FX

Swissie Falls, Loonie Rises, US Dollar Index Settles Unchanged Ahead Of CPI On Tuesday

The 1-month Euro implied volatility smile is getting less skewed to the downside, but prolonged Fed dovishness may be difficult in the face of stickier inflationary pressures

Published ET

JPY spot rate vs. short-term US-JP forward rates differentials | Source: Refinitiv

JPY spot rate vs. short-term US-JP forward rates differentials | Source: Refinitiv

Twitter iconFacebook iconLinkedIn iconemail iconWhatsApp icon

QUICK SUMMARY

  • The US Dollar Index is up 0.01% at 92.62 (YTD: +2.93%)
  • Euro down 0.03% at 1.1810 (YTD: -3.3%)
  • Yen down 0.05% at 109.99 (YTD: -6.1%)
  • Onshore Yuan down 0.12% at 6.4511 (YTD: +1.2%)
  • Swiss franc down 0.48% at 0.9222 (YTD: -4.0%)
  • Sterling unchanged at 1.3839 (YTD: +1.2%)
  • Canadian dollar up 0.36% at 1.2646 (YTD: +0.7%)
  • Australian dollar up 0.18% at 0.7368 (YTD: -4.2%)
  • NZ dollar up 0.03% at 0.7115 (YTD: -1.0%)

MACRO DATA RELEASES

  • Czech Republic, Current Account, Balance, Current Prices for Jul 2021 (Czech National Bank) at -19.54 Bln CZK (vs -12.84 Bln CZK prior), below consensus estimate of -19.00 Bln CZK
  • India, CPI, Rural and urban, General, Change Y/Y, Price Index for Aug 2021 (MOSPI, India) at 5.30 % (vs 5.59 % prior), below consensus estimate of 5.60 %
  • Kazakhstan, Policy Rates, Base Repo Rate for Sep 2021 (NBK, Kazakhstan) at 9.50 % (vs 9.25 % prior), in line with consensus estimate
  • Poland, Current Account, Balance, Current Prices for Jul 2021 (Central Bank, Poland) at -1,827.00 Mln EUR (vs 281.00 Mln EUR prior), below consensus estimate of -150.00 Mln EUR
  • Turkey, Current Account, Balance, Current Prices for Jul 2021 (Central Bank, Turkey) at -0.68 Bln USD (vs -1.13 Bln USD prior), below consensus estimate of -0.57 Bln USD
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -0.5 bp at 145.0 bp (YTD change: +34.0 bp)
  • US-JAPAN: -1.0 bp at 92.3 bp (YTD change: +44.1 bp)
  • US-CHINA: -2.4 bp at -188.8 bp (YTD change: +68.4 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +1.6 bp at 85.5 bp (YTD change: +39.4bp)
  • US-JAPAN: +0.4 bp at -84.9 bp (YTD change: +16.6bp)
  • JAPAN-GERMANY: +1.2 bp at 170.4 bp (YTD change: +22.8bp)
US CN DE JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv data US DE JP 10Y Real Yields Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.67, down -0.07 (YTD: -1.50)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.88, up 0.1 (YTD: -1.8)
  • Japanese Yen 1M ATM IV currently at 4.68, down -0.1 (YTD: -1.4)
  • Offshore Yuan 1M ATM IV currently at 3.58, down -0.1 (YTD: -2.4)
EUR CNH JPY 1-month ATM Implied Volatilities | Sources: ϕpost, Refinitiv dataEuro 1-Month Volatility Smile | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Morocco (rated BB+): up 1.0 basis points to 91 bp (1Y range: 84-127bp)
  • Colombia (rated BB+): down 1.3 basis points to 131 bp (1Y range: 83-164bp)
  • Egypt (rated B+): down 3.4 basis points to 337 bp (1Y range: 283-422bp)
  • Panama (rated BBB-): down 1.1 basis points to 66 bp (1Y range: 44-95bp)
  • Mexico (rated BBB-): down 1.3 basis points to 83 bp (1Y range: 79-164bp)
  • Russia (rated BBB): down 1.5 basis points to 75 bp (1Y range: 72-129bp)
  • Brazil (rated BB-): down 3.9 basis points to 177 bp (1Y range: 141-252bp)
  • Indonesia (rated BBB): down 1.5 basis points to 66 bp (1Y range: 66-118bp)
  • Vietnam (rated BB): down 2.9 basis points to 89 bp (1Y range: 90-137bp)
  • Argentina (rated CCC): down 62.2 basis points to 1,775 bp (1Y range: 1,049-1,971bp)

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

LARGEST FX MOVES TODAY

  • Venezuela Bolivar up 4.2% (YTD: -72.2%)
  • Angolan Kwanza up 2.1% (YTD: +4.6%)
  • Tonga Pa'anga up 1.6% (YTD: +1.9%)
  • Qatari Riyal up 1.3% (YTD: 0.0%)
  • Ghanaian Cedi up 1.0% (YTD: -2.1%)
  • Samoa Tala up 0.6% (YTD: -0.8%)
  • Brazilian Real up 0.6% (YTD: -0.4%)
  • Russian Rouble up 0.6% (YTD: +2.0%)
  • Afghani down 1.3% (YTD: -10.1%)
  • Myanmar Kyat down 12.3% (YTD: -33.3%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 66.9%
  • Mozambique metical up 15.4%
  • Ethiopian Birr down 15.2%
  • Haiti Gourde down 25.4%
  • Myanmar Kyat down 33.3%
  • Surinamese dollar down 33.7%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.4%
  • Venezuela Bolivar down 72.2%
  • Sudanese Pound down 87.5%