FX

US Dollar Follows Real Rates Differentials Higher, With ECB Meeting On Thursday Main Event This Week

FX options implied volatilities are low and trending lower, with very little short-term directional skew in risk reversals at the moment

Published ET

EURO Spot vs. EUR-USD Forward Rates Differential | Source: Refinitiv

EURO Spot vs. EUR-USD Forward Rates Differential | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is up 0.34% at 92.52 (YTD: +2.83%)
  • Euro down 0.18% at 1.1847 (YTD: -3.0%)
  • Yen down 0.41% at 110.26 (YTD: -6.4%)
  • Onshore Yuan down 0.07% at 6.4662 (YTD: +0.9%)
  • Swiss franc down 0.45% at 0.9192 (YTD: -3.7%)
  • Sterling down 0.35% at 1.3785 (YTD: +0.8%)
  • Canadian dollar down 0.80% at 1.2638 (YTD: +0.8%)
  • Australian dollar down 0.62% at 0.7393 (YTD: -3.9%)
  • NZ dollar down 0.39% at 0.7109 (YTD: -1.1%)

MACRO DATA RELEASES

  • Australia, Policy Rates, Cash Target Rate for Sep 2021 (RBA, Australia) at 0.10 % (vs 0.10 % prior), in line with consensus estimate
  • China (Mainland), Exports, Change Y/Y for Aug 2021 (China Customs) at 25.60 % (vs 19.30 % prior), above consensus estimate of 17.10 %
  • China (Mainland), Imports, Change Y/Y for Aug 2021 (China Customs) at 33.10 % (vs 28.10 % prior), above consensus estimate of 26.80 %
  • China (Mainland), Trade Balance, Current Prices for Aug 2021 (China Customs) at 58.34 Bln USD (vs 56.59 Bln USD prior), above consensus estimate of 51.05 Bln USD
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change P/P for Q2 2021 (Eurostat) at 2.20 % (vs 2.00 % prior), above consensus estimate of 2.00 %
  • Euro Zone, GDP, Total at market prices, Chain-linked (ESA2010), Change Y/Y for Q2 2021 (Eurostat) at 14.30 % (vs 13.60 % prior), above consensus estimate of 13.60 %
  • France, Reserve Assets, Current Prices for Aug 2021 (MINEFI, France) at 213,930.00 Mln EUR (vs 190,654.00 Mln EUR prior)
  • Germany, Production, Total industry including construction, Change P/P for Jul 2021 (Destatis) at 1.00 % (vs -1.30 % prior), above consensus estimate of 0.90 %
  • Germany, ZEW, Current Economic Situation, Germany, balance for Sep 2021 (ZEW, Germany) at 31.90 (vs 29.30 prior), below consensus estimate of 34.00
  • Germany, ZEW, Economic Expectations, Germany, balance for Sep 2021 (ZEW, Germany) at 26.50 (vs 40.40 prior), below consensus estimate of 30.00
  • New Zealand, Milk Auction, Average Price, Constant Prices for W 07 Sep (GlobalDairy Trade) at 3,927.00 USD (vs 3,827.00 USD prior)
  • New Zealand, Reserve Assets, Current Prices for Aug 2021 (RBNZ) at 22,622.00 Mln NZD (vs 17,599.00 Mln NZD prior)
  • Philippines, CPI, Total, inflation rate, Change Y/Y for Aug 2021 (PSA) at 4.90 % (vs 4.00 % prior), above consensus estimate of 4.40 %
  • South Africa, GDP, Total, at market prices, Change Y/Y for Q2 2021 (Statistics, SA) at 19.30 % (vs -3.20 % prior), above consensus estimate of 17.50 %
  • South Africa, Reserves, Gross gold and other foreign reserves, Current Prices for Aug 2021 (SA Reserve Bank) at 58.41 Bln USD (vs 54.46 Bln USD prior)
  • South Africa, Reserves, Reserve Bank, international liquidity position, Current Prices for Aug 2021 (SA Reserve Bank) at 55.67 Bln USD (vs 51.65 Bln USD prior)
  • Switzerland, Foreign reserves in convertible foreign currencies, Current Prices for Aug 2021 (Swiss National Bank) at 929,292.00 Mln CHF (vs 923,240.00 Mln CHF prior)
  • Taiwan, CPI, Change Y/Y, Price Index for Aug 2021 (DGBAS, Taiwan) at 2.36 % (vs 1.95 % prior), above consensus estimate of 1.90 %
  • United Kingdom, House Prices, Halifax, UK, Change P/P for Aug 2021 at 0.70 % (vs 0.40 % prior)
FX Majors | Sources: ϕpost, Refinitiv dataUS Dollar Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -0.4 bp at 145.7 bp (YTD change: +34.6 bp)
  • US-JAPAN: +3.3 bp at 93.6 bp (YTD change: +45.3 bp)
  • US-CHINA: +1.3 bp at -183.3 bp (YTD change: +73.8 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -2.2 bp at 83.6 bp (YTD change: +37.5bp)
  • US-JAPAN: +5.3 bp at -79.5 bp (YTD change: +22.0bp)
  • JAPAN-GERMANY: -7.5 bp at 163.1 bp (YTD change: +15.5bp)
US DE CN JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataUS DE JP Real Yields Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.66, down -0.02 (YTD: -1.51)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.05, up 0.1 (YTD: -1.6)
  • Japanese Yen 1M ATM IV currently at 5.20, up 0.4 (YTD: -0.9)
  • Offshore Yuan 1M ATM IV currently at 3.68, down -0.1 (YTD: -2.3)
EUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataEUR CNH JPY 1-Month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Chile (rated A-): up 1.7 basis points to 63 bp (1Y range: 43-75bp)
  • Peru (rated BBB+): up 1.1 basis points to 84 bp (1Y range: 52-101bp)
  • Mexico (rated BBB-): up 1.1 basis points to 84 bp (1Y range: 79-164bp)
  • Egypt (rated B+): up 4.0 basis points to 337 bp (1Y range: 283-422bp)
  • Panama (rated BBB-): up 0.8 basis points to 67 bp (1Y range: 44-95bp)
  • Colombia (rated BB+): up 1.4 basis points to 131 bp (1Y range: 83-164bp)
  • Ecuador (rated WD): up 1.0 basis points to 157 bp (1Y range: 156-181bp)
  • Kenya (rated B+): up 2.5 basis points to 394 bp (1Y range: 392-454bp)
  • Nigeria (rated B): up 2.0 basis points to 333 bp (1Y range: 331-383bp)
  • Turkey (rated BB-): down 2.2 basis points to 364 bp (1Y range: 282-570bp)

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

LARGEST FX MOVES TODAY

  • Ghanaian Cedi up 1.3% (YTD: -2.1%)
  • Sri Lanka Rupee down 0.8% (YTD: -8.2%)
  • Cambodia Riel down 0.8% (YTD: -1.2%)
  • Canadian Dollar down 0.9% (YTD: +0.8%)
  • Turkish Lira down 0.9% (YTD: -10.9%)
  • Cape Verde Escudo down 0.9% (YTD: 0.0%)
  • Sierra Leon Leon down 0.9% (YTD: -3.6%)
  • Chilean Peso down 1.0% (YTD: -9.0%)
  • Haiti Gourde down 1.3% (YTD: -26.4%)
  • Tonga Pa'anga down 1.5% (YTD: +2.6%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 66.4%
  • Mozambique metical up 15.4%
  • Argentine Peso down 14.2%
  • Ethiopian Birr down 15.2%
  • Haiti Gourde down 26.4%
  • Surinamese dollar down 33.4%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.3%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.5%