FX
Dollar Index Edges Down, As The Euro And Swiss Franc Bounced Ahead Of The Weekend
The greenback rose broadly this week against major currencies, with the largest drops seen in currencies driven by Asian growth and commodities like the AUD, NZD and CAD
Published ET
FX Majors This Week | Sources: ϕpost, Refinitiv data
QUICK SUMMARY
- The US Dollar Index is down -0.08% at 93.48 (YTD: +3.89%)
- Euro up 0.19% at 1.1696 (YTD: -4.2%)
- Yen down 0.08% at 109.80 (YTD: -6.0%)
- Onshore Yuan down 0.10% at 6.5012 (YTD: +0.4%)
- Swiss franc up 0.21% at 0.9171 (YTD: -3.5%)
- Sterling down 0.12% at 1.3621 (YTD: -0.4%)
- Canadian dollar up 0.04% at 1.2821 (YTD: -0.7%)
- Australian dollar down 0.17% at 0.7134 (YTD: -7.3%)
- NZ dollar down 0.25% at 0.6825 (YTD: -5.0%)
MACRO DATA RELEASES
- Canada, Retail Sales, Change P/P for Jun 2021 (CANSIM, Canada) at 4.20 %, below consensus estimate of 4.40 %
- Canada, Retail Sales, Total excluding motor vehicle and parts dealers, Change P/P for Jun 2021 (CANSIM, Canada) at 4.70 %, above consensus estimate of 4.60 %
- Germany, Producer Prices, Total industry, Change P/P, Price Index for Jul 2021 (Destatis) at 1.90 %, above consensus estimate of 0.80 %
- Germany, Producer Prices, Total industry, Change Y/Y, Price Index for Jul 2021 (Destatis) at 10.40 %, above consensus estimate of 9.20 %
- Norway, GDP, Change P/P for Q2 2021 (Statistics Norway) at 1.10 %
- Norway, GDP, Mainland Norway, Change P/P for Q2 2021 (Statistics Norway) at 1.40 %, below consensus estimate of 1.70 %
- Norway, Gross Domestic Product, Change P/P for Jun 2021 (Statistics Norway) at 0.80 %
- Norway, Gross Domestic Product, Mainland Norway, Change P/P for Jun 2021 (Statistics Norway) at 0.70 %, below consensus estimate of 1.30 %
- Poland, Retail Sales, Change Y/Y, Price Index for Jul 2021 (CSO, Poland) at 8.90 %, below consensus estimate of 9.30 %
- Slovakia, Unemployment, Rate, Total, registered for Jul 2021 (UPSVAR, Slovakia) at 7.70 %, in line with consensus estimate
- Taiwan, Export Orders Received, Change Y/Y for Jul 2021 (MoEA, Taiwan) at 21.40 %, above consensus estimate of 20.85 %
- United Kingdom, Retail Sales, Change, Total including automotive fuel, Change Y/Y for Jul 2021 (ONS, United Kingdom) at 2.40 %, below consensus estimate of 6.00 %
- United Kingdom, Retail Sales, Total RSI excluding automotive fuel, Change P/P for Jul 2021 (ONS, United Kingdom) at -2.40 %, below consensus estimate of 0.20 %
- United Kingdom, Retail Sales, Total RSI excluding automotive fuel, Change Y/Y for Jul 2021 (ONS, United Kingdom) at 1.80 %, below consensus estimate of 5.70 %
- United Kingdom, Retail Sales, Total including automotive fuel, Change P/P for Jul 2021 (ONS, United Kingdom) at -2.50 %, below consensus estimate of 0.40 %
WEEKLY CFTC POSITIONING DATA
- ALL: reduction in net long US$ positioning
- G10: reduction in net long US$ positioning
- Emerging: increase in net short US$ positioning
- Euro: increase in net short US$ positioning
- Japanese Yen: increase in net long US$ positioning
- UK Pound Sterling: reduced their net short US$ positioning
- Australian Dollar: increase in net long US$ positioning
- Swiss Franc: reduced their net short US$ positioning
- Canadian Dollar: reduced their net short US$ positioning
- New Zealand Dollar: reduction in net long US$ positioning
- Brazilian Real: reduced their net short US$ positioning
- Russian Rouble: increase in net short US$ positioning
- Mexican Peso: reduction in net long US$ positioning
GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS
- US-GERMANY: +1.9 bp at 153.4 bp (YTD change: +42.4 bp)
- US-JAPAN: +1.3 bp at 92.5 bp (YTD change: +44.3 bp)
- US-CHINA: +1.2 bp at -188.9 bp (YTD change: +68.3 bp)
GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS
- US-GERMANY: +3.1 bp at 86.0 bp (YTD change: +39.9bp)
- US-JAPAN: +4.2 bp at -82.2 bp (YTD change: +19.3bp)
- JAPAN-GERMANY: -1.1 bp at 168.2 bp (YTD change: +20.6bp)
VOLATILITIES TODAY
- Deutsche Bank USD Currency Volatility Index currently at 6.09, down -0.02 (YTD: -1.08)
- Euro 1-Month At-The-Money Implied Volatility unchanged at 5.25 (YTD: -1.4)
- Japanese Yen 1M ATM IV currently at 5.13, down -0.1 (YTD: -1.0)
- Offshore Yuan 1M ATM IV unchanged at 3.95 (YTD: -2.0)
NOTABLE MOVES IN SOVEREIGN CDS TODAY
- Indonesia (rated BBB): up 0.9 basis points to 73 bp (1Y range: 66-118bp)
- Panama (rated BBB-): up 0.5 basis points to 76 bp (1Y range: 44-95bp)
- Morocco (rated BB+): up 0.5 basis points to 94 bp (1Y range: 84-127bp)
- Peru (rated BBB+): up 0.3 basis points to 91 bp (1Y range: 52-101bp)
- Mexico (rated BBB-): up 0.2 basis points to 94 bp (1Y range: 79-164bp)
- Colombia (rated BB+): down 0.6 basis points to 146 bp (1Y range: 83-164bp)
- Saudi Arabia (rated A): down 0.3 basis points to 54 bp (1Y range: 52-101bp)
- Turkey (rated BB-): down 2.8 basis points to 386 bp (1Y range: 282-570bp)
- South Africa (rated BB-): down 3.6 basis points to 205 bp (1Y range: 178-328bp)
- Russia (rated BBB): down 1.5 basis points to 85 bp (1Y range: 72-129bp)
LARGEST FX MOVES TODAY
- Malagasy Ariary up 3.3% (YTD: +3.3%)
- CFA Franc BEAC up 2.5% (YTD: -1.3%)
- Yemen Rial up 2.4% (YTD: +0.1%)
- Aruba florin up 2.2% (YTD: +2.2%)
- Swazi Lilangeni down 2.0% (YTD: -4.0%)
- Namibian Dollar down 2.0% (YTD: -4.0%)
- Lesotho Loti down 2.1% (YTD: -3.9%)
- South Africa Rand down 2.3% (YTD: -4.0%)
- Nicaragua Cordoba down 2.4% (YTD: -2.8%)
- Eritrean Nakfa down 2.6% (YTD: -2.6%)
YTD BIGGEST WINNERS & LOSERS
- Seychelles rupee up 63.5%
- Mozambique metical up 17.1%
- Argentine Peso down 13.5%
- Ethiopian Birr down 13.8%
- Haiti Gourde down 26.1%
- Surinamese dollar down 33.7%
- Syrian Pound down 49.4%
- Libyan Dinar down 70.6%
- Venezuela Bolivar down 73.3%
- Sudanese Pound down 87.6%