FX

US Dollar Index Recovers After Dropping On Dovish CPI Data, Ends Unchanged

The Australian dollar fell hard today as the RBA Governor Philip Lowe projected an unexpectedly dovish policy outlook, with no rate hikes planned until 2024

Published ET

US Dollar Index Intraday Prices Over Last 2 Days | Source: Refinitiv

US Dollar Index Intraday Prices Over Last 2 Days | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is up 0.06% at 92.68 (YTD: +2.99%)
  • Euro down 0.02% at 1.1806 (YTD: -3.3%)
  • Yen up 0.37% at 109.57 (YTD: -5.8%)
  • Onshore Yuan up 0.19% at 6.4382 (YTD: +1.4%)
  • Swiss franc up 0.25% at 0.9198 (YTD: -3.8%)
  • Sterling down 0.21% at 1.3807 (YTD: +1.0%)
  • Canadian dollar down 0.28% at 1.2687 (YTD: +0.4%)
  • Australian dollar down 0.69% at 0.7315 (YTD: -4.9%)
  • NZ dollar down 0.46% at 0.7088 (YTD: -1.4%)

MACRO DATA RELEASES

  • Argentina, CPI, National, Change P/P for Aug 2021 (INDEC, Argentina) at 2.50 % (vs 3.00 % prior), below consensus estimate of 2.80 %
  • Argentina, CPI, Total, Gran Buenos Aires, Change P/P for Aug 2021 (INDEC, Argentina) at 2.60 % (vs 3.10 % prior)
  • Argentina, CPI, Total, Gran Buenos Aires, Change Y/Y for Aug 2021 (INDEC, Argentina) at 50.10 % (vs 50.40 % prior)
  • Australia, Residential Property Price Index (RPPI), Weighted average of eight capital cities, Change P/P for Q2 2021 (AU Bureau of Stat) at 6.70 % (vs 5.40 % prior), above consensus estimate of 6.00 %
  • Canada, Manufacturers Shipments, Change P/P for Jul 2021 (CANSIM, Canada) at -1.50 % (vs 2.10 % prior), below consensus estimate of -1.20 %
  • India, Wholesale Prices, Change Y/Y, Price Index for Aug 2021 (Econ Adviser, India) at 11.39 % (vs 11.16 % prior), above consensus estimate of 10.75 %
  • Israel, CPI, Change P/P, Price Index for Aug 2021 (Statistics, Israel) at 0.30 % (vs 0.40 % prior), in line with consensus estimate
  • Israel, CPI, Change Y/Y, Price Index for Aug 2021 (Statistics, Israel) at 2.20 % (vs 1.90 % prior), in line with consensus estimate
  • Japan, New Orders, Machinery , Private, excluding volatile orders, Change P/P for Jul 2021 (Cabinet Office, JP) at 0.90 % (vs -1.50 % prior), below consensus estimate of 3.10 %
  • Japan, New Orders, Machinery , Private, excluding volatile orders, Change Y/Y for Jul 2021 (Cabinet Office, JP) at 11.10 % (vs 18.60 % prior), below consensus estimate of 15.70 %
  • Norway, Regional Network Report, BUS. SVY: OUTPUT GROWTH - 6 MONTHS AHEAD, AGG., AR for 14 Sep (Norges Bank) at 1.65 (vs 1.88 prior)
  • Slovakia, CPI, Change P/P for Aug 2021 (Stat Office of SR) at 0.40 % (vs 0.50 % prior), above consensus estimate of 0.30 %
  • Slovakia, CPI, Change Y/Y for Aug 2021 (Stat Office of SR) at 3.80 % (vs 3.30 % prior), above consensus estimate of 3.70 %
  • Slovakia, CPI, Core CPI, Change P/P for Aug 2021 (Stat Office of SR) at 0.40 % (vs 0.50 % prior), above consensus estimate of 0.30 %
  • Slovakia, CPI, Core CPI, Change Y/Y for Aug 2021 (Stat Office of SR) at 4.50 % (vs 3.90 % prior), above consensus estimate of 4.10 %
  • South Africa, Mining Production YY, Change Y/Y for Jul 2021 (Statistics, SA) at 10.30 % (vs 19.10 % prior)
  • South Korea, Exports, Total, FOB(Free On Board), Change Y/Y for Aug 2021 (KOR Customs Service) at 34.80 % (vs 34.90 % prior)
  • South Korea, Imports, Total, CIF(Cost Insurance Freight), Change Y/Y for Aug 2021 (KOR Customs Service) at 44.00 % (vs 44.00 % prior)
  • Spain, CPI, All Items, Change Y/Y, Price Index for Aug 2021 (INE, Spain) at 3.30 % (vs 3.30 % prior), in line with consensus estimate
  • Spain, CPI, All Items, Total, Final, Change P/P, Price Index for Aug 2021 (INE, Spain) at 0.50 % (vs 0.40 % prior), above consensus estimate of 0.40 %
  • Spain, HICP, Total, Final, Change P/P, Price Index for Aug 2021 (INE, Spain) at 0.40 % (vs 0.40 % prior), in line with consensus estimate
  • Spain, HICP, Total, Final, Change Y/Y, Price Index for Aug 2021 (INE, Spain) at 3.30 % (vs 3.30 % prior), in line with consensus estimate
  • Sweden, CPI, All Items, Change P/P, Price Index for Aug 2021 (SCB, Sweden) at 0.50 % (vs 0.30 % prior), above consensus estimate of 0.20 %
  • Sweden, CPI, All Items, Change Y/Y, Price Index for Aug 2021 (SCB, Sweden) at 2.10 % (vs 1.40 % prior), above consensus estimate of 1.70 %
