FX

Big Drops In Major Currencies Against The USD, With CAD The Worst Performer Ahead Of Election Results On Monday

Moves in real yields differentials have been positive for the US Dollar this month, as inflation expectations dropped in the US but still rose in Germany

Published ET

1Y CPI Swap Spot In The US vs Germany | Sources: ϕpost, Refinitiv data

1Y CPI Swap Spot In The US vs Germany | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.37% at 93.23 (YTD: +3.61%)
  • Euro down 0.33% at 1.1725 (YTD: -4.0%)
  • Yen down 0.23% at 109.96 (YTD: -6.1%)
  • Onshore Yuan down 0.12% at 6.4655 (YTD: +0.9%)
  • Swiss franc down 0.53% at 0.9323 (YTD: -5.1%)
  • Sterling down 0.36% at 1.3738 (YTD: +0.5%)
  • Canadian dollar down 0.66% at 1.2766 (YTD: -0.3%)
  • Australian dollar down 0.33% at 0.7265 (YTD: -5.6%)
  • NZ dollar down 0.33% at 0.7040 (YTD: -2.0%)

MACRO DATA RELEASES

  • Austria, HICP, Change P/P, Price Index for Aug 2021 (Statistics Austria) at 0.00 % (vs -0.10 % prior)
  • Austria, HICP, Change Y/Y for Aug 2021 (Statistics Austria) at 3.20 % (vs 2.80 % prior)
  • Euro Zone, CPI, Change P/P, Price Index for Aug 2021 (Eurostat) at 0.40 % (vs -0.10 % prior), in line with consensus estimate
  • Euro Zone, CPI, Change Y/Y for Aug 2021 (Eurostat) at 3.00 % (vs 3.00 % prior), in line with consensus estimate
  • Euro Zone, CPI, Total excluding energy, food, alcohol and tobacco, Change Y/Y for Aug 2021 (Eurostat) at 1.60 % (vs 1.60 % prior), in line with consensus estimate
  • Euro Zone, HICP, Overall index excluding energy, food, alcohol and tobacco, Change P/P for Aug 2021 (Eurostat) at 0.30 % (vs 0.30 % prior), in line with consensus estimate
  • Nigeria, Policy Rates, Monetary Policy Rate for 21 Sep (Central Bank Nigeria) at 11.50 % (vs 11.50 % prior)
  • Poland, Employment, Average paid in enterprise sector, Change Y/Y for Aug 2021 (CSO, Poland) at 0.90 % (vs 1.80 % prior), below consensus estimate of 1.10 %
  • Poland, Wages and Salaries, Average Monthly, Gross, Nominal, Enterprise sector, total, Change Y/Y, Current Prices for Aug 2021 (CSO, Poland) at 9.50 % (vs 8.70 % prior), above consensus estimate of 8.70 %
  • Singapore, Exports, Domestic non-oil, Change Y/Y for Aug 2021 (Statistics Singapore) at 2.70 % (vs 12.70 % prior), below consensus estimate of 8.30 %
  • Singapore, Exports, Non-oil domestic exports, Change P/P for Aug 2021 (Statistics Singapore) at -3.60 % (vs -0.90 % prior), below consensus estimate of 2.40 %
  • Slovakia, HICP, Change P/P, Price Index for Aug 2021 (Stat Office of SR) at 0.20 % (vs 0.50 % prior), below consensus estimate of 0.30 %
  • Slovakia, HICP, Change Y/Y, Price Index for Aug 2021 (Stat Office of SR) at 3.30 % (vs 2.90 % prior), in line with consensus estimate
  • United Kingdom, Retail Sales, Change, Total including automotive fuel, Change Y/Y for Aug 2021 (ONS, United Kingdom) at 0.00 % (vs 2.40 % prior), below consensus estimate of 2.70 %
  • United Kingdom, Retail Sales, Total RSI excluding automotive fuel, Change P/P for Aug 2021 (ONS, United Kingdom) at -1.20 % (vs -2.40 % prior), below consensus estimate of 0.80 %
  • United Kingdom, Retail Sales, Total RSI excluding automotive fuel, Change Y/Y for Aug 2021 (ONS, United Kingdom) at -0.90 % (vs 1.80 % prior), below consensus estimate of 2.50 %
  • United Kingdom, Retail Sales, Total including automotive fuel, Change P/P for Aug 2021 (ONS, United Kingdom) at -0.90 % (vs -2.50 % prior), below consensus estimate of 0.50 %
  • United States, University of Michigan, Total-prelim, Volume Index for Sep 2021 (UMICH, Survey) at 71.00 (vs 70.30 prior), below consensus estimate of 72.00

