufacturing Sector for Jul 2021 (Markit Economics) at 56.70
  • China (Mainland), PMI, Manufacturing Sector, Caixin PMI for Jul 2021 (Markit Economics) at 50.30, below consensus estimate of 51.00
  • Euro Zone, PMI, Manufacturing Sector, Total, Final for Jul 2021 (Markit Economics) at 62.80, above consensus estimate of 62.60
  • France, PMI, Manufacturing Sector, Total, Final for Jul 2021 (Markit Economics) at 58.00
  • Germany, PMI, Manufacturing Sector, Total, Final for Jul 2021 (Markit Economics) at 65.90, above consensus estimate of 65.60
  • India, IHS Markit, PMI, Manufacturing Sector, IHS Markit Mfg PMI for Jul 2021 (Markit Economics) at 55.30, above consensus estimate of 50.50
  • Indonesia, CPI, Change Y/Y for Jul 2021 (Statistics Indonesia) at 1.52 %, above consensus estimate of 1.45 %
  • Indonesia, IHS Markit, PMI, Manufacturing Sector, IHS Markit PMI, Manufacturing for Jul 2021 (Markit Economics) at 40.10
  • Italy, PMI, Manufacturing Sector for Jul 2021 (Markit Economics) at 60.30, below consensus estimate of 61.50
  • Japan, CPI, Tokyo, All Items, General, Change Y/Y for Jul 2021 (MIC, Japan) at -0.10 %
  • Japan, CPI, Tokyo, All Items, Less fresh food, Change Y/Y for Jul 2021 (MIC, Japan) at 0.10 %, above consensus estimate of 0.00 %
  • Japan, PMI, Manufacturing Sector, Jibun Bank Mfg PMI, Final for Jul 2021 (Markit Economics) at 53.00
  • Mexico, PMI, Manufacturing Sector for Jul 2021 (Markit Economics) at 49.60
  • Russia, PMI, Manufacturing Sector for Jul 2021 (Markit Economics) at 47.50
  • South Korea, IHS Markit, PMI, Manufacturing Sector, IHS Markit PMI, Manufacturing for Jul 2021 (Markit Economics) at 53.00
  • Turkey, PMI, Manufacturing Sector, Istanbul Chamber of Industry PMI for Jul 2021 (Markit Economics) at 54.00
  • United Kingdom, PMI, Manufacturing Sector for Jul 2021 (Markit Economics) at 60.40
  • United States, ISM Manufacturing, PMI total for Jul 2021 (ISM, United States) at 59.50, below consensus estimate of 60.90
  • United States, PMI, Manufacturing Sector, Total, Final for Jul 2021 (Markit Economics) at 63.40
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & Currency Volatility Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -2.3 bp at 141.5 bp (YTD change: +30.5 bp), positive for the euro
  • US-JAPAN: -3.3 bp at 78.8 bp (YTD change: +30.6 bp), positive for the yen
  • US-CHINA: -0.4 bp at -197.1 bp (YTD change: +60.1 bp), positive for the yuan

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -0.1 bp at 68.6 bp (YTD change: +22.5bp), positive for the euro
  • US-JAPAN: +0.1 bp at -99.9 bp (YTD change: +1.6bp), negative for the yen
  • JAPAN-GERMANY: -0.2 bp at 168.5 bp (YTD change: +20.9bp), negative for the yen
US CN DE JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataUS DE JP 10Y Real Rates Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.95, down -0.05 (YTD: -1.22)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.28, up 0.1 (YTD: -1.4)
  • Japanese Yen 1M ATM IV currently at 5.48, up 0.2 (YTD: -0.6)
  • Offshore Yuan 1M ATM IV currently at 4.08, down -0.2 (YTD: -1.9)
EUR JPY CNH 1-Month At The Money Implied Volatilities | Sources: ϕpost, Refinitiv dataEUR JPY CNH 1-Month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Oman (rated BB-): up 12.1 basis points to 243 bp (1Y range: 223-466bp)
  • Government of Chile (rated A-): up 2.6 basis points to 69 bp (1Y range: 43-75bp)
  • Brazil (rated BB-): up 4.2 basis points to 177 bp (1Y range: 141-252bp)
  • Panama (rated BBB-): up 1.3 basis points to 72 bp (1Y range: 44-95bp)
  • Mexico (rated BBB-): up 1.4 basis points to 95 bp (1Y range: 79-164bp)
  • Bahrain (rated B+): up 3.2 basis points to 243 bp (1Y range: 159-330bp)
  • Egypt (rated B+): up 3.7 basis points to 342 bp (1Y range: 283-424bp)
  • Peru (rated BBB+): up 1.0 basis points to 96 bp (1Y range: 52-101bp)
  • Colombia (rated BB+): down 2.3 basis points to 144 bp (1Y range: 83-164bp)
  • United Arab Emirates (rated AA-): down 1.5 basis points to 59 bp (1Y range: 50-63bp)

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

LARGEST FX MOVES TODAY

  • Turkish Lira up 1.4% (YTD: -11.0%)
  • Lesotho Loti up 1.0% (YTD: +1.6%)
  • Swaziland Lilangeni up 0.8% (YTD: +1.6%)
  • Namibian Dollar up 0.8% (YTD: +1.6%)
  • Seychelles rupee down 0.8% (YTD: +48.2%)
  • Fiji Dollar down 1.4% (YTD: -2.5%)
  • Chilean Peso down 1.5% (YTD: -7.5%)
  • CFA Franc BEAC down 3.1% (YTD: -3.5%)
  • Venezuela Bolivar down 4.0% (YTD: -73.3%)
  • Haiti Gourde down 4.5% (YTD: -25.1%)