  • Sweden, CPI, Underlying inflation CPIF, Change P/P, Price Index for Aug 2021 (SCB, Sweden) at 0.50 % (vs 0.30 % prior), above consensus estimate of 0.20 %
  • Sweden, CPI, Underlying inflation CPIF, Change Y/Y, Price Index for Aug 2021 (SCB, Sweden) at 2.40 % (vs 1.70 % prior), above consensus estimate of 1.90 %
  • United Kingdom, Earnings, Average Weekly, Whole economy, regular pay, 3 month average, Change Y/Y for Jul 2021 (ONS, United Kingdom) at 6.80 % (vs 7.40 % prior), in line with consensus estimate
  • United Kingdom, Earnings, Average Weekly, Whole economy, total pay, 3 month average, Change Y/Y for Jul 2021 (ONS, United Kingdom) at 8.30 % (vs 8.80 % prior), above consensus estimate of 8.20 %
  • United Kingdom, Employed, Change in Level of Employment 3m/3m , Volume for Jul 2021 (ONS, United Kingdom) at 183.00 k (vs 95.00 k prior), above consensus estimate of 178.00 k
  • United Kingdom, Unemployment, Claimant count, Absolute change for Aug 2021 (ONS, United Kingdom) at -58.60 k (vs -7.80 k prior)
  • United Kingdom, Unemployment, Rate, All aged 16 and over, ILO for Jul 2021 (ONS, United Kingdom) at 4.60 % (vs 4.70 % prior), in line with consensus estimate
  • United States, CPI - All Urban Samples: All Items, Change Y/Y for Aug 2021 (BLS, U.S Dep. Of Lab) at 5.30 % (vs 5.40 % prior), in line with consensus estimate
  • United States, CPI, All items less food and energy, Change Y/Y, Price Index for Aug 2021 (BLS, U.S Dep. Of Lab) at 4.00 % (vs 4.30 % prior), below consensus estimate of 4.20 %
  • United States, CPI, All items, Change P/P for Aug 2021 (BLS, U.S Dep. Of Lab) at 0.30 % (vs 0.50 % prior), below consensus estimate of 0.40 %
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & Deutsche Bank Currency Volatility Index| Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -1.8 bp at 143.2 bp (YTD change: +32.2 bp)
  • US-JAPAN: -3.4 bp at 88.9 bp (YTD change: +40.7 bp)
  • US-CHINA: -3.8 bp at -192.6 bp (YTD change: +64.6 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -3.9 bp at 81.6 bp (YTD change: +35.5bp)
  • US-JAPAN: +0.4 bp at -84.5 bp (YTD change: +17.0bp)
  • JAPAN-GERMANY: -4.3 bp at 166.1 bp (YTD change: +18.5bp)
US DE JP CN 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataUS DE JP 10Y Real Yields Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 5.65, down -0.02 (YTD: -1.52)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.76, down -0.1 (YTD: -1.9)
  • Japanese Yen 1M ATM IV currently at 4.85, up 0.2 (YTD: -1.3)
  • Offshore Yuan 1M ATM IV unchanged at 3.55 (YTD: -2.4)
EUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataJPY spot Rate vs 1-Month 10-delta risk reversal | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Oman (rated BB-): up 8.4 basis points to 244 bp (1Y range: 223-452bp)
  • Chile (rated A-): up 1.6 basis points to 66 bp (1Y range: 43-75bp)
  • Egypt (rated B+): up 7.9 basis points to 345 bp (1Y range: 283-422bp)
  • Argentina (rated CCC): up 36.6 basis points to 1,804 bp (1Y range: 1,049-1,971bp)
  • Colombia (rated BB+): up 2.2 basis points to 133 bp (1Y range: 83-164bp)
  • Peru (rated BBB+): up 1.1 basis points to 85 bp (1Y range: 52-101bp)
  • Panama (rated BBB-): up 0.8 basis points to 67 bp (1Y range: 44-95bp)
  • Brazil (rated BB-): up 2.2 basis points to 179 bp (1Y range: 141-252bp)
  • South Africa (rated BB-): up 2.0 basis points to 183 bp (1Y range: 178-328bp)
  • Turkey (rated BB-): up 3.1 basis points to 372 bp (1Y range: 282-570bp)

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

LARGEST FX MOVES TODAY

  • Myanmar Kyat up 2.0% (YTD: -32.0%)
  • Afghani up 1.0% (YTD: -9.2%)
  • St Helena Pound up 0.6% (YTD: +1.8%)
  • Russian Rouble down 0.5% (YTD: +1.7%)
  • Australian Dollar down 0.7% (YTD: -4.9%)
  • Angolan Kwanza down 0.8% (YTD: +3.7%)
  • Ghanaian Cedi down 0.8% (YTD: -3.0%)
  • Tonga Pa'anga down 0.9% (YTD: +1.8%)
  • South Africa Rand down 1.3% (YTD: +2.5%)
  • Venezuela Bolivar down 4.0% (YTD: -73.3%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 43.8%
  • Mozambique metical up 15.4%
  • Ethiopian Birr down 15.2%
  • Haiti Gourde down 25.7%
  • Myanmar Kyat down 32.0%
  • Surinamese dollar down 33.7%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.4%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.5%