FX

US Dollar Edges Down As Real Rates Fall Again

Euro rises, drops back to unchanged during the Lagarde press conference, then jumps up again to end the day slightly higher

Published ET

Euro spot prices intraday | Source: Refinitiv

Euro spot prices intraday | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is down -0.19% at 92.53 (YTD: +2.83%)
  • Euro up 0.06% at 1.1820 (YTD: -3.2%)
  • Yen up 0.46% at 109.74 (YTD: -5.9%)
  • Onshore Yuan up 0.07% at 6.4547 (YTD: +1.1%)
  • Swiss franc up 0.58% at 0.9167 (YTD: -3.4%)
  • Sterling up 0.49% at 1.3836 (YTD: +1.2%)
  • Canadian dollar up 0.25% at 1.2661 (YTD: +0.6%)
  • Australian dollar down 0.03% at 0.7362 (YTD: -4.3%)
  • NZ dollar down 0.01% at 0.7093 (YTD: -1.3%)

MACRO DATA RELEASES

  • Brazil, CPI, Broad national index (IPCA), Change P/P for Aug 2021 (IBGE, Brazil) at 0.87 % (vs 0.96 % prior), above consensus estimate of 0.71 %
  • Brazil, CPI, Broad national index (IPCA), Change Y/Y for Aug 2021 (IBGE, Brazil) at 9.68 % (vs 8.99 % prior), above consensus estimate of 9.50 %
  • China (Mainland), CPI, Average, Change Y/Y, Price Index for Aug 2021 (NBS, China) at 0.80 % (vs 1.00 % prior), below consensus estimate of 1.00 %
  • China (Mainland), CPI, Change P/P for Aug 2021 (NBS, China) at 0.10 % (vs 0.30 % prior), below consensus estimate of 0.50 %
  • China (Mainland), Producer Prices, Change Y/Y, Price Index for Aug 2021 (NBS, China) at 9.50 % (vs 9.00 % prior), above consensus estimate of 9.00 %
  • Euro Zone, Policy Rates, ECB Deposit Rate for Aug 2021 (ECB) at -0.50 % (vs -0.50 % prior), in line with consensus estimate
  • Euro Zone, Policy Rates, ECB Main refinancing, Fixed Rate (Announcement Dates) for Aug 2021 (ECB) at 0.00 % (vs 0.00 % prior), in line with consensus estimate
  • Germany, Exports, Change P/P for Jul 2021 (Deutsche Bundesbank) at 0.50 % (vs 1.30 % prior), in line with consensus estimate
  • Germany, Imports, Change P/P for Jul 2021 (Deutsche Bundesbank) at -3.80 % (vs 0.60 % prior), below consensus estimate of 0.20 %
  • Germany, Trade Balance for Jul 2021 (Deutsche Bundesbank) at 17.90 Bln EUR (vs 13.60 Bln EUR prior), above consensus estimate of 13.00 Bln EUR
  • Malaysia, Policy Rates, Overnight Policy Rate for 09 Sep (BNM, Malaysia) at 1.75 % (vs 1.75 % prior), in line with consensus estimate
  • Mexico, CPI, Change P/P, Price Index for Aug 2021 (INEGI, Mexico) at 0.19 % (vs 0.59 % prior), below consensus estimate of 0.20 %
  • Mexico, CPI, Change Y/Y, Price Index for Aug 2021 (INEGI, Mexico) at 5.59 % (vs 5.81 % prior), below consensus estimate of 5.60 %
  • Mexico, CPI, Core CPI, Change P/P, Price Index for Aug 2021 (INEGI, Mexico) at 0.43 % (vs 0.48 % prior), above consensus estimate of 0.42 %
  • New Zealand, Electronic card transactions, Retail industry, Change P/P for Aug 2021 (Statistics, NZ) at -19.80 % (vs 0.60 % prior)
  • New Zealand, Electronic card transactions, Retail industry, Change Y/Y for Aug 2021 (Statistics, NZ) at -11.40 % (vs 4.70 % prior)
  • Norway, Gross Domestic Product, Change P/P for Jul 2021 (Statistics Norway) at 0.70 % (vs 0.80 % prior)
  • Norway, Gross Domestic Product, Mainland Norway, Change P/P for Jul 2021 (Statistics Norway) at 0.40 % (vs 0.70 % prior), below consensus estimate of 0.90 %
  • Peru, Policy Rates, Reference Interest Rate for Sep 2021 (Central Bank, Peru) at 1.00 % (vs 0.50 % prior), above consensus estimate of 0.75 %
