FX

Not A Lot Of FX Volatility Today, But The Euro Strengthens Against The Dollar On Favorable Rates Differentials

Pro-cyclical commodities currencies (like the AUD) did well, EM credit spreads kept tightening and currencies strengthening against the USD (RUB, ZAR, TRY)

Published ET

Euro spot vs German-US 1Y Forward 1Y Rates Differential | Source: Refinitiv

Euro spot vs German-US 1Y Forward 1Y Rates Differential | Source: Refinitiv


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QUICK SUMMARY

  • The US Dollar Index is down -0.17% at 92.50 (YTD: +2.80%)
  • Euro up 0.28% at 1.1840 (YTD: -3.1%)
  • Yen up 0.01% at 110.02 (YTD: -6.1%)
  • Onshore Yuan unchanged at 6.4586 (YTD: +1.0%)
  • Swiss franc down 0.03% at 0.9156 (YTD: -3.3%)
  • Sterling up 0.12% at 1.3770 (YTD: +0.7%)
  • Canadian dollar down 0.03% at 1.2620 (YTD: +0.9%)
  • Australian dollar up 0.72% at 0.7368 (YTD: -4.2%)
  • NZ dollar up 0.33% at 0.7067 (YTD: -1.6%)

MACRO DATA RELEASES

  • Australia, GDP, Change P/P for Q2 2021 (AU Bureau of Stat) at 0.70 % (vs 1.80 % prior), above consensus estimate of 0.50 %
  • Australia, GDP, Change Y/Y for Q2 2021 (AU Bureau of Stat) at 9.60 % (vs 1.10 % prior), above consensus estimate of 9.20 %
  • Brazil, GDP, Market prices, chain-weighted, Change P/P for Q2 2021 (IBGE, Brazil) at -0.10 % (vs 1.20 % prior), below consensus estimate of 0.20 %
  • Brazil, GDP, Market prices, chain-weighted, Change Y/Y for Q2 2021 (IBGE, Brazil) at 12.40 % (vs 1.00 % prior), below consensus estimate of 12.80 %
  • Brazil, PMI, Manufacturing Sector for Aug 2021 (Markit Economics) at 53.60 (vs 56.70 prior)
  • Canada, PMI, Manufacturing Sector for Aug 2021 (Markit Economics) at 57.20 (vs 56.20 prior)
  • Chile, Policy Rates, Monetary Policy Interest Rate for Aug 2021 (Central Bank, Chile) at 1.50 % (vs 0.75 % prior), above consensus estimate of 1.25 %
  • China (Mainland), PMI, Manufacturing Sector, Caixin PMI for Aug 2021 (Markit Economics) at 49.20 (vs 50.30 prior), below consensus estimate of 50.20
  • Euro Zone, PMI, Manufacturing Sector, Total, Final for Aug 2021 (Markit Economics) at 61.40 (vs 61.50 prior), below consensus estimate of 61.50
  • Euro Zone, Unemployment, Rate for Jul 2021 (Eurostat) at 7.60 % (vs 7.70 % prior), in line with consensus estimate
  • France, PMI, Manufacturing Sector, Total, Final for Aug 2021 (Markit Economics) at 57.50 (vs 57.30 prior), above consensus estimate of 57.30
  • Germany, PMI, Manufacturing Sector, Total, Final for Aug 2021 (Markit Economics) at 62.60 (vs 62.70 prior), below consensus estimate of 62.70
  • India, IHS Markit, PMI, Manufacturing Sector, IHS Markit Mfg PMI for Aug 2021 (Markit Economics) at 52.30 (vs 55.30 prior), below consensus estimate of 55.00
  • Indonesia, CPI, Change Y/Y for Aug 2021 (Statistics Indonesia) at 1.59 % (vs 1.52 % prior), below consensus estimate of 1.60 %
  • Indonesia, IHS Markit, PMI, Manufacturing Sector, IHS Markit PMI, Manufacturing for Aug 2021 (Markit Economics) at 43.70 (vs 40.10 prior)
  • Italy, PMI, Manufacturing Sector for Aug 2021 (Markit Economics) at 60.90 (vs 60.30 prior), above consensus estimate of 60.10
  • Japan, PMI, Manufacturing Sector, Jibun Bank Mfg PMI, Final for Aug 2021 (Markit Economics) at 52.70 (vs 52.40 prior)
  • Mexico, PMI, Manufacturing Sector for Aug 2021 (Markit Economics) at 47.10 (vs 49.60 prior)
  • Russia, PMI, Manufacturing Sector for Aug 2021 (Markit Economics) at 46.50 (vs 47.50 prior)
  • Russia, Unemployment, Rate for Jul 2021 (RosStat, Russia) at 4.50 % (vs 4.80 % prior), below consensus estimate of 4.70 %
  • South Korea, IHS Markit, PMI, Manufacturing Sector, IHS Markit PMI, Manufacturing for Aug 2021 (Markit Economics) at 51.20 (vs 53.00 prior)
