FX

The Yen Rises Against The US Dollar, While The Euro Was Unchanged Today

Antipodean currencies were the best performers: the Kiwi dollar was up 1% with rate hikes expectations rising, following a larger than expected drop in the Q2 unemployment rate

Published ET

1-Year Inflation 1 Year Forward in the US, Germany, Japan, UK | Sources: ϕpost, Refinitiv data

1-Year Inflation 1 Year Forward in the US, Germany, Japan, UK | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.02% at 92.06 (YTD: +2.31%)
  • Euro unchanged at 1.1867 (YTD: -2.8%)
  • Yen up 0.30% at 108.99 (YTD: -5.3%)
  • Onshore Yuan down 0.13% at 6.4700 (YTD: +0.9%)
  • Swiss franc up 0.14% at 0.9035 (YTD: -2.1%)
  • Sterling up 0.24% at 1.3915 (YTD: +1.8%)
  • Canadian dollar down 0.16% at 1.2531 (YTD: +1.6%)
  • Australian dollar up 0.52% at 0.7398 (YTD: -3.8%)
  • NZ dollar up 1.13% at 0.7047 (YTD: -1.9%)

MACRO DATA RELEASES

  • Australia, Dwellings Approved, Total building, Australia, Change P/P for Jun 2021 (AU Bureau of Stat) at -6.70 %, below consensus estimate of -4.50 %
  • Australia, Policy Rates, Cash Target Rate for Aug 2021 (RBA, Australia) at 0.10 %, in line with consensus estimate
  • Brazil, Production, General industry, Change P/P for Jun 2021 (IBGE, Brazil) at 0.00 %, in line with consensus estimate
  • Brazil, Production, General industry, Change Y/Y for Jun 2021 (IBGE, Brazil) at 12.00 %, above consensus estimate of 11.80 %
  • Canada, PMI, Manufacturing Sector for Jul 2021 (Markit Economics) at 56.20
  • New Zealand, Labor Cost, Ordinary time wage rates, Private sector, Change P/P, Price Index for Q2 2021 (Statistics, NZ) at 0.90 %, above consensus estimate of 0.60 %
  • New Zealand, Labor Cost, Ordinary time wage rates, Private sector, Change Y/Y for Q2 2021 (Statistics, NZ) at 2.20 %, above consensus estimate of 2.00 %
  • New Zealand, Milk Auction, Average Price, Constant Prices for W 03 Aug (Global Dairy Trade) at 3,784.00 USD
  • New Zealand, Unemployment, Rate for Q2 2021 (Statistics, NZ) at 4.00 %, below consensus estimate of 4.50 %
  • Saudi Arabia, IHS Markit, PMI, Composite, Output, IHS Markit PMI for Jul 2021 (Markit Economics) at 55.80
  • Turkey, CPI, Change P/P, Price Index for Jul 2021 (TURKSTAT) at 1.80 %, above consensus estimate of 1.54 %
  • United States, Manufacturers New Orders, Total manufacturing, Change P/P for Jun 2021 (U.S. Census Bureau) at 1.50 %, above consensus estimate of 1.00 %
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & Deutsche Bank Currency Volatility Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -1.2 bp at 140.3 bp (YTD change: +29.3 bp)
  • US-JAPAN: -0.6 bp at 78.2 bp (YTD change: +30.0 bp)
  • US-CHINA: -0.9 bp at -198.0 bp (YTD change: +59.2 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -1.9 bp at 66.7 bp (YTD change: +20.6bp)
  • US-JAPAN: -2.0 bp at -101.9 bp (YTD change: -0.4bp)
  • JAPAN-GERMANY: +0.1 bp at 168.6 bp (YTD change: +21.0bp)
US DE JP CN 5Y Nominal Rates Differentials | Sources: ϕpost, Refinitiv data US DE JP CN 10Y Real Rates Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.93, down -0.02 (YTD: -1.24)
  • Euro 1-Month At-The-Money Implied Volatility unchanged at 5.25 (YTD: -1.4)
  • Japanese Yen 1M ATM IV currently at 5.60, up 0.1 (YTD: -0.5)
  • Offshore Yuan 1M ATM IV unchanged at 4.03 (YTD: -2.0)
EUR JPY CNH 1-Month At the money Implied Volatility | Sources: ϕpost, Refinitiv data EUR JPY CNH 1-month 10-delta risk reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Russia (rated BBB): up 1.4 basis points to 86 bp (1Y range: 72-129bp)
  • Saudi Arabia (rated A): up 0.6 basis points to 55 bp (1Y range: 52-101bp)
  • Bahrain (rated B+): up 2.2 basis points to 246 bp (1Y range: 159-330bp)
  • Turkey (rated BB-): up 3.2 basis points to 381 bp (1Y range: 282-597bp)
  • Senegal (rated ): down 1.5 basis points to 368 bp (1Y range: 355-409bp)
  • Nigeria (rated B): down 1.5 basis points to 345 bp (1Y range: 333-383bp)
  • Government of Chile (rated A-): down 0.4 basis points to 69 bp (1Y range: 43-75bp)
  • Mexico (rated BBB-): down 0.5 basis points to 94 bp (1Y range: 79-164bp)
  • Oman (rated BB-): down 4.1 basis points to 239 bp (1Y range: 223-466bp)
  • Peru (rated BBB+): down 3.7 basis points to 92 bp (1Y range: 52-101bp)

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

LARGEST FX MOVES TODAY

  • Qatari Riyal up 2.3% (YTD: 0.0%)
  • New Zealand $ up 1.1% (YTD: -1.9%)
  • Lesotho Loti up 1.1% (YTD: +2.6%)
  • Namibian Dollar up 1.0% (YTD: +2.6%)
  • Swaziland Lilangeni up 1.0% (YTD: +2.6%)
  • South Africa Rand up 1.0% (YTD: +2.6%)
  • CFA Franc BEAC up 0.9% (YTD: -2.6%)
  • Botswana Pula up 0.8% (YTD: -1.1%)
  • Chilean Peso down 1.0% (YTD: -8.4%)
  • Seychelles rupee down 1.1% (YTD: +45.4%)