FX

Very Little Movement In Major Currencies As Market Awaits Fed & BOJ Tomorrow

The US Dollar closed essentially unchanged today, but EM currencies like the Brazilian real performed well as sovereign credit spreads tightened

Published ET

Brazilian Real Spot Rate vs Brazil 5Y Sovereign USD CDS Spread | Source: Refinitiv

Brazilian Real Spot Rate vs Brazil 5Y Sovereign USD CDS Spread | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is down -0.02% at 93.21 (YTD: +3.59%)
  • Euro down 0.06% at 1.1718 (YTD: -4.1%)
  • Yen up 0.09% at 109.27 (YTD: -5.5%)
  • Onshore Yuan unchanged at 6.4655 (YTD: +0.9%)
  • Swiss franc up 0.39% at 0.9243 (YTD: -4.2%)
  • Sterling down 0.03% at 1.3653 (YTD: -0.1%)
  • Canadian dollar down 0.01% at 1.2821 (YTD: -0.7%)
  • Australian dollar down 0.28% at 0.7230 (YTD: -6.0%)
  • NZ dollar down 0.33% at 0.7001 (YTD: -2.6%)

MACRO DATA RELEASES

  • Argentina, GDP, Rate of growth, Change Y/Y for Q2 2021 (INDEC, Argentina) at 17.90 % (vs 2.50 % prior), above consensus estimate of 17.30 %
  • Hungary, Policy Rates, Base Rate for Sep 2021 (Cent. Bank, Hungary) at 1.65 % (vs 1.50 % prior), below consensus estimate of 1.75 %
  • Hungary, Policy Rates, Overnight Deposit Rate for Sep 2021 (Cent. Bank, Hungary) at 0.70 % (vs 0.55 % prior), below consensus estimate of 0.80 %
  • Indonesia, Policy Rates, 7-Day Reverse Repo for Sep 2021 (Bank Indonesia) at 3.50 % (vs 3.50 % prior), in line with consensus estimate
  • Indonesia, Policy Rates, Deposit Facility Rate for Sep 2021 (Bank Indonesia) at 2.75 % (vs 2.75 % prior), in line with consensus estimate
  • Indonesia, Policy Rates, Lending Facility Rate for Sep 2021 (Bank Indonesia) at 4.25 % (vs 4.25 % prior), in line with consensus estimate
  • New Zealand, Milk Auction, Average Price, Constant Prices for W 21 Sep (Global Dairy Trade) at 4,011.00 USD (vs 3,927.00 USD prior)
  • Poland, Retail Sales, Change Y/Y, Price Index for Aug 2021 (CSO, Poland) at 10.70 % (vs 8.90 % prior), above consensus estimate of 10.00 %
  • Sweden, Policy Rates, Repo Rate (Effective Dates) for 22 Sep (Sveriges Riksbank) at 0.00 % (vs 0.00 % prior), in line with consensus estimate
  • Sweden, Unemployment, Rate, Total (SCB), 15-74 years for Aug 2021 (SCB, Sweden) at 8.50 % (vs 8.00 % prior)
  • United Kingdom, CBI Industrial Trends, Level of total order books, current situation for Sep 2021 (CBI, UK) at 22.00 (vs 18.00 prior), above consensus estimate of 15.00
  • United States, Building Permits for Aug 2021 (U.S. Census Bureau) at 1.73 Mln (vs 1.63 Mln prior), above consensus estimate of 1.60 Mln
  • United States, Current Account, Balance for Q2 2021 (BEA, US Dept. Of Com) at -190.30 Bln USD (vs -195.70 Bln USD prior), above consensus estimate of -191.00 Bln USD
  • United States, Housing Starts for Aug 2021 (U.S. Census Bureau) at 1.62 Mln (vs 1.53 Mln prior), above consensus estimate of 1.56 Mln
FX Majors Today | Sources: ϕpost, Refinitiv dataFX Majors YTD | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +0.4 bp at 147.0 bp (YTD change: +35.9 bp)
  • US-JAPAN: -0.1 bp at 94.0 bp (YTD change: +45.7 bp)
  • US-CHINA at -182.6 bp (YTD change: +74.5 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +1.7 bp at 86.4 bp (YTD change: +40.3bp)
US DE CN JP 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 6.08, down -0.02 (YTD: -1.09)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.25, up 0.4 (YTD: -1.4)
  • Japanese Yen 1M ATM IV currently at 5.56, up 0.6 (YTD: -0.5)
  • Offshore Yuan 1M ATM IV currently at 4.35, up 0.6 (YTD: -1.6)
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

  • Argentina (rated CCC): up 54.5 basis points to 1,989 bp (1Y range: 1,049-1,971bp)
  • Egypt (rated B+): up 9.6 basis points to 372 bp (1Y range: 283-422bp)
  • Bahrain (rated B+): up 4.7 basis points to 252 bp (1Y range: 159-330bp)
  • Oman (rated BB-): up 4.5 basis points to 245 bp (1Y range: 223-452bp)
  • Peru (rated BBB+): down 2.0 basis points to 93 bp (1Y range: 52-101bp)
  • Russia (rated BBB): down 2.0 basis points to 84 bp (1Y range: 72-129bp)
  • Mexico (rated BBB-): down 2.8 basis points to 93 bp (1Y range: 79-164bp)
  • Saudi Arabia (rated A): down 1.8 basis points to 52 bp (1Y range: 47-101bp)
  • Vietnam (rated BB): down 4.8 basis points to 102 bp (1Y range: 89-137bp)
  • Indonesia (rated BBB): down 5.0 basis points to 80 bp (1Y range: 66-118bp)

LARGEST FX MOVES TODAY

  • Tonga Pa'anga up 1.4% (YTD: +1.2%)
  • Brazilian Real up 1.0% (YTD: -1.5%)
  • Cambodia Riel up 0.8% (YTD: -0.8%)
  • Jamaican Dollar up 0.8% (YTD: -3.4%)
  • Moldovan Leu up 0.7% (YTD: -2.7%)
  • Samoa Tala up 0.6% (YTD: -1.6%)
  • Belize Dollar down 1.1% (YTD: 0.0%)
  • Qatari Riyal down 1.3% (YTD: -1.3%)
  • Barbados Dollar down 1.5% (YTD: 0.0%)
  • Lao Kip down 1.6% (YTD: -5.5%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 60.1%
  • Mozambique metical up 15.4%
  • Ethiopian Birr down 15.2%
  • Haiti Gourde down 26.1%
  • Myanmar Kyat down 30.7%
  • Surinamese dollar down 33.7%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.5%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.5%