FX

US Dollar Gets Stronger On The Back Of Favorable Moves In Rates Differentials

The British pound crashed through multiple technical support levels and was down 1.2% today, the worst performer among major currencies

Published ET

GBP intraday spot prices | Source: Refinitiv

GBP intraday spot prices | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is up 0.33% at 93.71 (YTD: +4.14%)
  • Euro down 0.10% at 1.1682 (YTD: -4.3%)
  • Yen down 0.48% at 111.54 (YTD: -7.4%)
  • Onshore Yuan down 0.03% at 6.4595 (YTD: +1.1%)
  • Swiss franc down 0.36% at 0.9293 (YTD: -4.7%)
  • Sterling down 1.15% at 1.3537 (YTD: -1.0%)
  • Canadian dollar down 0.44% at 1.2681 (YTD: +0.4%)
  • Australian dollar down 0.63% at 0.7240 (YTD: -5.9%)
  • NZ dollar down 0.87% at 0.6955 (YTD: -3.2%)

MACRO DATA RELEASES

  • Argentina, Monthly Economic Activity Estimator, Change Y/Y for Jul 2021 (INDEC, Argentina) at 11.70 % (vs 10.80 % prior), above consensus estimate of 8.70 %
  • Australia, Retail Sales, Total, Final, Change P/P for Aug 2021 (AU Bureau of Stat) at -1.70 % (vs 0.00 % prior), above consensus estimate of -2.50 %
  • Austria, Markit PMI, Business Surveys, PMI, Manufacturing Sector, Total for Sep 2021 (Markit Economics) at 62.80 (vs 61.80 prior)
  • France, Consumer confidence, overall for Sep 2021 (INSEE, France) at 102.00 (vs 99.00 prior), above consensus estimate of 100.00
  • Germany, GfK Consumer climate indicator for Oct 2021 (GfK Group) at 0.30 (vs -1.20 prior), above consensus estimate of -1.60
  • Kenya, Policy Rates, Central Bank Rate for Sep 2021 (Central Bank, Kenya) at 7.00 % (vs 7.00 % prior), in line with the consensus estimate
  • Malaysia, Exports, Total, free on board, Change Y/Y for Aug 2021 (Statistics, Malaysia) at 18.40 % (vs 5.00 % prior), above consensus estimate of 14.60 %
  • Malaysia, Imports, Total, cost insurance freight, Change Y/Y for Aug 2021 (Statistics, Malaysia) at 12.50 % (vs 24.00 % prior), below consensus estimate of 24.50 %
  • Norway, Retail Sales, Change P/P for Aug 2021 (Statistics Norway) at -3.80 % (vs -3.10 % prior)
  • Sweden, Retail Sales, Total excluding petrol stations, Change P/P for Aug 2021 (SCB, Sweden) at 0.70 % (vs -1.20 % prior)
  • Sweden, Retail Sales, Total excluding petrol stations, Change Y/Y for Aug 2021 (SCB, Sweden) at 6.60 % (vs 5.40 % prior)
  • United States, Conference Board, Consumer confidence for Sep 2021 (The Conference Board) at 109.30 (vs 113.80 prior), below consensus estimate of 114.50
  • United States, House Prices, S&P Case-Shiller, Composite-20, Change P/P for Jul 2021 (Standard & Poor's) at 1.50 % (vs 1.80 % prior), below consensus estimate of 1.70 %
  • United States, House Prices, S&P Case-Shiller, Composite-20, Change Y/Y, Price Index for Jul 2021 (Standard & Poor's) at 19.90 % (vs 19.10 % prior), below consensus estimate of 20.00 %
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & 1-month ATM Implied Vol | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +2.0 bp at 157.2 bp (YTD change: +46.2 bp)
  • US-JAPAN: +3.2 bp at 111.3 bp (YTD change: +63.1 bp)
  • US-CHINA: +2.1 bp at -166.8 bp (YTD change: +90.4 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +3.7 bp at 97.0 bp (YTD change: +50.9bp)
  • US-JAPAN: +1.7 bp at -62.3 bp (YTD change: +39.2bp)
  • JAPAN-GERMANY: +2.0 bp at 159.3 bp (YTD change: +11.7bp)
US CN DE 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 6.03, up 0.01 (YTD: -1.14)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.70, up 0.3 (YTD: -2.0)
  • Japanese Yen 1M ATM IV currently at 5.71, up 0.3 (YTD: -0.4)
  • Offshore Yuan 1M ATM IV currently at 3.58, down -0.1 (YTD: -2.4)
  • Since the FOMC, prices of risk reversals have shown a clearer directional bias to the downside for the euro and yen
EUR CNH JPY 1-Month 25-delta risk reversals (z score) | Sources: ϕpost, Refinitiv dataEUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Egypt (rated B+): up 34.6 basis points to 429 bp (1Y range: 283-415bp)
  • Malaysia (rated BBB+): up 3.1 basis points to 52 bp (1Y range: 33-55bp)
  • Panama (rated BBB-): up 3.6 basis points to 86 bp (1Y range: 44-87bp)
  • Mexico (rated BBB-): up 4.1 basis points to 101 bp (1Y range: 79-154bp)
  • Philippines (rated BBB): up 2.0 basis points to 50 bp (1Y range: 33-55bp)
  • Colombia (rated BB+): up 6.0 basis points to 162 bp (1Y range: 83-156bp)
  • Russia (rated BBB): up 3.3 basis points to 90 bp (1Y range: 72-128bp)
  • Peru (rated BBB+): up 3.5 basis points to 100 bp (1Y range: 52-101bp)
  • South Africa (rated BB-): up 7.0 basis points to 214 bp (1Y range: 178-316bp)
  • Saudi Arabia (rated A): up 1.6 basis points to 54 bp (1Y range: 47-92bp)

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

LARGEST FX MOVES TODAY

  • Malawi Kwacha up 1.7% (YTD: -4.7%)
  • Angolan Kwanza up 1.1% (YTD: +8.8%)
  • Haiti Gourde up 1.0% (YTD: -25.4%)
  • New Zealand $ down 0.9% (YTD: -3.2%)
  • Polish Zloty down 0.9% (YTD: -5.8%)
  • South Africa Rand down 1.0% (YTD: -2.7%)
  • Mexican Peso down 1.1% (YTD: -2.2%)
  • British Pound down 1.2% (YTD: -1.0%)
  • St Helena Pound down 1.2% (YTD: -0.8%)
  • Chilean Peso down 1.2% (YTD: -11.5%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 64.8%
  • New Zambian kwacha up 26.7%
  • Turkish Lira down 16.2%
  • Haiti Gourde down 25.4%
  • Myanmar Kyat down 33.3%
  • Surinamese dollar down 33.7%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.5%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.5%