FX

US Dollar Unchanged Today: Yen Weakened Further While The Canadian Dollar And Antipodeans Rose

The Peruvian Sol has gained over 5% since president Castillo fired his far-left (Marxist Free Peru party) cabinet chief and started moving towards more centrist policies

Published ET

Peruvian Sol Hourly Prices Over The Last 6 Months | Source: Refinitiv

Peruvian Sol Hourly Prices Over The Last 6 Months | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is down -0.02% at 93.98 (YTD: +4.45%)
  • Euro unchanged at 1.1592 (YTD: -5.1%)
  • Yen down 0.54% at 113.85 (YTD: -9.3%)
  • Onshore Yuan down 0.18% at 6.4380 (YTD: +1.3%)
  • Swiss franc up 0.01% at 0.9237 (YTD: -4.2%)
  • Sterling up 0.10% at 1.3672 (YTD: 0.0%)
  • Canadian dollar up 0.56% at 1.2372 (YTD: +2.9%)
  • Australian dollar up 0.49% at 0.7414 (YTD: -3.6%)
  • NZ dollar up 1.06% at 0.7034 (YTD: -2.1%)

MACRO DATA RELEASES

  • Argentina, CPI, National, Change P/P for Sep 2021 (INDEC, Argentina) at 3.50 % (vs 2.50 % prior), above consensus estimate of 3.00 %
  • Argentina, CPI, Total, Gran Buenos Aires, Change P/P for Sep 2021 (INDEC, Argentina) at 3.80 % (vs 2.60 % prior)
  • Argentina, CPI, Total, Gran Buenos Aires, Change Y/Y for Sep 2021 (INDEC, Argentina) at 51.70 % (vs 50.10 % prior)
  • Australia, Activity, Participation Rate for Sep 2021 (AU Bureau of Stat) at 64.50 % (vs 65.20 % prior), below consensus estimate of 64.70 %
  • Australia, Employment, Absolute change for Sep 2021 (AU Bureau of Stat) at -138.00 k (vs -146.30 k prior), below consensus estimate of -137.50 k
  • Australia, Unemployment, Rate for Sep 2021 (AU Bureau of Stat) at 4.60 % (vs 4.50 % prior), below consensus estimate of 4.80 %
  • Canada, Manufacturers Shipments, Change P/P for Aug 2021 (CANSIM, Canada) at 0.50 % (vs -1.50 % prior), in line with consensus
  • China (Mainland), CPI, Average, Change Y/Y, Price Index for Sep 2021 (NBS, China) at 0.70 % (vs 0.80 % prior), below consensus estimate of 0.90 %
  • China (Mainland), CPI, Change P/P for Sep 2021 (NBS, China) at 0.00 % (vs 0.10 % prior), below consensus estimate of 0.30 %
  • China (Mainland), Producer Prices, Change Y/Y, Price Index for Sep 2021 (NBS, China) at 10.70 % (vs 9.50 % prior), above consensus estimate of 10.50 %
  • Czech Republic, Current Account, Balance, Current Prices for Aug 2021 (Czech National Bank) at -37.80 Bln CZK (vs -19.54 Bln CZK prior), below consensus estimate of -12.00 Bln CZK
  • India, Wholesale Prices, Change Y/Y, Price Index for Sep 2021 (Econ Adviser, India) at 10.66 % (vs 11.39 % prior), below consensus estimate of 11.10 %
  • New Zealand, PMI, Manufacturing Sector, Business NZ PMI for Sep 2021 (D.5824) at 51.40 (vs 40.10 prior)
  • Poland, Current Account, Balance, Current Prices for Aug 2021 (Central Bank, Poland) at -1,686.00 Mln EUR (vs -1,827.00 Mln EUR prior), below consensus estimate of -896.00 Mln EUR
  • Singapore, GDP, Change Y/Y for Q3 2021 (Statistics Singapore) at 6.50 % (vs 15.20 % prior), below consensus estimate of 6.60 %
  • Singapore, GDP, Total, annualised growth rate, Change P/P for Q3 2021 (Statistics Singapore) at 3.40 % (vs -7.20 % prior)
  • Slovakia, CPI, Change P/P for Sep 2021 (Stat Office of SR) at 0.80 % (vs 0.40 % prior), below consensus estimate of 1.70 %
  • Slovakia, CPI, Change Y/Y for Sep 2021 (Stat Office of SR) at 4.60 % (vs 3.80 % prior), below consensus estimate of 5.50 %
  • Slovakia, CPI, Core CPI, Change P/P for Sep 2021 (Stat Office of SR) at 0.30 % (vs 0.40 % prior), below consensus estimate of 0.50 %
  • Slovakia, CPI, Core CPI, Change Y/Y for Sep 2021 (Stat Office of SR) at 4.90 % (vs 4.50 % prior), below consensus estimate of 5.00 %
  • South Korea, Exports, Total, FOB(Free On Board), Change Y/Y for Sep 2021 (KOR Customs Service) at 16.70 % (vs 16.70 % prior)
  • South Korea, Imports, Total, CIF(Cost Insurance Freight), Change Y/Y for Sep 2021 (KOR Customs Service) at 31.00 % (vs 31.00 % prior)
  • Spain, CPI, All Items, Change Y/Y, Price Index for Sep 2021 (INE, Spain) at 4.00 % (vs 4.00 % prior), in line with consensus
  • Spain, CPI, All Items, Total, Final, Change P/P, Price Index for Sep 2021 (INE, Spain) at 0.80 % (vs 0.80 % prior), in line with consensus
  • Spain, HICP, Total, Final, Change P/P, Price Index for Sep 2021 (INE, Spain) at 1.10 % (vs 1.10 % prior), in line with consensus
