FX

Rates Differentials Push The US Dollar To Further Gains Against Euro, Yen

The US CPI data on Wednesday will be critical in for currencies in the short term: a high print will confirm recent dollar strength, while a lower number will lead to a reversal

Published ET

Euro spot vs 5-Year DE-US Rates Differential | Source: ϕpost, Refinitiv data

Euro spot vs 5-Year DE-US Rates Differential | Source: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.11% at 93.07 (YTD: +3.43%)
  • Euro down 0.16% at 1.1718 (YTD: -4.1%)
  • Yen down 0.23% at 110.55 (YTD: -6.6%)
  • Onshore Yuan unchanged at 6.4852 (YTD: +0.6%)
  • Swiss franc down 0.20% at 0.9227 (YTD: -4.0%)
  • Sterling down 0.06% at 1.3836 (YTD: +1.2%)
  • Canadian dollar up 0.47% at 1.2520 (YTD: +1.7%)
  • Australian dollar up 0.20% at 0.7348 (YTD: -4.5%)
  • NZ dollar up 0.26% at 0.7009 (YTD: -2.4%)

MACRO DATA RELEASES

  • Brazil, CPI, Broad national index (IPCA), Change P/P for Jul 2021 (IBGE, Brazil) at 0.96 %, above consensus estimate of 0.94 %
  • Brazil, CPI, Broad national index (IPCA), Change Y/Y for Jul 2021 (IBGE, Brazil) at 8.99 %, above consensus estimate of 8.98 %
  • Czech Republic, CPI, Change P/P, Price Index for Jul 2021 (CSU, Czech Rep) at 1.00 %, above consensus estimate of 0.50 %
  • Czech Republic, CPI, Change Y/Y, Price Index for Jul 2021 (CSU, Czech Rep) at 3.40 %, above consensus estimate of 2.90 %
  • Denmark, CPI, All Items, Change Y/Y, Price Index for Jul 2021 (statbank.dk) at 1.60 %
  • Germany, ZEW, Current Economic Situation, Germany, balance for Aug 2021 (ZEW, Germany) at 29.30, below consensus estimate of 30.00
  • Germany, ZEW, Economic Expectations, Germany, balance for Aug 2021 (ZEW, Germany) at 40.40, below consensus estimate of 56.70
  • Hungary, CPI, All Items, Change Y/Y, Price Index for Jul 2021 (HCSO, Hungary) at 4.60 %, below consensus estimate of 4.80 %
  • Norway, CPI, All Items, Change P/P, Price Index for Jul 2021 (Statistics Norway) at 0.90 %, above consensus estimate of 0.80 %
  • Norway, CPI, All Items, Change Y/Y for Jul 2021 (Statistics Norway) at 3.00 %, above consensus estimate of 2.90 %
  • Norway, CPI, CPI-ATE, All items, Change P/P for Jul 2021 (Statistics Norway) at 0.60 %, in line with consensus estimate
  • Norway, CPI, CPI-ATE, All items, Change Y/Y for Jul 2021 (Statistics Norway) at 1.10 %, in line with consensus estimate
  • Philippines, GDP, Change P/P for Q2 2021 (PSA) at -1.30 %
  • Philippines, GDP, Change Y/Y for Q2 2021 (PSA) at 11.80 %, above consensus estimate of 10.00 %
  • Slovakia, Production, Change Y/Y for Jun 2021 (Stat Office of SR) at 13.70 %, above consensus estimate of 9.90 %
  • South Africa, Manufacturing Production MM, Change P/P for Jun 2021 (Statistics, SA) at -0.70 %, below consensus estimate of 0.50 %
  • Sweden, Industrial Production , Change Y/Y for Jun 2021 (SCB, Sweden) at 16.70 %
  • Sweden, Industrial Production, Change M/M, Volume Index for Jun 2021 (SCB, Sweden) at 1.90 %
  • Sweden, Private Sector Production, Change M/M, Volume Index for Jun 2021 (SCB, Sweden) at 0.80 %
  • Sweden, Private Sector Production, Change Y/Y for Jun 2021 (SCB, Sweden) at 10.50 %
  • United States, Labor Cost, Total-prelim for Q2 2021 (BLS, U.S Dep. Of Lab) at 1.00 %, below consensus estimate of 1.10 %
  • United States, Labor Productivity, Total-prelim for Q2 2021 (BLS, U.S Dep. Of Lab) at 2.30 %, below consensus estimate of 3.50 %

FX Majors Today | Source: ϕpost, Refinitiv dataUS Dollar Index & Deutsche Bank Currency Volatility Index | Source: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +3.0 bp at 155.5 bp (YTD change: +44.4 bp)
  • US-JAPAN: +2.6 bp at 95.2 bp (YTD change: +46.9 bp)
  • US-CHINA: +3.1 bp at -187.1 bp (YTD change: +70.0 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +3.2 bp at 82.5 bp (YTD change: +36.4bp)
US DE CN JP 5-Year Nominal Rates Differentials | Source: ϕpost, Refinitiv data US DE JP 10Y Real Rates Differentials | Source: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.95, up 0.03 (YTD: -1.22)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.35, up 0.1 (YTD: -1.3)
  • Japanese Yen 1M ATM IV currently at 5.45, up 0.1 (YTD: -0.6)
  • Offshore Yuan 1M ATM IV currently at 3.95, down -0.2 (YTD: -2.0)
EUR CNH JPY 1-Month ATM Implied Vols | Source: ϕpost, Refinitiv dataEUR CNH JPY 1-Month 10-Delta Risk Reversals | Source: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Peru (rated BBB+): up 2.6 basis points to 95 bp (1Y range: 52-101bp)
  • Panama (rated BBB-): up 0.8 basis points to 74 bp (1Y range: 44-95bp)
  • Egypt (rated B+): down 2.2 basis points to 332 bp (1Y range: 283-422bp)
  • Argentina (rated CCC): down 13.7 basis points to 1,943 bp (1Y range: 1,049-1,971bp)
  • Saudi Arabia (rated A): down 0.4 basis points to 55 bp (1Y range: 52-101bp)
  • Government of Chile (rated A-): down 0.7 basis points to 68 bp (1Y range: 43-75bp)
  • Indonesia (rated BBB): down 0.8 basis points to 77 bp (1Y range: 66-118bp)
  • Turkey (rated BB-): down 3.9 basis points to 393 bp (1Y range: 282-570bp)
  • Vietnam (rated BB): down 1.6 basis points to 107 bp (1Y range: 90-146bp)
  • Bahrain (rated B+): down 9.6 basis points to 232 bp (1Y range: 159-330bp)

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

LARGEST FX MOVES TODAY

  • Brazilian Real up 0.9% (YTD: +0.1%)
  • Chilean Peso up 0.9% (YTD: -8.7%)
  • Peru Sol up 0.8% (YTD: -11.5%)
  • Colombian Peso up 0.8% (YTD: -13.6%)
  • Mongolia Tugrik up 0.7% (YTD: +1.0%)
  • Turkish Lira up 0.7% (YTD: -13.5%)
  • Korean Won down 0.5% (YTD: -5.8%)
  • Mauritius Rupee down 0.9% (YTD: -7.6%)
  • Malagasy Ariary down 3.9% (YTD: 0.0%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 51.2%
  • Mozambique metical up 15.4%
  • Turkish Lira down 13.5%
  • Colombian Peso down 13.6%
  • Haiti Gourde down 24.6%
  • Surinamese dollar down 33.8%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.5%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.6%