FX

US Dollar Largely Unchanged, With Big Daily Rise In The GBP And Continued Weakness In The JPY

UK rates are increasingly pointing to a BOE policy error, with short-term forward rates now pricing in around 85bp of hikes by the end of 2022, followed by a policy reversal further down the curve

Published ET

Spreads Between 3-Month GBP LIBOR Futures Implied Yield And Spot 3-Month GBP LIBOR Rate | Source: Refinitiv

Spreads Between 3-Month GBP LIBOR Futures Implied Yield And Spot 3-Month GBP LIBOR Rate | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is down -0.04% at 93.94 (YTD: +4.40%)
  • Euro up 0.05% at 1.1600 (YTD: -5.0%)
  • Yen down 0.48% at 114.20 (YTD: -9.6%)
  • Onshore Yuan up 0.07% at 6.4340 (YTD: +1.4%)
  • Swiss franc up 0.07% at 0.9226 (YTD: -4.1%)
  • Sterling up 0.56% at 1.3749 (YTD: +0.6%)
  • Canadian dollar up 0.01% at 1.2366 (YTD: +3.0%)
  • Australian dollar up 0.08% at 0.7421 (YTD: -3.5%)
  • NZ dollar up 0.40% at 0.7063 (YTD: -1.7%)

WEEKLY IMM MANAGED MONEY POSITIONING

  • All Currencies: reduction in net long US$ positioning
  • G10: reduction in net long US$ positioning
  • Emerging: increase in net long US$ positioning
  • Euro: reduction in net long US$ positioning
  • Japanese Yen: increase in net long US$ positioning
  • UK Pound Sterling: reduction in net long US$ positioning
  • Australian Dollar: reduction in net long US$ positioning
  • Swiss Franc: reduction in net long US$ positioning
  • Canadian Dollar: increase in net long US$ positioning
  • New Zealand Dollar: increase in net short US$ positioning
  • Brazilian Real: reduction in net long US$ positioning
  • Russian Rouble: reduced their net short US$ positioning
  • Mexican Peso: increase in net long US$ positioning