  • Spain, HICP, Total, Final, Change Y/Y, Price Index for Sep 2021 (INE, Spain) at 4.00 % (vs 4.00 % prior), in line with consensus
  • Sweden, CPI, All Items, Change P/P, Price Index for Sep 2021 (SCB, Sweden) at 0.50 % (vs 0.50 % prior), below consensus estimate of 0.60 %
  • Sweden, CPI, All Items, Change Y/Y, Price Index for Sep 2021 (SCB, Sweden) at 2.50 % (vs 2.10 % prior), below consensus estimate of 2.70 %
  • Sweden, CPI, Underlying inflation CPIF, Change P/P, Price Index for Sep 2021 (SCB, Sweden) at 0.50 % (vs 0.50 % prior), below consensus estimate of 0.70 %
  • Sweden, CPI, Underlying inflation CPIF, Change Y/Y, Price Index for Sep 2021 (SCB, Sweden) at 2.80 % (vs 2.40 % prior), below consensus estimate of 3.00 %
  • Uganda, Policy Rates, Central Bank Rate for 14 Oct (Bank of Uganda) at 6.50 % (vs 6.50 % prior)
  • United States, Jobless Claims, National, Continued for W 02 Oct (U.S. Dept. of Labor) at 2.59 Mln (vs 2.71 Mln prior), below consensus estimate of 2.68 Mln
  • United States, Jobless Claims, National, Initial for W 09 Oct (U.S. Dept. of Labor) at 293.00 k (vs 326.00 k prior), below consensus estimate of 319.00 k
  • United States, Producer Prices, Final demand less foods and energy, Change P/P for Sep 2021 (BLS, U.S Dep. Of Lab) at 0.20 % (vs 0.60 % prior), below consensus estimate of 0.50 %
  • United States, Producer Prices, Final demand less foods and energy, Change Y/Y for Sep 2021 (BLS, U.S Dep. Of Lab) at 6.80 % (vs 6.70 % prior), below consensus estimate of 7.10 %
  • United States, Producer Prices, Final demand, Change P/P for Sep 2021 (BLS, U.S Dep. Of Lab) at 0.50 % (vs 0.70 % prior), below consensus estimate of 0.60 %
  • United States, Producer Prices, Final demand, Change Y/Y for Sep 2021 (BLS, U.S Dep. Of Lab) at 8.60 % (vs 8.30 % prior), below consensus estimate of 8.70 %
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +4.0 bp at 159.6 bp (YTD change: +48.6 bp)
  • US-JAPAN: -1.1 bp at 115.0 bp (YTD change: +66.8 bp)
  • US-CHINA: -2.2 bp at -172.5 bp (YTD change: +84.7 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +3.6 bp at 87.3 bp (YTD change: +41.2bp)
  • US-JAPAN: -2.8 bp at -69.7 bp (YTD change: +31.8bp)
  • JAPAN-GERMANY: +6.4 bp at 157.0 bp (YTD change: +9.4bp)
US CN DE JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataUS DE JP Real Yields Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 6.20, up 0.06 (YTD: -0.97)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.85, down -0.1 (YTD: -1.8)
  • Japanese Yen 1M ATM IV currently at 5.95, down -0.2 (YTD: -0.1)
  • Offshore Yuan 1M ATM IV unchanged at 3.58 (YTD: -2.4)
EUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataEUR CNH JPY Skew In 1-Month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Egypt (rated B+): down 14.7 basis points to 446 bp (1Y range: 283-464bp)
  • Malaysia (rated BBB+): down 2.0 basis points to 62 bp (1Y range: 33-64bp)
  • Saudi Arabia (rated A): down 1.7 basis points to 51 bp (1Y range: 47-87bp)
  • Brazil (rated BB-): down 6.8 basis points to 203 bp (1Y range: 141-229bp)
  • Russia (rated BBB): down 3.0 basis points to 83 bp (1Y range: 72-117bp)
  • Indonesia (rated BBB): down 3.6 basis points to 89 bp (1Y range: 66-97bp)
  • Colombia (rated BB+): down 6.4 basis points to 159 bp (1Y range: 83-175bp)
  • China (rated A+): down 2.2 basis points to 52 bp (1Y range: 27-58bp)
  • Mexico (rated BBB-): down 6.2 basis points to 96 bp (1Y range: 79-127bp)
  • Peru (rated BBB+): down 7.5 basis points to 84 bp (1Y range: 52-105bp)

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

LARGEST FX MOVES TODAY

  • Peru Sol up 1.6% (YTD: -7.7%)
  • Samoa Tala up 1.3% (YTD: -1.4%)
  • Surinamese dollar up 1.1% (YTD: -33.1%)
  • New Zealand $ up 1.1% (YTD: -2.1%)
  • Turkish Lira down 1.1% (YTD: -19.1%)
  • Chilean Peso down 1.3% (YTD: -13.9%)
  • Malawi Kwacha down 1.6% (YTD: -6.3%)
  • Myanmar Kyat down 2.0% (YTD: -33.3%)
  • Ethiopian Birr down 2.2% (YTD: -17.1%)
  • New Zambian kwacha down 3.4% (YTD: +21.0%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 64.1%
  • New Zambian kwacha up 21.0%
  • Turkish Lira down 19.1%
  • Haiti Gourde down 26.8%
  • Surinamese dollar down 33.1%
  • Myanmar Kyat down 33.3%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.7%
  • Venezuela Bolivar down 73.3%
  • Sudanese Pound down 87.5%