  • Turkey, Gross Domestic Product (%YOY), Change Y/Y for Q2 2021 (TURKSTAT) at 21.70 % (vs 7.00 % prior), in line with consensus estimate
  • Turkey, PMI, Manufacturing Sector, Istanbul Chamber of Industry PMI for Aug 2021 (Markit Economics) at 54.10 (vs 54.00 prior)
  • United Kingdom, House Prices, Nationwide, United Kingdom, all properties, Change P/P for Aug 2021 (Nationwide, UK) at 2.10 % (vs -0.50 % prior), above consensus estimate of 0.20 %
  • United Kingdom, House Prices, Nationwide, United Kingdom, all properties, Change Y/Y for Aug 2021 (Nationwide, UK) at 11.00 % (vs 10.50 % prior), above consensus estimate of 8.60 %
  • United Kingdom, PMI, Manufacturing Sector for Aug 2021 (Markit Economics) at 60.30 (vs 60.10 prior), above consensus estimate of 60.10
  • United States, ISM Manufacturing, PMI total for Aug 2021 (ISM, United States) at 59.90 (vs 59.50 prior), above consensus estimate of 58.60
  • United States, PMI, Manufacturing Sector, Total, Final for Aug 2021 (Markit Economics) at 61.10 (vs 61.20 prior)
  • Zambia, Policy Rates, BOZ Policy Rate for Sep 2021 (Bank of Zambia) at 8.50 % (vs 8.50 % prior)
FX Majors Today | Sources:ϕpost, Refinitiv dataUS Dollar Index | Sources:ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +0.3 bp at 146.0 bp (YTD change: +34.9 bp)
  • US-JAPAN: -0.5 bp at 89.1 bp (YTD change: +40.8 bp)
  • US-CHINA: +4.3 bp at -183.8 bp (YTD change: +73.3 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -4.7 bp at 73.7 bp (YTD change: +27.6bp)
  • US-JAPAN: -2.1 bp at -87.7 bp (YTD change: +13.8bp)
  • JAPAN-GERMANY: -2.6 bp at 161.4 bp (YTD change: +13.8bp)
US CN DE JP 5Y Rates Differentials | Sources:ϕpost, Refinitiv data | Sources:ϕpost, Refinitiv dataUS DE JP 10Y Real Yields Differentials | Sources:ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.87, up 0.02 (YTD: -1.30)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.29, down -0.1 (YTD: -1.4)
  • Japanese Yen 1M ATM IV currently at 5.18, up 0.1 (YTD: -0.9)
  • Offshore Yuan 1M ATM IV unchanged at 3.63 (YTD: -2.4)
EUR CNH JPY 1-Month ATM Implied Vols | Sources:ϕpost, Refinitiv dataEUR CNH JPY 1-Month 10-Delta Risk Reversal | Sources:ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Pakistan (rated B-): down 3.0 basis points to 367 bp (1Y range: 362-512bp)
  • Senegal (rated ): down 3.0 basis points to 356 bp (1Y range: 355-409bp)
  • South Africa (rated BB-): down 1.8 basis points to 184 bp (1Y range: 178-328bp)
  • Argentina (rated CCC): down 18.6 basis points to 1,865 bp (1Y range: 1,049-1,971bp)
  • Vietnam (rated BB): down 1.2 basis points to 94 bp (1Y range: 90-137bp)
  • Bahrain (rated B+): down 3.9 basis points to 240 bp (1Y range: 159-330bp)
  • Indonesia (rated BBB): down 1.1 basis points to 66 bp (1Y range: 66-118bp)
  • Egypt (rated B+): down 8.3 basis points to 336 bp (1Y range: 283-422bp)
  • Morocco (rated BB+): down 3.5 basis points to 90 bp (1Y range: 84-127bp)
  • Oman (rated BB-): down 10.6 basis points to 231 bp (1Y range: 223-452bp)

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

LARGEST FX MOVES TODAY

  • Mauritius Rupee up 1.7% (YTD: -6.4%)
  • Russian Rouble up 0.7% (YTD: +1.6%)
  • South Africa Rand up 0.7% (YTD: +2.1%)
  • Samoa Tala up 0.7% (YTD: -1.5%)
  • Australian Dollar up 0.7% (YTD: -4.2%)
  • Pacific Franc up 0.6% (YTD: -3.2%)
  • Hungarian Forint up 0.6% (YTD: +1.1%)
  • Polish Zloty up 0.6% (YTD: -1.9%)
  • Brazilian Real down 0.7% (YTD: +0.1%)
  • Philippine Peso down 0.7% (YTD: -4.0%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 64.9%
  • Mozambique metical up 15.4%
  • Ethiopian Birr down 13.8%
  • Argentine Peso down 14.0%
  • Haiti Gourde down 25.4%
  • Surinamese dollar down 33.5%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.4%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.5%