FX

US Dollar Ends Day Higher After Conflicting Macro Data From ADP, ISM

The latest Reuters sell-side forecasts show an expected strengthening of the euro towards 1.2060 in 6 months, weakening of the yen towards 110.30 and strengthening of the CNY at 6.4455

Published ET

US Dollar Index Intraday | Source: Refinitiv

US Dollar Index Intraday | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is up 0.23% at 92.27 (YTD: +2.55%)
  • Euro down 0.20% at 1.1836 (YTD: -3.1%)
  • Yen down 0.39% at 109.49 (YTD: -5.7%)
  • Onshore Yuan up 0.06% at 6.4655 (YTD: +0.9%)
  • Swiss franc down 0.29% at 0.9065 (YTD: -2.3%)
  • Sterling down 0.19% at 1.3887 (YTD: +1.6%)
  • Canadian dollar down 0.05% at 1.2545 (YTD: +1.5%)
  • Australian dollar down 0.19% at 0.7380 (YTD: -4.1%)
  • NZ dollar up 0.43% at 0.7044 (YTD: -2.0%)

MACRO DATA RELEASES

  • Australia, Retail Sales, Change P/P for Q2 2021 (AU Bureau of Stat) at 0.80 %, below consensus estimate of 0.90 %
  • Australia, Retail Sales, Total, Final, Change P/P for Jun 2021 (AU Bureau of Stat) at -1.80 %, in line with consensus estimate
  • Brazil, PMI, Composite, Output, Total for Jul 2021 (Markit Economics) at 55.20
  • Brazil, PMI, Services Sector, Business Activity for Jul 2021 (Markit Economics) at 54.40
  • Brazil, Policy Rates, SELIC Target Rate for 04 Aug (Central Bank, Brazil) at 5.25 %, in line with consensus
  • China (Mainland), PMI, Services Sector, Business Activity, Caixin PMI for Jul 2021 (Markit Economics) at 54.90
  • Euro Zone, PMI, Composite, Output, Final for Jul 2021 (Markit Economics) at 60.20, below consensus estimate of 60.60
  • Euro Zone, PMI, Services Sector, Business Activity, Final for Jul 2021 (Markit Economics) at 59.80, below consensus estimate of 60.40
  • France, PMI, Composite, Output, Final for Jul 2021 (Markit/CDAF, France) at 56.60, below consensus estimate of 56.80
  • France, PMI, Services Sector, Business Activity, Final for Jul 2021 (Markit Economics) at 56.80, below consensus estimate of 57.00
  • Germany, PMI, Composite, Output, Final for Jul 2021 (Markit Economics) at 62.40, below consensus estimate of 62.50
  • Germany, PMI, Services Sector, Business Activity, Final for Jul 2021 (Markit Economics) at 61.80, below consensus estimate of 62.20
  • India, IHS Markit, PMI, Services Sector, Business Activity for Jul 2021 (Markit Economics) at 45.40, below consensus estimate of 49.00
  • Japan, Jibun Bank, PMI, Services Sector, Service PMI for Jul 2021 (Markit Economics) at 47.40
  • Mauritius, Policy Rates, Key Repo Rate for Q2 2021 (Bank of Mauritius) at 1.85 %
  • Russia, PMI, Services Sector, Business Activity for Jul 2021 (Markit Economics) at 53.50
  • Thailand, Policy Rates, 1-Day Repurchase Rate (Key Policy Rate) for 04 Aug (Bank of Thailand) at 0.50 %, in line with consensus
  • United Kingdom, Reserves, Gross, Government, Current Prices for Jul 2021 (HM Treasury) at US$ 178.1 bn
  • United States, ISM Non-manufacturing, NMI/PMI for Jul 2021 (ISM, United States) at 64.10, above consensus estimate of 60.50
  • United States, PMI, Composite, Output, Final for Jul 2021 (Markit Economics) at 59.90
  • United States, PMI, Services Sector, Business Activity, Final for Jul 2021 (Markit Economics) at 59.90
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: +4.3 bp at 144.7 bp (YTD change: +33.6 bp)
  • US-JAPAN: +3.0 bp at 81.3 bp (YTD change: +33.0 bp)
  • US-CHINA: +1.0 bp at -197.0 bp (YTD change: +60.2 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +4.0 bp at 70.7 bp (YTD change: +24.6bp)
  • US-JAPAN: +2.4 bp at -99.5 bp (YTD change: +2.0bp)
  • JAPAN-GERMANY: +1.6 bp at 170.2 bp (YTD change: +22.6bp)
US DE JP CN 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 5.98, up 0.05 (YTD: -1.19)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.18, down -0.1 (YTD: -1.5)
  • Japanese Yen 1M ATM IV currently at 5.54, down -0.1 (YTD: -0.6)
  • Offshore Yuan 1M ATM IV unchanged at 4.03 (YTD: -2.0)
EUR JPY CNH 1-Month ATM IVs | Sources: ϕpost, Refinitiv dataEUR JPY CNH 1-Month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Brazil (rated BB-): up 1.8 basis points to 178 bp (1Y range: 141-252bp)
  • Panama (rated BBB-): up 0.7 basis points to 72 bp (1Y range: 44-95bp)
  • Egypt (rated B+): up 2.7 basis points to 345 bp (1Y range: 283-424bp)
  • Mexico (rated BBB-): up 0.7 basis points to 95 bp (1Y range: 79-164bp)
  • Nigeria (rated B): down 1.5 basis points to 343 bp (1Y range: 333-383bp)
  • Russia (rated BBB): down 0.8 basis points to 85 bp (1Y range: 72-129bp)
  • South Africa (rated BB-): down 2.0 basis points to 198 bp (1Y range: 178-328bp)
  • Indonesia (rated BBB): down 0.8 basis points to 79 bp (1Y range: 66-118bp)
  • Saudi Arabia (rated A): down 0.6 basis points to 55 bp (1Y range: 52-101bp)
  • Vietnam (rated BB): down 1.2 basis points to 109 bp (1Y range: 90-153bp)

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

LARGEST FX MOVES TODAY

  • Haiti Gourde up 0.8% (YTD: -24.6%)
  • Taiwan Dollar up 0.6% (YTD: +1.3%)
  • Brazilian Real up 0.5% (YTD: +0.4%)
  • Pakistani rupee down 0.5% (YTD: -1.9%)
  • Peru Sol down 0.8% (YTD: -11.7%)
  • Turkish Lira down 0.8% (YTD: -12.4%)
  • Iceland Krona down 0.9% (YTD: +2.2%)
  • Cape Verde Escudo down 0.9% (YTD: 0.0%)
  • Ethiopian Birr down 1.9% (YTD: -12.8%)