FX

Real Rates Differentials Push Major Currencies Up Against The Dollar After CPI

Having said that, the move in rates was quite modest and we do not see a strong case for a reversal of the recent USD trend, with the Fed pretty much set to taper unless something goes horribly wrong in the next couple of months

Published ET

Euro, Offshore Yuan And Yen 1-Month 10-Delta Risk Reversals Not Showing Any Directional Bias | Sources: ϕpost, Refinitiv data

Euro, Offshore Yuan And Yen 1-Month 10-Delta Risk Reversals Not Showing Any Directional Bias | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is down -0.18% at 92.90 (YTD: +3.25%)
  • Euro up 0.20% at 1.1741 (YTD: -3.9%)
  • Yen up 0.19% at 110.36 (YTD: -6.4%)
  • Onshore Yuan up 0.11% at 6.4783 (YTD: +0.7%)
  • Swiss franc up 0.15% at 0.9216 (YTD: -3.9%)
  • Sterling up 0.20% at 1.3870 (YTD: +1.4%)
  • Canadian dollar up 0.11% at 1.2505 (YTD: +1.8%)
  • Australian dollar up 0.31% at 0.7373 (YTD: -4.2%)
  • NZ dollar up 0.50% at 0.7042 (YTD: -2.0%)

MACRO DATA RELEASES

  • Brazil, Retail Sales, Change Y/Y for Jun 2021 (IBGE, Brazil) at 6.30 %, below consensus estimate of 9.10 %
  • China (Mainland), Monetary Financial Institutions, Social Financing, Current Prices for Jul 2021 (PBC) at 1,060.00 Bln CNY, below consensus estimate of 1,700.00 Bln CNY
  • China (Mainland), Monetary Financial Institutions, Uses of Funds, New loans, Current Prices for Jul 2021 (PBC) at 1,080.00 Bln CNY, below consensus estimate of 1,200.00 Bln CNY
  • China (Mainland), Money supply M2, Change Y/Y for Jul 2021 (PBC) at 8.30 %, below consensus estimate of 8.70 %
  • Germany, HICP, Final, Change Y/Y, Price Index for Jul 2021 (Destatis) at 3.10 %, in line with consensus estimate
  • Italy, HICP, Final, Change P/P, Price Index for Jul 2021 (ISTAT, Italy) at -1.00 %, above consensus estimate of -1.10 %
  • Italy, HICP, Final, Change Y/Y, Price Index for Jul 2021 (ISTAT, Italy) at 1.00 %, above consensus estimate of 0.90 %
  • Japan, Producer Prices, Domestic, total, Change P/P, Price Index for Jul 2021 (Bank of Japan) at 1.10 %, above consensus estimate of 0.50 %
  • Japan, Producer Prices, Domestic, total, Change Y/Y, Price Index for Jul 2021 (Bank of Japan) at 5.60 %, above consensus estimate of 5.00 %
  • Singapore, GDP, Change Y/Y for Q2 2021 (Statistics Singapore) at 14.70 %, above consensus estimate of 14.20 %
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -1.6 bp at 154.0 bp (YTD change: +42.9 bp)
  • US-JAPAN: -2.0 bp at 93.3 bp (YTD change: +45.0 bp)
  • US-CHINA: -2.9 bp at -190.0 bp (YTD change: +67.1 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -1.8 bp at 80.7 bp (YTD change: +34.6bp)
  • US-JAPAN: -3.8 bp at -88.7 bp (YTD change: +12.8bp)
  • JAPAN-GERMANY: +2.0 bp at 169.4 bp (YTD change: +21.8bp)
US CN DE JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv data US DE JP 10Y Real Rates Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.92, down -0.03 (YTD: -1.25)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.11, down -0.2 (YTD: -1.6)
  • Japanese Yen 1M ATM IV currently at 5.15, down -0.3 (YTD: -0.9)
  • Offshore Yuan 1M ATM IV currently at 4.01, up 0.1 (YTD: -2.0)
EUR JPY CNH 1-month ATM Implied Vols | Sources: ϕpost, Refinitiv dataEuro 1-Month Implied Volatility Smile | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Bahrain (rated B+): up 5.8 basis points to 238 bp (1Y range: 159-330bp)
  • Colombia (rated BB+): up 1.5 basis points to 147 bp (1Y range: 83-164bp)
  • Egypt (rated B+): up 3.3 basis points to 335 bp (1Y range: 283-422bp)
  • Philippines (rated BBB): up 0.4 basis points to 50 bp (1Y range: 33-57bp)
  • Peru (rated BBB+): up 0.6 basis points to 96 bp (1Y range: 52-101bp)
  • Turkey (rated BB-): up 2.3 basis points to 395 bp (1Y range: 282-570bp)
  • Brazil (rated BB-): down 1.2 basis points to 183 bp (1Y range: 141-252bp)
  • Indonesia (rated BBB): down 0.8 basis points to 76 bp (1Y range: 66-118bp)
  • Mexico (rated BBB-): down 1.1 basis points to 94 bp (1Y range: 79-164bp)
  • Argentina (rated CCC): down 34.0 basis points to 1,929 bp (1Y range: 1,049-1,971bp)

Brazil Turkey South Africa 5Y USD CDS Spread | Sources: phipost.com, Refinitiv data

LARGEST FX MOVES TODAY

  • Chilean Peso up 1.8% (YTD: -7.9%)
  • Colombian Peso up 1.4% (YTD: -13.1%)
  • Thai Baht up 1.0% (YTD: -9.3%)
  • Norwegian Krone up 1.0% (YTD: -3.1%)
  • Namibian Dollar up 1.0% (YTD: +0.3%)
  • Cape Verde Escudo up 1.0% (YTD: 0.0%)
  • South Africa Rand up 0.9% (YTD: +0.3%)
  • CFA Franc BCEAO down 0.9% (YTD: -4.6%)
  • Haiti Gourde down 1.0% (YTD: -25.4%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 59.1%
  • Mozambique metical up 15.4%
  • Argentine Peso down 13.3%
  • Turkish Lira down 13.8%
  • Haiti Gourde down 25.4%
  • Surinamese dollar down 33.7%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.5%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.6%