MACRO DATA RELEASES

  • Brazil, Central Bank Economic Act Index (IBC-Br), Change P/P for Aug 2021 (Central Bank, Brazil) at -0.15 % (vs 0.60 % prior), below consensus estimate of -0.05 %
  • Canada, Wholesale Trade, Sales, all trade groups, Change P/P for Aug 2021 (CANSIM, Canada) at 0.30 % (vs -2.10 % prior), below consensus estimate of 0.50 %
  • Euro Zone, Financial Account, Assets, Official reserve assets, all currencies except national currency, Current Prices for Sep 2021 (ECB) at 1002.40 Bln EUR (vs 1009.38 Bln EUR prior)
  • Finland, Official reserve assets, Current Prices for Sep 2021 (Bank of Finland) at 14,319.00 Mln EUR (vs 14,180.00 Mln EUR prior)
  • France, HICP, Change Y/Y, Price Index for Sep 2021 (INSEE, France) at 2.70 % (vs 2.70 % prior), in line with consensus estimate
  • France, HICP, Final, Change P/P, Price Index for Sep 2021 (INSEE, France) at -0.20 % (vs -0.20 % prior), in line with consensus estimate
  • Indonesia, Exports, Change Y/Y for Sep 2021 (Statistics Indonesia) at 47.64 % (vs 64.10 % prior), below consensus estimate of 51.57 %
  • Indonesia, Imports, Change Y/Y for Sep 2021 (Statistics Indonesia) at 40.31 % (vs 55.26 % prior), below consensus estimate of 50.00 %
  • Indonesia, Trade Balance, Current Prices for Sep 2021 (Statistics Indonesia) at 4.37 Bln USD (vs 4.74 Bln USD prior), above consensus estimate of 3.84 Bln USD
  • Israel, CPI, Change P/P, Price Index for Sep 2021 (Statistics, Israel) at 0.20 % (vs 0.30 % prior), in line with consensus estimate
  • Israel, CPI, Change Y/Y, Price Index for Sep 2021 (Statistics, Israel) at 2.50 % (vs 2.20 % prior), below consensus estimate of 2.60 %
  • Italy, CPI, Final, Change P/P, Price Index for Sep 2021 (ISTAT, Italy) at -0.20 % (vs -0.10 % prior), below consensus estimate of -0.10 %
  • Italy, CPI, Final, Change Y/Y for Sep 2021 (ISTAT, Italy) at 2.50 % (vs 2.60 % prior), below consensus estimate of 2.60 %
  • Italy, HICP, Final, Change P/P, Price Index for Sep 2021 (ISTAT, Italy) at 1.30 % (vs 1.40 % prior), below consensus estimate of 1.40 %
  • Italy, HICP, Final, Change Y/Y, Price Index for Sep 2021 (ISTAT, Italy) at 2.90 % (vs 3.00 % prior), below consensus estimate of 3.00 %
  • Nigeria, CPI, Change Y/Y for Sep 2021 (NBS, Nigeria) at 16.63 % (vs 17.01 % prior)
  • Nigeria, CPI, Food, Change Y/Y, Price Index for Sep 2021 (NBS, Nigeria) at 19.57 % (vs 20.30 % prior)
  • Peru, GDP, Change Y/Y for Aug 2021 (INEI, Peru) at 11.83 % (vs 12.94 % prior), above consensus estimate of 10.00 %
  • Poland, CPI, Change P/P, Price Index for Sep 2021 (CSO, Poland) at 0.70 % (vs 0.60 % prior)
  • Poland, CPI, Change Y/Y, Price Index for Sep 2021 (CSO, Poland) at 5.90 % (vs 5.80 % prior)
  • United States, Import Prices, All commodities, Change P/P, Price Index for Sep 2021 (BLS, U.S Dep. Of Lab) at 0.40 % (vs -0.30 % prior), below consensus estimate of 0.60 %
  • United States, New York Fed, General Business Condition for Oct 2021 (FED, NY) at 19.80 (vs 34.30 prior), below consensus estimate of 27.00
  • United States, Overall, Total business inventories, Change P/P for Aug 2021 (U.S. Census Bureau) at 0.60 % (vs 0.50 % prior), in line with consensus estimate
  • United States, Retail Sales, Total excluding building material & motor vehicle & parts & gasoline station & food svc, Change P/P for Sep 2021 (U.S. Census Bureau) at 0.80 % (vs 2.50 % prior), above consensus estimate of 0.40 %
  • United States, Retail Sales, Total including food services, Change P/P for Sep 2021 (U.S. Census Bureau) at 0.70 % (vs 0.70 % prior), above consensus estimate of -0.20 %
  • United States, Retail Sales, Total including food services, excluding motor vehicle and parts, Change P/P for Sep 2021 (U.S. Census Bureau) at 0.80 % (vs 1.80 % prior), above consensus estimate of 0.50 %
  • United States, University of Michigan, Total-prelim, Volume Index for Oct 2021 (UMICH, Survey) at 71.40 (vs 72.80 prior), below consensus estimate of 73.10
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +4.1 bp at 163.7 bp (YTD change: +52.6 bp)
  • US-JAPAN: +7.1 bp at 122.1 bp (YTD change: +73.8 bp)
  • US-CHINA: +5.4 bp at -167.1 bp (YTD change: +90.0 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +4.7 bp at 92.0 bp (YTD change: +45.9bp)
  • US-JAPAN: +3.6 bp at -66.1 bp (YTD change: +35.4bp)
  • JAPAN-GERMANY: +1.1 bp at 158.1 bp (YTD change: +10.5bp)
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 6.21, up 0.01 (YTD: -0.96)
  • Euro 1-Month At-The-Money Implied Volatility unchanged at 4.88 (YTD: -1.8)
  • Japanese Yen 1M ATM IV currently at 6.53, up 0.6 (YTD: +0.4)
  • Offshore Yuan 1M ATM IV currently at 3.65, up 0.1 (YTD: -2.3)
  • The skew in JPY 1-month risk reversals are at elevated levels, helped by the jump in ATM volatility, with positioning firmly on further yen weakness
EUR CNH JPY 1-month ATM Implied Vols | Sources: ϕpost, Refinitiv dataJPY 1-Month Implied Volatility Smile | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Peru (rated BBB): up 2.7 basis points to 87 bp (1Y range: 52-105bp)
  • Chile (rated A-): up 1.8 basis points to 88 bp (1Y range: 43-88bp)
  • Nigeria (rated B): down 6.0 basis points to 377 bp (1Y range: 331-402bp)
  • Russia (rated BBB): down 1.5 basis points to 82 bp (1Y range: 72-117bp)
  • Morocco (rated BB+): down 2.2 basis points to 93 bp (1Y range: 84-108bp)
  • Oman (rated BB-): down 8.7 basis points to 250 bp (1Y range: 223-452bp)
  • Vietnam (rated BB): down 4.0 basis points to 106 bp (1Y range: 89-123bp)
  • Indonesia (rated BBB): down 3.8 basis points to 85 bp (1Y range: 66-97bp)
  • Malaysia (rated BBB+): down 3.2 basis points to 58 bp (1Y range: 33-64bp)
  • Philippines (rated BBB): down 3.4 basis points to 60 bp (1Y range: 33-65bp)

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

LARGEST FX MOVES TODAY

  • Barbados Dollar up 1.5% (YTD: +1.5%)
  • Tunisian Dinar up 1.3% (YTD: -3.6%)
  • South Africa Rand up 1.2% (YTD: +0.6%)
  • Liberian Dollar up 1.2% (YTD: -0.1%)
  • Mexican Peso up 1.1% (YTD: -2.1%)
  • Guinea Franc up 1.0% (YTD: +3.0%)
  • Brazilian Real up 1.0% (YTD: -4.9%)
  • Turkish Lira down 0.9% (YTD: -19.9%)
  • Haiti Gourde down 1.0% (YTD: -27.6%)
  • Samoa Tala down 1.1% (YTD: -1.4%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 59.8%
  • New Zambian kwacha up 21.0%
  • Turkish Lira down 19.9%
  • Haiti Gourde down 27.6%
  • Myanmar Kyat down 33.3%
  • Surinamese dollar down 33.5%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.7%
  • Venezuela Bolivar down 73.2%
  • Sudanese Pound down 87.5%