  • Serbia, Policy Rates, RS Benchmark Interest Rate, Change P/P for Sep 2021 (NBS, Serbia) at 1.00 % (vs 1.00 % prior), in line with consensus estimate
  • South Africa, Current Account, Balance, Balance on current account to GDP, Change Y/Y for Q2 2021 (SA Reserve Bank) at 5.60 % (vs 5.00 % prior), above consensus estimate of 4.90 %
  • South Africa, Manuf Production MM, Change P/P for Jul 2021 (Statistics, SA) at -8.00 % (vs -0.70 % prior), below consensus estimate of -3.00 %
  • Ukraine, Policy Rates, UA Central Bank Interest Rate for 10 Sep (NBU, Ukraine) at 8.50 % (vs 8.00 % prior), in line with consensus estimate
  • United States, Jobless Claims, National, Continued for W 28 Aug (U.S. Dept. of Labor) at 2.78 Mln (vs 2.75 Mln prior), above consensus estimate of 2.74 Mln
  • United States, Jobless Claims, National, Initial for W 04 Sep (U.S. Dept. of Labor) at 310.00 k (vs 340.00 k prior), below consensus estimate of 335.00 k
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +1.2 bp at 146.1 bp (YTD change: +35.0 bp)
  • US-JAPAN: -1.9 bp at 90.0 bp (YTD change: +41.7 bp)
  • US-CHINA: -2.4 bp at -188.7 bp (YTD change: +68.5 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +0.3 bp at 80.1 bp (YTD change: +34.0bp)
  • US-JAPAN: -4.2 bp at -88.8 bp (YTD change: +12.7bp)
  • JAPAN-GERMANY: +4.5 bp at 168.9 bp (YTD change: +21.3bp)
US CN DE JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataUS DE JP Real 10Y Yields Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.79, up 0.06 (YTD: -1.38)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.85, down -0.4 (YTD: -1.8)
  • Japanese Yen 1M ATM IV currently at 4.95, down -0.3 (YTD: -1.2)
  • Offshore Yuan 1M ATM IV currently at 3.42, down -0.1 (YTD: -2.6)
  • Risk reversals not showing any appetite for directional bets, except moderate JPY weakness
EUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataEUR CNH JPY Risk Reversals (Z-Score) | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Morocco (rated BB+): up 1.5 basis points to 90 bp (1Y range: 84-127bp)
  • Indonesia (rated BBB): up 0.9 basis points to 68 bp (1Y range: 66-118bp)
  • Chile (rated A-): up 0.6 basis points to 65 bp (1Y range: 43-75bp)
  • Bahrain (rated B+): up 2.0 basis points to 242 bp (1Y range: 159-330bp)
  • Brazil (rated BB-): up 1.4 basis points to 180 bp (1Y range: 141-252bp)
  • Egypt (rated B+): up 2.1 basis points to 341 bp (1Y range: 283-422bp)
  • Argentina (rated CCC): up 7.6 basis points to 1,831 bp (1Y range: 1,049-1,971bp)
  • Peru (rated BBB+): down 0.3 basis points to 84 bp (1Y range: 52-101bp)
  • Vietnam (rated BB): down 0.5 basis points to 92 bp (1Y range: 90-137bp)
  • South Africa (rated BB-): down 1.8 basis points to 182 bp (1Y range: 178-328bp)

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

LARGEST FX MOVES TODAY

  • Afghani up 2.7% (YTD: -8.9%)
  • Brazilian Real up 2.4% (YTD: -0.1%)
  • Haiti Gourde up 1.7% (YTD: -25.7%)
  • Tonga Pa'Anga up 1.2% (YTD: +1.2%)
  • Moldovan Leu up 0.7% (YTD: -2.1%)
  • Russian Rouble up 0.7% (YTD: +1.8%)
  • Chilean Peso down 0.6% (YTD: -10.4%)
  • Samoa Tala down 0.7% (YTD: -1.4%)
  • Colombian Peso down 0.7% (YTD: -10.8%)
  • Qatari Riyal down 1.2% (YTD: -1.2%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 66.3%
  • Mozambique metical up 15.4%
  • Argentine Peso down 14.3%
  • Ethiopian Birr down 15.2%
  • Haiti Gourde down 25.7%
  • Surinamese dollar down 34.0%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.4%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.5%