WEEKLY CFTC DATA NET MANAGED MONEY POSITIONING

  • ALL CURRENCIES: reduction in net long US$ positioning
  • G10 FX: reduction in net long US$ positioning
  • Emerging FX: increase in net short US$ positioning
  • Euro: increase in net short US$ positioning
  • Japanese Yen: reduction in net long US$ positioning
  • UK Pound Sterling: reduction in net long US$ positioning
  • Australian Dollar: increase in net long US$ positioning
  • Swiss Franc: reduced their net short US$ positioning
  • Canadian Dollar: increase in net long US$ positioning
  • New Zealand Dollar: increase in net short US$ positioning
  • Brazilian Real: increase in net short US$ positioning
  • Russian Rouble: reduced their net short US$ positioning
  • Mexican Peso: reduction in net long US$ positioning
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +2.0 bp at 147.2 bp (YTD change: +36.1 bp)
  • US-JAPAN: +1.9 bp at 97.7 bp (YTD change: +49.4 bp)
  • US-CHINA: +3.3 bp at -183.8 bp (YTD change: +73.3 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +2.4 bp at 84.8 bp (YTD change: +38.7bp)
  • US-JAPAN: +4.9 bp at -75.4 bp (YTD change: +26.1bp)
  • JAPAN-GERMANY: -2.5 bp at 160.2 bp (YTD change: +12.6bp)
US DE CN 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 5.71 (YTD: -1.46)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.84 (YTD: -1.8)
  • Japanese Yen 1M ATM IV currently at 5.00 (YTD: -1.1)
  • Offshore Yuan 1M ATM IV currently at 3.71 (YTD: -2.3)
EUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataEuro 1-Month Volatility Smile | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Argentina (rated CCC): up 47.3 basis points to 1,844 bp (1Y range: 1,049-1,971bp)
  • Indonesia (rated BBB): up 1.7 basis points to 68 bp (1Y range: 66-118bp)
  • Turkey (rated BB-): up 9.0 basis points to 385 bp (1Y range: 282-570bp)
  • Vietnam (rated BB): up 1.8 basis points to 91 bp (1Y range: 89-137bp)
  • Egypt (rated B+): up 2.2 basis points to 351 bp (1Y range: 283-422bp)
  • Brazil (rated BB-): up 0.9 basis points to 179 bp (1Y range: 141-252bp)
  • Bahrain (rated B+): up 1.0 basis points to 242 bp (1Y range: 159-330bp)
  • Mexico (rated BBB-): down 1.0 basis points to 80 bp (1Y range: 79-164bp)
  • Peru (rated BBB+): down 1.3 basis points to 83 bp (1Y range: 52-101bp)
  • Oman (rated BB-): down 5.0 basis points to 232 bp (1Y range: 223-452bp)

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

LARGEST FX MOVES TODAY

  • Haiti Gourde up 1.1% (YTD: -23.8%)
  • Mauritius Rupee up 0.9% (YTD: -7.2%)
  • Polish Zloty down 0.8% (YTD: -4.6%)
  • Norwegian Krone down 0.9% (YTD: -1.5%)
  • Hungarian Forint down 0.9% (YTD: -1.3%)
  • Cape Verde Escudo down 0.9% (YTD: -0.9%)
  • Honduras Lempira down 1.0% (YTD: -1.0%)
  • Armenian Dram down 1.3% (YTD: +6.2%)
  • Turkish Lira down 1.4% (YTD: -14.1%)
  • Algerian Dinar down 1.8% (YTD: -3.7%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 68.0%
  • Mozambique metical up 15.4%
  • Ethiopian Birr down 15.2%
  • Haiti Gourde down 23.8%
  • Myanmar Kyat down 30.7%
  • Surinamese dollar down 33.6%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.4%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.5%