FX

US Dollar Rises Along With Rates Differentials After Powell Press Conference

Major emerging markets currencies like the Brazilian Real or Russian Rouble were pretty much unchanged against the dollar, with lower credit spreads balancing out the weaker carry

Published ET

US Dollar Index Intraday Prices | Source: Refinitiv

US Dollar Index Intraday Prices | Source: Refinitiv


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QUICK SUMMARY

  • The US Dollar Index is up 0.25% at 93.44 (YTD: +3.85%)
  • Euro down 0.34% at 1.1683 (YTD: -4.3%)
  • Yen down 0.58% at 109.87 (YTD: -6.0%)
  • Onshore Yuan up 0.01% at 6.4583 (YTD: +1.0%)
  • Swiss franc down 0.39% at 0.9272 (YTD: -4.5%)
  • Sterling down 0.33% at 1.3614 (YTD: -0.4%)
  • Canadian dollar up 0.22% at 1.2787 (YTD: -0.4%)
  • Australian dollar down 0.06% at 0.7227 (YTD: -6.1%)
  • NZ dollar down 0.31% at 0.6983 (YTD: -2.8%)
  • Check out our FOMC wrap-up here

MACRO DATA RELEASES

  • Argentina, Trade Balance, Current Prices for Aug 2021 (INDEC, Argentina) at 2,339.00 Mln USD, above consensus estimate of 1,200.00 Mln USD
  • Australia, Markit PMI, Composite for Sep 2021 (Markit Economics) at 46.00 (vs 43.30 prior)
  • Australia, Markit PMI, Manufacturing for Sep 2021 (Markit Economics) at 57.30 (vs 52.00 prior)
  • Australia, Markit PMI, Services for Sep 2021 (Markit Economics) at 44.90 (vs 42.90 prior)
  • Brazil, Policy Rates, SELIC Target Rate for 23 Sep (Central Bank, Brazil) at 6.25 % (vs 5.25 % prior), in line with consensus estimate
  • Denmark, Consumer confidence indicator for Sep 2021 (statbank.dk) at 8.20 (vs 4.40 prior)
  • Euro Zone, EC Consumer Survey, All Respondents, Consumer Confidence Indicator, Balance for Sep 2021 (DG ECFIN, France) at -4.00 (vs -5.30 prior), above consensus estimate of -5.80
  • Japan, Policy Rates, BoJ Policy Rate Balance for 22 Sep (Bank of Japan) at -0.10 % (vs -0.10 % prior)
  • Russia, Producer Prices, Change P/P for Aug 2021 (RosStat, Russia) at 1.50 % (vs 2.60 % prior)
  • Russia, Production, IP Total , Change Y/Y for Aug 2021 (RosStat, Russia) at 4.70 % (vs 6.80 % prior), below consensus estimate of 5.80 %
  • South Africa, CPI, Urban Areas, Headline, Change P/P, Price Index for Aug 2021 (Statistics, SA) at 0.40 % (vs 1.10 % prior), above consensus estimate of 0.30 %
  • South Africa, CPI, Urban Areas, Headline, Change Y/Y, Price Index for Aug 2021 (Statistics, SA) at 4.90 % (vs 4.60 % prior), above consensus estimate of 4.80 %
  • Taiwan, Unemployment, Rate for Aug 2021 (DGBAS, Taiwan) at 4.08 % (vs 4.36 % prior)
  • United States, Existing-Home Sales, Single-Family and Condos, total for Aug 2021 (NAR, United States) at 5.88 Mln (vs 5.99 Mln prior), below consensus estimate of 5.89 Mln
  • United States, Existing-Home Sales, Single-Family and Condos, total, Change P/P for Aug 2021 (NAR, United States) at -2.00 % (vs 2.00 % prior)
  • United States, Policy Rates, Fed Funds Target Rate for 23 Sep (FOMC, U.S.) at 0.125 % (vs 0.125 % prior), in line with consensus estimate
  • United States, Policy Rates, Fed Interest On Excess Reserves for 23 Sep (FED, U.S.) at 0.15 % (vs 0.15 % prior)
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: +1.5 bp at 148.5 bp (YTD change: +37.4 bp)
  • US-JAPAN: +2.3 bp at 96.4 bp (YTD change: +48.1 bp)
  • US-CHINA: +0.3 bp at -182.3 bp (YTD change: +74.8 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +1.4 bp at 87.8 bp (YTD change: +41.7bp)
  • US-JAPAN: -0.5 bp at -73.1 bp (YTD change: +28.4bp)
  • JAPAN-GERMANY: +1.9 bp at 160.9 bp (YTD change: +13.3bp)
US DE CN JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataEuro spot vs 1Y Forward 1Y Rates Differential | Source: Refinitiv

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 6.03, down -0.05 (YTD: -1.14)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.90, down -0.4 (YTD: -1.8)
  • Japanese Yen 1M ATM IV currently at 5.13, down -0.4 (YTD: -1.0)
  • Offshore Yuan 1M ATM IV currently at 4.14, down -0.2 (YTD: -1.8)
  • Euro 1-month 25-delta risk reversal now showing negative bias on the currency
EUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataEUR JPY CNH 1-month 25-delta RR z-scores | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Vietnam (rated BB): up 2.0 basis points to 104 bp (1Y range: 89-137bp)
  • Egypt (rated B+): up 7.0 basis points to 379 bp (1Y range: 283-422bp)
  • Ecuador (rated WD): down 1.5 basis points to 167 bp (1Y range: 156-181bp)
  • South Africa (rated BB-): down 2.2 basis points to 201 bp (1Y range: 178-328bp)
  • Morocco (rated BB+): down 1.1 basis points to 95 bp (1Y range: 84-127bp)
  • Indonesia (rated BBB): down 1.2 basis points to 79 bp (1Y range: 66-118bp)
  • Peru (rated BBB+): down 1.5 basis points to 91 bp (1Y range: 52-101bp)
  • United Arab Emirates (rated AA-): down 1.5 basis points to 63 bp (1Y range: 50-65bp)
  • Slovenia (rated A): down 1.5 basis points to 53 bp (1Y range: 47-56bp)
  • Israel (rated A+): down 1.5 basis points to 52 bp (1Y range: 46-55bp)

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

LARGEST FX MOVES TODAY

  • Qatari Riyal up 1.3% (YTD: 0.0%)
  • Mauritania ouguiya up 1.0% (YTD: +2.3%)
  • Ghanaian Cedi up 1.0% (YTD: -2.1%)
  • Tunisian Dinar up 0.8% (YTD: -4.1%)
  • CFA Franc BEAC down 0.6% (YTD: -4.4%)
  • Samoa Tala down 0.8% (YTD: -1.6%)
  • Hungarian Forint down 1.1% (YTD: -2.3%)
  • CFA Franc BCEAO down 1.2% (YTD: -5.8%)
  • Afghani down 1.3% (YTD: -12.4%)
  • Tonga Pa'anga down 1.6% (YTD: +1.3%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 61.7%
  • 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%